# EDGAR Filing Document

**Accession Number:** 0001510599
**File Stem:** 0001099263-26-007342
**Filing Date:** 2026-5
**Character Count:** 1315780
**Document Hash:** 48cbbbecb04c90d1b53879a9e8201897
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007342.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007342

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260630

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO Dynamic Income Fund
- **CENTRAL INDEX KEY:** 0001510599

**ORGANIZATION NAME:**
- **EIN:** 274580758
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0630

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-22673
- **FILM NUMBER:** 261043717

**BUSINESS ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019
- **BUSINESS PHONE:** 212-739-4000

**MAIL ADDRESS:**
- **STREET 1:** 1633 BROADWAY
- **CITY:** NEW YORK
- **STATE:** NY
- **ZIP:** 10019

## Nport-Ex

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** | **(AMOUNTS IN THOUSANDS\*, EXCEPT NUMBER OF SHARES, CONTRACTS, UNITS AND OUNCES, IF ANY)** |
|  | PRINCIPAL<br>AMOUNT<br>(000s) | MARKET<br>VALUE<br>(000s) |
| **INVESTMENTS IN SECURITIES 136.1% ¤** |  |  |
| **LOAN PARTICIPATIONS AND ASSIGNMENTS 35.2%**  |  |  |
| **Aligned Data Centers International LP**<br>7.223% due 12/18/2029 «~ | $30300 | $30497 |
| **Altice France SA**  |  |  |
| 6.391% (EUR003M + 4.375%) due 04/30/2028 ~ | 152 | 174 |
| 6.391% (EUR003M + 4.375%) due 10/30/2028 ~ | 2729 | 3141 |
| 7.797% (TSFR3M + 4.125%) due 04/30/2028 ~ | $1515 | 1510 |
| 8.735% (TSFR3M + 5.063%) due 10/30/2028 ~ | 22797 | 22733 |
| 8.891% (EUR003M + 6.875%) due 05/30/2031 ~ | 6134 | 7120 |
| 10.547% (TSFR3M + 6.875%) due 05/31/2031 ~ | $68826 | 69098 |
| **AP Core Holdings II LLC**<br>9.428% (TSFR3M + 5.500%) due 09/01/2027 ~ | 2749 | 2687 |
| **Aston XLN Topco Ltd.**<br>9.846% due 07/30/2032 «~ | 12658 | 16236 |
| **Bausch Health Cos., Inc.**<br>9.918% (TSFR1M + 6.250%) due 10/08/2030 ~ | $29162 | 28222 |
| **Central Parent, Inc.**<br>6.950% (TSFR3M + 3.250%) due 07/06/2029 ~ | 93399 | 66906 |
| **Cerba Healthcare SAS**  |  |  |
| 5.839% (EUR006M + 3.700%) due 06/30/2028 ~ | 15900 | 13590 |
| 6.089% (EUR006M + 3.950%) due 02/16/2029 ~ | 10450 | 8920 |
| 7.589% (EUR006M + 5.450%) due 02/16/2029 ~ | 1100 | 942 |
| **Circor International, Inc.**<br>0.500% due 06/20/2029 «~µ | $1066 | 1078 |
| **Clover Holdings 2 LLC**<br>TBD% - 3.500% due 12/10/2029 ~µ | 6575 | 6061 |
| **Comexposium**  |  |  |
| TBD% (EUR012M + 0.000%) due 03/28/2031 «~ | 18770 | 26468 |
| TBD% (EUR012M + 0.000%) due 07/10/2031 «~ | 64347 | 90737 |
| TBD% - 1.138% (EUR012M + 0.000%) due 10/16/2031 «~ | 6310 | 8898 |
| **Coreweave Compute Acquisition Co. II LLC**<br>13.266% - 13.326% (TSFR3M + 9.620%) due 07/31/2028 «~ | $14687 | 15119 |
| **Coreweave Compute Acquisition Co. IV LLC**<br>9.669% - 9.700% (TSFR3M + 6.000%) due 05/16/2029 «~ | 46114 | 47523 |
| **Databricks, Inc.**  |  |  |
| 1.000% due 01/05/2032 ~µ | 2809 | 2795 |
| 8.171% (TSFR1M + 4.500%) due 01/05/2032 ~ | 12691 | 12628 |
| **Dun & Bradstreet Corp.**  |  |  |
| 0.500% - 5.500% due 08/26/2032 «~µ | 1364 | 1364 |
| 0.500% - 5.500% (TSFR1M + 5.500%) due 08/26/2032 «~ | 13608 | 13340 |
| **Ecopetrol SA**<br>TBD% due 12/18/2027 « | 10000 | 9900 |
| **Electronic Arts, Inc.**<br>TBD% due 03/24/2033 | 10000 | 9950 |
| **Encina Private Credit LLC**<br>TBD% due 11/30/2026 «~ | 124 | 102 |
| **Envalior Finance GmbH**<br>7.526% (EUR003M + 5.500%) due 03/29/2030 ~ | 16200 | 16841 |
| **Envision Healthcare Corp.**  |  |  |
| 11.641% (TSFR3M + 7.875%) due 07/20/2026 «~ | $16489 | 16489 |
| 11.641% (TSFR3M + 7.875%) due 11/03/2028 «~ | 119220 | 122796 |
| **Espai Barca Fondo De Titulizacion (6.500% PIK)**<br>6.500% (EUR006M + 0.000%) due 06/30/2028 «~(d) | 23363 | 29577 |
| **Finastra USA, Inc.**<br>7.671% (TSFR3M + 4.000%) due 09/15/2032 ~ | $7000 | 6590 |
| **Forward Air Corp.**<br>8.167% (TSFR3M + 4.500%) due 12/19/2030 ~ | 78209 | 76332 |
| **Galaxy U.S. Opco, Inc.**<br>12.667% (TSFR3M + 5.250%) due 07/31/2030 ~ | 54868 | 47618 |
| **Gateway Casinos & Entertainment Ltd.**<br>9.936% (TSFR3M + 6.250%) due 12/18/2030 ~ | 67138 | 67306 |
| **Gray Television, Inc.**<br>8.918% (TSFR1M + 5.250%) due 06/04/2029 ~ | 243 | 244 |
| **Harp Finco Ltd.**<br>8.727% due 03/27/2032 «~ | 19324 | 25763 |
| **Houghton Mifflin Harcourt Publishing Co.**<br>9.018% (TSFR1M + 5.250%) due 04/09/2029 ~ | $9929 | 8446 |
| **iHeartCommunications, Inc.**<br>9.557% (TSFR1M + 5.775%) due 05/01/2029 ~ | 14971 | 13168 |
| **Ineos U.S. Finance LLC**<br>6.918% (TSFR1M + 3.250%) due 02/18/2030 ~ | 51442 | 45108 |
| **ION Platform Finance SARL**<br>6.127% (EUR003M + 4.000%) due 10/07/2032 ~ | 25550 | 23835 |
| **Ivanti Software, Inc.**  |  |  |
| 8.411% (TSFR3M + 4.750%) due 06/01/2029 ~ | $88693 | 60194 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| 9.411% (TSFR3M + 5.750%) due 06/01/2029 ~µ | 11824 | 11838 |
| **J&J Ventures Gaming LLC**<br>8.782% (TSFR1M + 5.000%) due 04/26/2028 «~ | 9229 | 9229 |
| **Lealand Finance Co. BV**<br>6.782% (TSFR1M + 3.000%) due 06/30/2027 ~ | 385 | 323 |
| **Lealand Finance Co. BV (7.782% Cash)**<br>7.782% (TSFR1M + 4.000%) due 12/31/2027 ~ | 6659 | 5569 |
| **McAfee LLC**<br>6.668% (TSFR1M + 3.000%) due 03/01/2029 ~ | 3980 | 3567 |
| **Mercury Aggregator LP**<br>TBD% due 04/03/2027 «~ | 17815 | 0 |
| **MH Sub I LLC**<br>7.918% (TSFR1M + 4.250%) due 12/31/2031 ~ | 4938 | 3314 |
| **Motion Finco SARL**<br>7.200% (TSFR3M + 3.500%) due 11/12/2029 ~ | 13715 | 12064 |
| **MPH Acquisition Holdings LLC**  |  |  |
| 7.417% (TSFR3M + 3.750%) due 12/31/2030 ~ | 999 | 999 |
| 8.528% (TSFR3M + 4.600%) due 12/31/2030 ~ | 36234 | 32264 |
| **Newfold Digital Holdings Group, Inc.**  |  |  |
| 7.269% - 9.442% (TSFR1M + 3.500%) due 04/30/2029 ~ | 59344 | 39732 |
| 7.269% - 9.442% (TSFR3M + 5.750%) due 04/30/2029 «~ | 5023 | 3817 |
| **Nexstar Broadcasting, Inc.**<br>TBD% due 03/18/2033 | 1600 | 1584 |
| **Nscale AS**<br>TBD% - 8.700% (TSFR3M + 5.000%) due 08/11/2032 «~µ | 19000 | 19000 |
| **OCS Group Holdings Ltd.**<br>8.980% - 9.719% due 11/28/2031 ~ | 2300 | 3034 |
| **Paradigm Parent LLC**<br>8.200% (TSFR3M + 4.500%) due 04/16/2032 ~ | $35920 | 29813 |
| **Peraton Corp.**  |  |  |
| 7.517% (TSFR3M + 3.750%) due 02/01/2028 ~ | 179826 | 153901 |
| 11.523% (TSFR3M + 7.750%) due 02/01/2029 ~ | 4733 | 3432 |
| **Polaris Newco LLC**  |  |  |
| 6.026% (EUR003M + 4.000%) due 06/02/2028 ~ | 52185 | 51371 |
| 7.928% (TSFR3M + 4.000%) due 06/02/2028 ~ | $74307 | 65599 |
| **Poseidon Bidco SASU**<br>7.504% (EUR006M + 5.000%) due 03/13/2030 ~ | 93660 | 32477 |
| **Project Alpha Intermediate Holding, Inc.**<br>6.950% (TSFR3M + 3.250%) due 10/26/2030 ~ | $6 | 4 |
| **Project Quasar Pledgco SLU**<br>5.190% (EUR001M + 3.250%) due 04/15/2026 «~ | 8849 | 10162 |
| **Promotora de Informaciones SA**  |  |  |
| 7.249% (EUR003M + 5.220%) due 06/29/2029 ~ | 9802 | 11386 |
| 7.499% (EUR003M + 5.470%) due 12/31/2029 «~ | 147517 | 166671 |
| **Puris LLC**<br>9.420% - 9.451% (TSFR3M + 5.750%) due 06/30/2031 «~ | $14953 | 14450 |
| **Republic of Kenya Government International Bonds**<br>9.186% (JY0003M + 5.400%) due 04/05/2028 «~ | 4167 | 4130 |
| **SCUR-Alpha 1503 GmbH**<br>9.167% (TSFR3M + 5.500%) due 03/29/2030 ~ | 68582 | 60352 |
| **Softbank Vision Fund II**<br>7.350% (TSFR3M + 3.650%) due 04/25/2029 «~ | 28385 | 28859 |
| **Spruce Bidco II, Inc.**  |  |  |
| 0.500% - 8.371% (TSFR6M + 4.750%) due 01/30/2032 «~µ | 2245 | 2241 |
| 0.500% - 8.371% (JY0003M + 5.000%) due 01/30/2032 «~ | 191919 | 1200 |
| 0.500% - 8.371% due 01/30/2032 «~ | 1790 | 1276 |
| 0.500% - 8.371% (TSFR6M + 4.750%) due 01/30/2032 «~ | $9889 | 9809 |
| **Steenbok Lux Finco 2 SARL**<br>10.000% due 12/31/2028 ~ | 242512 | 74809 |
| **Stepstone Group Midco 2 GmbH**  |  |  |
| 6.599% (EUR006M + 4.500%) due 04/26/2032 ~ | 48100 | 48838 |
| 8.199% (TSFR6M + 4.500%) due 12/19/2031 ~ | $42930 | 37778 |
| **Strategic Gaming Commitment**<br>10.672% (TSFR3M + 7.000%) due 10/15/2030 «~ | 21000 | 21421 |
| **Subcalidora 2**<br>7.877% (EUR003M + 5.750%) due 08/14/2029 «~ | 52304 | 59091 |
| **Syniverse Holdings, Inc.**<br>10.700% (TSFR3M + 7.000%) due 05/13/2027 «~ | $134781 | 124841 |
| **Transnet SOC Ltd.**<br>10.658% due 03/02/2028 «~ | 117771 | 6869 |
| **U.S. Renal Care, Inc.**  |  |  |
| 1.500% - 9.675% (TSFR1M + 6.000%) due 09/25/2030 «~ | $79131 | 80618 |
| 8.782% (TSFR1M + 5.000%) due 06/28/2028 ~ | 177774 | 167904 |
| **Unicorn Bay**<br>13.000% due 12/31/2026 «~ | 262735 | 33926 |
| **Upfield BV**<br>TBD% due 10/31/2030 | 34300 | 43470 |
| **VEON Amsterdam BV**<br>7.902% (TSFR3M + 4.250%) due 03/25/2027 «~ | $8800 | 8752 |
| **Virgin Media Investment Holdings Ltd.**<br>6.978% due 08/01/2030 «~ | 1600 | 2033 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **Westmoreland Coal Co.**<br>8.000% due 03/15/2029 «~ | $6750 | 2936 |
| Total Loan Participations and Assignments (Cost $2,855,276) |  | 2584799 |
| **CORPORATE BONDS & NOTES 25.8%**  |  |  |
| **BANKING & FINANCE 4.8%**  |  |  |
| **Alamo Re Ltd.**  |  |  |
| 11.944% (FHMMUSTF + 8.434%) due 06/07/2027 ~  | 1250 | 1296 |
| 15.390% (FHMMUSTF + 11.880%) due 06/08/2026 ~  | 1300 | 1325 |
| **Ambac Assurance Corp.** <br>5.100% due 12/31/2099 (j) | 185 | 245 |
| **Armor Holdco, Inc.** <br>8.500% due 11/15/2029 (l) | 11600 | 10604 |
| **Armor RE II Ltd.**  |  |  |
| 12.060% (BRMMUSDF + 8.500%) due 01/07/2032 ~  | 600 | 636 |
| 13.760% (BRMMUSDF + 10.200%) due 05/07/2031 ~  | 500 | 526 |
| **Bayou Re Ltd.**  |  |  |
| 11.872% (BNMMDTSC + 8.332%) due 04/30/2031 ~  | 250 | 260 |
| 22.040% (BNMMDTSC + 18.500%) due 04/30/2031 ~  | 250 | 269 |
| **Blue Ridge Re Ltd.**  |  |  |
| 7.010% (FHMMUSTF + 3.500%) due 01/08/2029 ~  | 400 | 402 |
| 9.510% (FHMMUSTF + 6.000%) due 01/08/2029 ~  | 300 | 297 |
| 11.510% (FHMMUSTF + 8.000%) due 01/08/2029 ~  | 250 | 246 |
| **Bonanza RE Ltd.** <br>3.659% (MSMMUSTF + 0.000%) due 01/08/2027 ~ | 1100 | 933 |
| **Cape Lookout Re Ltd.**  |  |  |
| 8.760% (FHMMUSTF + 5.250%) due 03/21/2033 ~  | 1600 | 1600 |
| 9.510% (FHMMUSTF + 6.000%) due 03/21/2033 ~  | 1550 | 1550 |
| 12.239% (GSMMUSTF + 8.702%) due 04/05/2027 ~  | 6500 | 6602 |
| **Charles River Re Ltd.** <br>11.172% (BNMMDTSC + 7.632%) due 05/10/2031 ~ | 250 | 257 |
| **Citrus Re Ltd.**  |  |  |
| 8.922% (T-BILL 3MO + 5.250%) due 06/07/2033 ~  | 400 | 400 |
| 9.910% (T-BILL 3MO + 6.250%) due 06/07/2033 ~  | 400 | 400 |
| **Corestate Capital Holding SA (10.000% Cash or 11.000% PIK)** <br>10.000% due 12/31/2026 (d) | 297 | 317 |
| **Corestate Capital Holding SA (8.000% Cash or 9.000% PIK)** <br>8.000% due 12/31/2028 (d) | 331 | 199 |
| **Credicorp Capital Sociedad Titulizadora SA** <br>9.700% due 03/05/2045 | 3500 | 1070 |
| **Credit Suisse AG AT1 Claim**  | $5060 | 1771 |
| **East Lane Re VII Ltd.** <br>12.160% (BRMMUSDF + 8.500%) due 03/31/2032 ~ | 2000 | 2003 |
| **Everglades Re II Ltd.**  |  |  |
| 14.041% (GSMMUSTI + 10.500%) due 05/13/2031 ~  | 4260 | 4318 |
| 15.041% (GSMMUSTI + 11.500%) due 05/13/2031 ~  | 4260 | 4326 |
| 16.291% (GSMMUSTI + 12.750%) due 05/13/2027 ~  | 4260 | 4335 |
| **Fairfax India Holdings Corp.** <br>5.000% due 02/26/2028 (l) | 12350 | 11790 |
| **Gateway Re Ltd.** <br>5.560% (BRMMUSDF + 2.000%) due 07/06/2029 ~ | 8250 | 8250 |
| **Golden Bear Re Ltd.**  |  |  |
| 13.162% (T-BILL 1MO + 9.500%) due 03/08/2032 ~  | 2100 | 2100 |
| 13.412% (JMMMUSTF + 9.750%) due 01/08/2029 ~  | 4300 | 4378 |
| **Greengrove RE Ltd.** <br>11.290% (BNMMDTSC + 7.750%) due 04/08/2032 ~ | 1500 | 1555 |
| **GSG Bidco Ltd.** <br>4.700% due 06/15/2031 | 3600 | 4128 |
| **Handshake Re Ltd.** <br>8.060% (JMMMUSTF + 4.500%) due 01/08/2030 ~ | $300 | 298 |
| **Herbie Re Ltd.** <br>7.780% (MSMMUSTF + 4.250%) due 01/07/2030 ~ | 500 | 501 |
| **Hestia Re Ltd.**  |  |  |
| 10.290% (BNMMDTSC + 6.750%) due 03/13/2032 ~  | 500 | 508 |
| 11.790% (BNMMDTSC + 8.250%) due 03/13/2032 ~  | 500 | 511 |
| **Integrity RE III Ltd.**  |  |  |
| 6.010% (FHMMUSTF + 2.500%) due 06/07/2029 ~  | 800 | 800 |
| 11.510% (FHMMUSTF + 8.000%) due 06/06/2027 ~  | 250 | 255 |
| 13.260% (FHMMUSTF + 9.750%) due 06/06/2027 ~  | 250 | 256 |
| 15.760% (FHMMUSTF + 12.250%) due 06/06/2028 ~  | 800 | 831 |
| 29.010% (FHMMUSTF + 25.500%) due 06/06/2027 ~  | 1400 | 1539 |
| **Integrity Re Ltd.**  |  |  |
| 20.744% (FHMMUSTF + 17.234%) due 06/08/2026 ~  | 3200 | 3294 |
| 26.306% (FHMMUSTF + 22.796%) due 06/08/2026 ~  | 3200 | 3323 |
| **ION Platform Finance SARL**  |  |  |
| 6.500% due 09/30/2030 (l)  | 20900 | 20178 |
| 6.875% due 09/30/2032 (l)  | 18300 | 16912 |
| 7.875% due 05/01/2029 (l)  | 26300 | 28370 |
| **ION Platform Finance U.S., Inc.** <br>7.875% due 09/30/2032 (l) | $1800 | 1396 |
| **ION Platform Finance U.S., Inc./ION Platform Finance SARL**  |  |  |
| 5.000% due 05/01/2028 (l)  | 4200 | 3927 |
| 5.750% due 05/15/2028 (l)  | 800 | 761 |
| 8.750% due 05/01/2029 (l)  | 13938 | 12977 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| 9.000% due 08/01/2029 (l)  | 20988 | 19480 |
| 9.500% due 05/30/2029 (l)  | 33640 | 31703 |
| **Locke Tavern Re Ltd.**  |  |  |
| 4.060% (JMMMUSTF + 3.250%) due 04/11/2033 ~  | 800 | 800 |
| 4.060% (JMMMUSTF + 4.250%) due 04/11/2033 ~  | 700 | 700 |
| **Longleaf Pine Re Ltd.** <br>21.473% (GSMMUSTI + 17.932%) due 05/27/2031 ~ | 700 | 741 |
| **Nature Coast Re Ltd.**  |  |  |
| 11.661% (T-BILL 3MO + 8.000%) due 02/26/2030 ~  | 1900 | 1895 |
| 13.291% (GSMMUSTI + 9.750%) due 04/10/2033 ~  | 1200 | 1242 |
| 13.541% (GSMMUSTI + 10.000%) due 12/07/2030 ~  | 824 | 838 |
| **Orange Capital RE DAC** <br>8.026% (EUR003M + 6.000%) due 01/17/2029 ~ | 300 | 364 |
| **Palm RE Ltd.**  |  |  |
| 11.290% (BNMMDTSC + 7.750%) due 06/07/2032 ~  | $800 | 825 |
| 13.240% (BNMMDTSC + 9.700%) due 06/09/2031 ~  | 250 | 262 |
| **Panama Infrastructure Receivable Purchaser PLC** <br>0.000% due 04/05/2032 (h)(l) | 4677 | 3662 |
| **Polestar Re Ltd.**  |  |  |
| 10.661% (BRMMUSDF + 7.000%) due 01/08/2029 ~  | 400 | 401 |
| 12.661% (BRMMUSDF + 9.000%) due 01/08/2029 ~  | 400 | 400 |
| 14.150% (BRMMUSDF + 10.590%) due 01/07/2028 ~  | 2300 | 2411 |
| 14.161% (BRMMUSDF + 10.500%) due 01/08/2029 ~  | 250 | 251 |
| 16.810% (BRMMUSDF + 13.250%) due 01/07/2027 ~  | 6500 | 6721 |
| **Purple Re Ltd.**  |  |  |
| 6.060% (JMMMUSTF + 2.500%) due 06/07/2033 ~  | 1200 | 1200 |
| 12.686% (JMMMUSTF + 9.126%) due 06/07/2027 ~  | 700 | 722 |
| **Quercus II Re DAC** <br>13.079% (EUR003M + 11.000%) due 01/07/2031 ~ | 1700 | 1965 |
| **Quercus Re DAC** <br>10.020% (EUR003M + 8.000%) due 01/06/2031 ~ | 300 | 359 |
| **Sabine Re Ltd.** <br>12.060% (BNMMDTSC + 8.520%) due 04/07/2031 ~ | $300 | 310 |
| **Sanders Re III Ltd.** <br>15.880% (BRMMUSDF + 12.320%) due 04/09/2029 ~ | 11610 | 7547 |
| **Thames Ssnm Unfunded Comm** <br>9.750% due 10/10/2027 | 788 | 1001 |
| **Titanium 2l Bondco SARL** <br>6.250% due 01/14/2031 | 57661 | 10830 |
| **Torrey Pines Re Ltd.**  |  |  |
| 9.596% (JMMMUSTF + 6.036%) due 06/07/2032 ~  | $2200 | 2275 |
| 10.666% (JMMMUSTF + 7.106%) due 06/07/2032 ~  | 1300 | 1348 |
| 12.938% (BRMMUSDF + 9.378%) due 06/05/2031 ~  | 700 | 706 |
| **Tremont Re Ltd.** <br>7.661% (T-BILL 1MO + 4.000%) due 03/22/2033 ~ | 300 | 300 |
| **Uniti Group LP/Uniti Fiber Holdings, Inc./CSL Capital LLC** <br>6.000% due 01/15/2030 (l) | 66451 | 62573 |
| **Ursa Re II Ltd.**  |  |  |
| 8.661% (MSMMUSTF + 5.000%) due 12/07/2029 ~  | 300 | 298 |
| 11.411% (MSMMUSTF + 7.750%) due 06/07/2028 ~  | 2300 | 2322 |
| **Ursa Re Ltd.**  |  |  |
| 11.041% (GSMMUSTI + 7.500%) due 02/22/2028 ~  | 3700 | 3783 |
| 12.810% (JMMMUSTF + 9.250%) due 12/07/2028 ~  | 6800 | 6993 |
| **Veraison Re Ltd.**  |  |  |
| 7.691% (GSMMUSTI + 4.150%) due 03/08/2034 ~  | 300 | 300 |
| 8.541% (GSMMUSTI + 5.000%) due 03/08/2033 ~  | 300 | 305 |
| **Vitality Re XVII Ltd.** <br>7.541% (GSMMUSTI + 4.000%) due 01/08/2031 ~ | 300 | 300 |
| **Voyager Aviation Holdings LLC** <br>8.500% due 05/09/2026 ^«(e) | 54427 | 0 |
| **Windmill III Re DAC** <br>7.236% (EUR003M + 5.210%) due 07/05/2028 ~ | 250 | 299 |
| **Windrose Re Ltd.** <br>8.790% (HSMMUSTF + 5.250%) due 02/11/2033 ~ | $400 | 399 |
| **Winston RE Ltd.** <br>10.040% (BNMMDTSC + 6.500%) due 02/21/2028 ~ | 300 | 307 |
|  |  | 354163 |
| **INDUSTRIALS 19.2%**  |  |  |
| **Altice France Lux 3/Altice Holdings 1** <br>10.000% due 01/15/2033 | 16738 | 15232 |
| **Altice France SA** <br>9.500% due 11/01/2029 (l) | 16790 | 16978 |
| **ams-OSRAM AG**  |  |  |
| 10.500% due 03/30/2029 (l)  | 57800 | 70203 |
| 12.250% due 03/30/2029 (l)  | $21681 | 23079 |
| **APLD ComputeCo 2 LLC** <br>6.750% due 03/15/2031 (l) | 4000 | 3973 |
| **Aston Martin Capital Holdings Ltd.**  |  |  |
| 10.000% due 03/31/2029 (l)  | 46124 | 34748 |
| 10.375% due 03/31/2029 (l)  | 9300 | 9522 |
| **Beignet Investor LLC** <br>6.581% due 05/30/2049 (l) | $20530 | 21124 |
| **Central Parent LLC/CDK Global II LLC/CDK Financing Co., Inc.** <br>8.000% due 06/15/2029 (l) | 27220 | 20259 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **Central Parent, Inc./CDK Global, Inc.** <br>7.250% due 06/15/2029 (l) | 18470 | 13313 |
| **Cheplapharm Arzneimittel GmbH**  |  |  |
| 6.750% due 02/15/2032 (l)  | 5500 | 6228 |
| 7.500% due 05/15/2030 (l)  | 4243 | 4955 |
| **Claritev Corp. (6.500% Cash and 0.750% PIK)** <br>7.250% due 03/31/2031 (d) | $26258 | 17067 |
| **Cogent Communications Group LLC/Cogent Finance, Inc.** <br>7.000% due 06/15/2027 (l) | 7055 | 6974 |
| **CoreWeave, Inc.** <br>9.000% due 02/01/2031 (l) | 7800 | 7432 |
| **CVR Energy, Inc.** <br>7.500% due 02/15/2031 (l) | 3000 | 3025 |
| **CVS Pass-Through Trust** <br>7.507% due 01/10/2032 (l) | 1261 | 1332 |
| **DISH DBS Corp.**  |  |  |
| 5.250% due 12/01/2026 (l)  | 93515 | 92767 |
| 5.750% due 12/01/2028 (l)  | 91806 | 88850 |
| 7.750% due 07/01/2026 (l)  | 57800 | 57673 |
| **Ecopetrol SA**  |  |  |
| 4.625% due 11/02/2031 (l)  | 1300 | 1156 |
| 7.750% due 02/01/2032 (l)  | 116310 | 117554 |
| **Flora Food Management BV**  |  |  |
| 6.875% due 07/02/2029 (l)  | 3000 | 3259 |
| 7.500% due 10/31/2030  | 5300 | 6072 |
| **Gazprom PJSC Via Gaz Capital SA**  |  |  |
| 7.288% due 08/16/2037  | $300 | 225 |
| 8.625% due 04/28/2034  | 1081 | 892 |
| **GSG Bidco Ltd.**  |  |  |
| 5.375% due 06/15/2036  | 1850 | 2124 |
| 6.375% due 06/15/2051  | 6300 | 7232 |
| **Incora Intermediate II LLC (0.500% PIK)** <br>0.500% due 01/31/2030 «(d) | $75893 | 75893 |
| **Incora Top Holdco LLC** <br>6.000% due 01/30/2033 «(k) | 52753 | 79896 |
| **JetBlue Airways Corp./JetBlue Loyalty LP** <br>9.875% due 09/20/2031 (l) | 14184 | 13424 |
| **Motion Finco SARL**  |  |  |
| 7.375% due 06/15/2030 (l)  | 51500 | 51667 |
| 8.375% due 02/15/2032 (l)  | $1200 | 993 |
| **MPH Acquisition Holdings LLC** <br>5.750% due 12/31/2030 (l) | 53206 | 40761 |
| **MPH Acquisition Holdings LLC (6.500% Cash and 5.000% PIK)** <br>11.500% due 12/31/2030 (d)(l) | 14436 | 13064 |
| **National Mentor Holdings, Inc.** <br>10.500% due 12/15/2030 (l) | 9400 | 9710 |
| **Newfold Digital Holdings Group, Inc.** <br>7.269% due 04/30/2029 | 41247 | 21144 |
| **Nexstar Media, Inc.**  |  |  |
| 6.500% due 09/15/2033 (l)  | 3700 | 3730 |
| 7.250% due 04/15/2034 (c)  | 2340 | 2349 |
| **Nissan Motor Co. Ltd.** <br>7.500% due 07/17/2030 (l) | 3600 | 3631 |
| **OAK-Eagle Acquireco, Inc.**  |  |  |
| 6.250% due 07/01/2033 (c)  | 1000 | 1181 |
| 7.250% due 07/01/2033 (c)  | $2900 | 3006 |
| 8.750% due 07/01/2034 (c)  | 1900 | 1990 |
| **Ocado Group PLC**  |  |  |
| 10.500% due 08/08/2029 (l)  | 47950 | 62764 |
| 11.000% due 06/15/2030 (l)  | 21580 | 28526 |
| **Petroleos de Venezuela SA**  |  |  |
| 5.375% due 04/12/2027 ^(e)  | $100 | 33 |
| 6.000% due 11/15/2026 ^(e)  | 36885 | 12692 |
| 9.750% due 05/17/2035 ^(e)  | 15800 | 6601 |
| **Petroleos Mexicanos** <br>6.700% due 02/16/2032 (l) | 14345 | 14051 |
| **Prime Healthcare Services, Inc.** <br>9.375% due 09/01/2029 (l) | 1100 | 1141 |
| **ProFrac Holdings II LLC** <br>10.932% (TSFR3M + 7.250%) due 01/23/2029 ~ | 19041 | 18993 |
| **Russian Railways Via RZD Capital PLC** <br>7.487% due 03/25/2031 ^(e) | 200 | 185 |
| **Sonangol Finance Ltd.** <br>10.000% due 01/29/2031 | $4800 | 4787 |
| **Thames Water Super Senior Issuer PLC** <br>9.750% due 10/10/2027 | 3398 | 4916 |
| **Times Square Hotel Trust** <br>8.528% due 08/01/2026 | $284 | 285 |
| **Toll Road Investors Partnership II LP** <br>0.000% due 02/15/2043 (h)(l) | 15299 | 5412 |
| **Topaz Solar Farms LLC**  |  |  |
| 4.875% due 09/30/2039 (l)  | 12872 | 11649 |
| 5.750% due 09/30/2039 (l)  | 35424 | 35266 |
| **Toucan FinCo Ltd./Toucan FinCo Can, Inc./Toucan FinCo U.S. LLC**  |  |  |
| 8.250% due 05/15/2030 (l)  | 74718 | 74857 |
| 9.500% due 05/15/2030 (l)  | $5683 | 5026 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **U.S. Renal Care, Inc.** <br>10.625% due 06/28/2028 | 13209 | 11030 |
| **Ubisoft Entertainment SA** <br>0.878% due 11/24/2027 (l) | 12500 | 11672 |
| **Vale SA** <br>0.000% due 12/29/2049 ~(j) | 830470 | 70255 |
| **Venture Global LNG, Inc.** <br>9.500% due 02/01/2029 (l) | $8530 | 9228 |
| **Viridien**  |  |  |
| 8.500% due 10/15/2030 (l)  | 18988 | 23101 |
| 10.000% due 10/15/2030 (l)  | $11256 | 11987 |
| **VZ Secured Financing BV** <br>7.500% due 01/15/2033 (l) | 10700 | 10095 |
| **Yellowstone Energy LP** <br>5.750% due 12/31/2026 | 586 | 580 |
|  |  | 1410819 |
| **UTILITIES 1.8%**  |  |  |
| **Altice Holdings 1 SARL** <br>0.010% due 12/31/2099 « | 78 | 1075 |
| **FORESEA Holding SA** <br>7.500% due 06/15/2030 (l) | $2711 | 2663 |
| **Gazprom PJSC via Gaz Finance PLC** <br>3.000% due 06/29/2027 | 200 | 173 |
| **Genesis Energy LP/Genesis Energy Finance Corp.** <br>6.750% due 03/15/2034 (l) | 1100 | 1095 |
| **NGD Holdings BV** <br>6.750% due 12/31/2026 (l) | 4002 | 3732 |
| **Nova Securitisation SARL**  |  |  |
| 5.750% due 02/03/2031 (l)  | 8400 | 8137 |
| 6.500% due 02/03/2036 (l)  | 4300 | 4096 |
| **OI SA (10.000% Cash or 6.000% PIK and 7.500% Cash or 13.500% PIK)**  |  |  |
| 10.000% due 06/30/2027 ^(d)(e)(l)  | 88781 | 43059 |
| 10.000% due 06/30/2027 ^(d)(e)  | 24262 | 11767 |
| **OI SA (8.500% PIK)** <br>8.500% due 12/31/2028 ^(d)(e) | 153998 | 1636 |
| **Peru LNG SRL** <br>5.375% due 03/22/2030 (l) | 31374 | 30476 |
| **Petersen Claim Units** <br>0.000% due 12/31/2099 «(k) | 438 | 1970 |
| **Uniti Group LP/Uniti Group Finance 2019, Inc./CSL Capital LLC** <br>6.500% due 02/15/2029 (l) | 21015 | 20429 |
|  |  | 130308 |
| Total Corporate Bonds & Notes (Cost $2,156,102) |  | 1895290 |
| **CONVERTIBLE BONDS & NOTES 0.2%**  |  |  |
| **BANKING & FINANCE 0.0%**  |  |  |
| **CIFI Holdings Group Co. Ltd.** <br>0.000% due 06/30/2029 (h)(k) | 875 | 32 |
| **Corestate Capital Holding SA (8.000% Cash or 9.000% PIK)** <br>8.000% due 12/31/2028 (d) | 2521 | 1515 |
| **Country Garden Holdings Co. Ltd.** <br>0.000% due 12/31/2031 (h)(k) | $1285 | 144 |
|  |  | 1691 |
| **INDUSTRIALS 0.2%**  |  |  |
| **Ubisoft Entertainment SA** <br>2.375% due 11/15/2028 (l) | 11700 | 12915 |
| Total Convertible Bonds & Notes (Cost $16,297) |  | 14606 |
| **MUNICIPAL BONDS & NOTES 0.5%**  |  |  |
| **MICHIGAN 0.0%**  |  |  |
| **Michigan Tobacco Settlement Finance Authority Revenue Bonds, Series 2008** <br>0.000% due 06/01/2046 (h) | $23000 | 3127 |
| **WEST VIRGINIA 0.5%**  |  |  |
| **Tobacco Settlement Finance Authority, West Virginia Revenue Bonds, Series 2007** <br>0.000% due 06/01/2047 (h) | 355485 | 33030 |
| Total Municipal Bonds & Notes (Cost $54,403) |  | 36157 |
| **U.S. GOVERNMENT AGENCIES 1.4%**  |  |  |
| **Federal Home Loan Mortgage Corp. Military Housing Bonds Resecuritization Trust Certificates**<br>0.700% due 11/25/2055 ~(a) | 250076 | 14930 |
| **Federal Home Loan Mortgage Corp. Multifamily Structured Pass-Through Certificates**<br>2.010% due 11/25/2045 ~(a)(l) | 75137 | 2279 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **Federal Home Loan Mortgage Corp. REMICS**  |  |  |
| 0.578% due 11/15/2048 •(a)(l) | 26980 | 1043 |
| 2.324% due 06/25/2050 •(a)(l) | 807 | 93 |
| 2.363% due 01/15/2047 •(a) | 195 | 23 |
| 2.374% due 05/25/2050 •(a) | 5520 | 658 |
| 2.413% due 09/15/2042 •(a) | 258 | 22 |
| 2.513% due 05/15/2037 •(a) | 564 | 46 |
| 2.623% due 05/15/2037 •(a) | 34 | 3 |
| 2.638% due 01/25/2051 •(a)(l) | 8229 | 1250 |
| 2.683% due 07/15/2036 •(a)(l) | 704 | 68 |
| 2.793% due 09/15/2036 •(a) | 228 | 23 |
| 2.813% due 05/15/2041 •(a) | 474 | 41 |
| 2.913% due 04/15/2036 •(a) | 84 | 8 |
| 3.000% due 06/25/2050 (a)(l) | 9572 | 1824 |
| 3.201% due 09/15/2041 •(l) | 602 | 574 |
| 3.500% due 07/25/2050 (a)(l) | 18823 | 3517 |
| 3.993% due 09/15/2036 •(a) | 361 | 48 |
| 4.000% due 03/15/2027 (a) | 3 | 0 |
| 4.000% due 07/25/2050 (a)(l) | 15147 | 3506 |
| 5.000% due 05/25/2048 (a)(l) | 4825 | 752 |
| **Federal Home Loan Mortgage Corp. Seasoned Credit Risk Transfer Trust**  |  |  |
| 1.612% due 11/25/2057 ~ | 846 | 321 |
| 2.694% due 05/25/2064 ~ | 3960 | 1978 |
| 3.429% due 05/25/2057 ~ | 4113 | 1771 |
| 3.551% due 10/25/2058 ~ | 2118 | 965 |
| 4.127% due 11/25/2061 ~(a) | 10997 | 4451 |
| 4.221% due 11/25/2059 ~ | 12598 | 6420 |
| 4.250% due 09/25/2060 (l) | 1361 | 1332 |
| 4.250% due 03/25/2061 ~(l) | 700 | 654 |
| 4.500% due 11/25/2061 ~(l) | 3900 | 3637 |
| 5.000% due 04/25/2062 ~ | 3400 | 3176 |
| 5.118% due 05/25/2060 ~ | 1860 | 1082 |
| 6.934% due 03/25/2061 ~ | 1931 | 1197 |
| 12.435% due 09/25/2060 ~ | 1573 | 1239 |
| 13.072% due 11/25/2060 ~ | 1166 | 906 |
| **Federal Home Loan Mortgage Corp. STACR REMICS Trust**  |  |  |
| 10.762% due 01/25/2042 •(l) | 3800 | 3944 |
| 11.162% due 10/25/2041 •(l) | 8896 | 9151 |
| 11.462% due 11/25/2041 •(l) | 8324 | 8609 |
| **Federal Home Loan Mortgage Corp. STRIPS**<br>2.163% due 04/15/2039 •(a)(l) | 848 | 90 |
| **Federal National Mortgage Association Connecticut Avenue Securities Trust**<br>9.662% due 10/25/2041 •(l) | 8201 | 8372 |
| **Federal National Mortgage Association REMICS**  |  |  |
| 0.288% due 10/25/2042 •(l) | 843 | 691 |
| 2.144% due 07/25/2041 •(a)(l) | 1175 | 114 |
| 2.224% due 08/25/2038 •(a) | 295 | 21 |
| 2.274% due 08/25/2049 •(a) | 126 | 14 |
| 2.274% due 07/25/2059 •(a)(l) | 5205 | 579 |
| 2.294% due 10/25/2040 •(a)(l) | 994 | 50 |
| 2.374% due 02/25/2043 •(a)(l) | 1112 | 123 |
| 2.399% due 10/25/2060 ~(a) | 11885 | 1056 |
| 2.574% due 12/25/2037 •(a) | 26 | 2 |
| 2.744% due 09/25/2037 •(a) | 181 | 12 |
| 2.824% due 03/25/2040 •(a) | 258 | 3 |
| 2.864% due 12/25/2036 •(a)(l) | 785 | 76 |
| 2.874% due 11/25/2036 •(a) | 26 | 1 |
| 2.944% due 06/25/2037 •(a) | 128 | 8 |
| 3.000% due 01/25/2042 (a) | 39 | 1 |
| 3.204% due 03/25/2038 •(a) | 536 | 61 |
| 3.224% due 02/25/2038 •(a) | 316 | 37 |
| 3.500% due 08/25/2032 (a) | 400 | 29 |
| 3.500% due 06/25/2050 (a)(l) | 13897 | 2957 |
| 3.878% due 01/25/2041 •  | 1901 | 1931 |
| 4.000% due 06/25/2050 (a)(l) | 1715 | 324 |
| 4.500% due 04/25/2042 (a) | 386 | 36 |
| 5.000% due 01/25/2048 (a)(l) | 3323 | 727 |
| **Federal National Mortgage Association REMICS Trust**<br>1.046% due 08/25/2043 ~(a) | 13830 | 561 |
| **Government National Mortgage Association REMICS**  |  |  |
| 2.310% due 12/20/2048 •(a)(l) | 2175 | 202 |
| 2.330% due 08/20/2042 •(a)(l) | 1088 | 112 |
| 2.460% due 12/20/2040 •(a) | 572 | 25 |
| 2.500% due 09/20/2036 (a) | 29957 | 2376 |
| 3.500% due 06/20/2042 (a) | 134 | 12 |
| Total U.S. Government Agencies (Cost $109,884) |  | 102144 |
| **U.S. TREASURY OBLIGATIONS 0.1%**  |  |  |
| **U.S. Treasury Bonds**  |  |  |
| 4.875% due 08/15/2045 (n) | 4166 | 4153 |
| **U.S. Treasury Notes**  |  |  |
| 4.250% due 08/15/2035 (n)(p) | 6537 | 6514 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| Total U.S. Treasury Obligations (Cost $10,978) |  | 10667 |
| **NON-AGENCY MORTGAGE-BACKED SECURITIES 37.7%**  |  |  |
| **1166 Avenue of the Americas Commercial Mortgage Trust II** <br>5.690% due 10/13/2037 (l) | 500 | 470 |
| **20 Times Square Trust**  |  |  |
| 3.100% due 05/15/2035 ~  | 142 | 137 |
| 3.100% due 05/15/2035 ~(l)  | 500 | 473 |
| **245 Park Avenue Trust** <br>3.657% due 06/05/2037 ~(l) | 11361 | 10999 |
| **280 Park Avenue Mortgage Trust**  |  |  |
| 5.506% due 09/15/2034 •(l)  | 12600 | 12418 |
| 6.797% due 09/15/2034 •(l)  | 2500 | 2431 |
| **Adjustable Rate Mortgage Trust**  |  |  |
| 4.053% due 03/25/2036 •(l)  | 2764 | 1630 |
| 4.093% due 03/25/2037 •(l)  | 497 | 657 |
| 4.843% due 03/25/2037 ~(l)  | 1052 | 996 |
| 5.237% due 03/25/2036 ~(l)  | 18196 | 8589 |
| 6.019% due 11/25/2037 ~(l)  | 794 | 499 |
| **American Home Mortgage Assets Trust**  |  |  |
| 4.333% due 11/25/2035 •  | 153 | 151 |
| 4.373% due 08/25/2037 •(l)  | 4838 | 4433 |
| **American Home Mortgage Investment Trust**  |  |  |
| 4.333% due 03/25/2037 •  | 2373 | 816 |
| 4.393% due 09/25/2045 •(l)  | 1909 | 1733 |
| 4.693% due 02/25/2044 •(l)  | 6172 | 5962 |
| 6.600% due 01/25/2037 þ  | 4653 | 627 |
| **Anthracite Investments Cayman Ltd.** <br>5.678% due 06/20/2041 | 2021 | 0 |
| **ASG Resecuritization Trust**  |  |  |
| 3.534% due 01/28/2037 ~(l)  | 6569 | 5575 |
| 6.000% due 06/28/2037 ~(l)  | 24581 | 10938 |
| **Ashford Hospitality Trust**  |  |  |
| 4.745% due 04/15/2035 •(l)  | 2132 | 2132 |
| 5.095% due 04/15/2035 •(l)  | 8598 | 8572 |
| 5.245% due 04/15/2035 •(l)  | 24610 | 24492 |
| 5.945% due 04/15/2035 •  | 266 | 263 |
| 6.945% due 04/15/2035 •(l)  | 10939 | 10793 |
| 8.120% due 06/15/2035 •(l)  | 24694 | 24228 |
| **Atrium Hotel Portfolio Trust**  |  |  |
| 5.470% due 12/15/2036 •(l)  | 3000 | 2949 |
| 5.620% due 12/15/2036 •(l)  | 2840 | 2764 |
| 5.920% due 12/15/2036 •(l)  | 9300 | 8915 |
| 7.020% due 12/15/2036 •(l)  | 7500 | 7102 |
| **Avon Finance**  |  |  |
| 0.000% due 12/28/2049 (b)(h)  | 11488 | 12176 |
| 0.000% due 12/28/2049 (a)  | 9500 | 0 |
| 7.245% due 12/28/2049 •  | 11241 | 14887 |
| 7.495% due 12/28/2049 •  | 8564 | 11306 |
| 7.745% due 12/28/2049 •  | 9124 | 4563 |
| **BAMLL Commercial Mortgage Securities Trust**  |  |  |
| 2.627% due 01/15/2032 (l)  | $18810 | 17164 |
| 3.606% due 08/14/2034 ~  | 8000 | 1213 |
| **Banc of America Alternative Loan Trust**  |  |  |
| 2.847% due 06/25/2037 •(a)  | 241 | 28 |
| 4.153% due 06/25/2037 •  | 224 | 164 |
| 6.000% due 06/25/2037  | 75 | 65 |
| 6.000% due 06/25/2046  | 33 | 29 |
| 6.000% due 07/25/2046 (l)  | 522 | 455 |
| **Banc of America Funding Corp.** <br>3.880% due 05/26/2036 ~(l) | 4071 | 3561 |
| **Banc of America Funding Trust**  |  |  |
| 0.000% due 06/26/2035 ~(l)  | 1056 | 1046 |
| 0.000% due 11/26/2036 ~(l)  | 24038 | 8352 |
| 2.765% due 12/20/2034 ~  | 178 | 151 |
| 4.210% due 04/20/2047 •(l)  | 3537 | 3023 |
| 4.213% due 04/25/2037 •(l)  | 752 | 629 |
| 4.302% due 09/20/2037 ~  | 278 | 225 |
| 4.343% due 01/20/2047 ~  | 63 | 55 |
| 4.356% due 10/20/2046 ~  | 201 | 164 |
| 4.382% due 03/20/2036 ~(l)  | 654 | 602 |
| 4.465% due 02/20/2035 •(l)  | 2115 | 2066 |
| 4.491% due 09/20/2047 ~  | 131 | 115 |
| 4.751% due 01/25/2035 ~  | 68 | 67 |
| 4.999% due 08/25/2047 ~(l)  | 2007 | 1631 |
| 5.148% due 04/20/2035 ~(l)  | 706 | 695 |
| 5.765% due 12/20/2036 ~  | 14 | 14 |
| 6.000% due 10/25/2037 (l)  | 2425 | 2156 |
| 6.220% due 09/20/2046 ~(l)  | 403 | 401 |
| 6.619% due 07/26/2036 ~(l)  | 8009 | 2251 |
| **Banc of America Mortgage Trust**  |  |  |
| 5.653% due 01/25/2036 ~  | 77 | 76 |
| 5.750% due 10/25/2036 (l)  | 395 | 334 |
| 5.750% due 05/25/2037  | 463 | 342 |
| 6.000% due 10/25/2036  | 48 | 41 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| 6.622% due 10/20/2046 ~  | 14 | 13 |
| **Bayview Commercial Asset Trust** <br>4.118% due 03/25/2037 •(l) | 86 | 83 |
| **BBCCRE Trust**  |  |  |
| 3.966% due 08/10/2033 (l)  | 28700 | 26834 |
| 4.216% due 08/10/2033 (l)  | 12400 | 11142 |
| 4.563% due 08/10/2033 ~(l)  | 7790 | 6557 |
| **BBCMS Mortgage Trust**  |  |  |
| 3.688% due 02/15/2053 ~(l)  | 1250 | 1018 |
| 4.970% due 07/15/2037 •(l)  | 13000 | 12657 |
| 7.520% due 07/15/2037 •(l)  | 2600 | 1920 |
| **BCAP LLC Trust**  |  |  |
| 2.295% due 02/26/2037 ~(l)  | 6590 | 5376 |
| 3.640% due 04/25/2038 ~(l)  | 12869 | 9913 |
| 3.654% due 04/26/2037 ~(l)  | 5166 | 4474 |
| 3.784% due 07/26/2036 ~  | 329 | 297 |
| 3.984% due 02/26/2047 •(l)  | 9191 | 7620 |
| 4.077% due 05/26/2037 ~(l)  | 1313 | 1187 |
| 4.220% due 10/26/2037 ~(l)  | 4277 | 2730 |
| 4.288% due 05/26/2035 •(l)  | 3544 | 3173 |
| 4.375% due 02/26/2036 ~(l)  | 2128 | 1401 |
| 4.430% due 05/26/2036 •(l)  | 2733 | 2346 |
| 4.495% due 03/26/2037 ~(l)  | 664 | 615 |
| 4.900% due 03/27/2037 ~(l)  | 3564 | 3093 |
| 5.198% due 11/26/2035 ~(l)  | 1783 | 1505 |
| 5.260% due 01/26/2036 ~(l)  | 24443 | 7658 |
| 5.500% due 12/26/2035 ~(l)  | 7828 | 4568 |
| 5.584% due 06/26/2036 ~(l)  | 1769 | 1495 |
| 6.000% due 06/26/2037 ~(l)  | 1095 | 991 |
| 6.000% due 08/26/2037 ~(l)  | 1961 | 1579 |
| 6.000% due 10/26/2037 ~(l)  | 1468 | 974 |
| 6.826% due 07/26/2045 ~(l)  | 1662 | 1632 |
| **BCP Trust** <br>7.425% due 06/15/2038 •(l) | 11850 | 894 |
| **Bear Stearns ALT-A Trust**  |  |  |
| 3.873% due 04/25/2037 ~(l)  | 3306 | 2282 |
| 3.950% due 05/25/2036 ~  | 145 | 136 |
| 4.055% due 11/25/2035 ~(l)  | 7442 | 3849 |
| 4.113% due 06/25/2046 •(l)  | 942 | 872 |
| 4.119% due 04/25/2035 ~  | 95 | 89 |
| 4.126% due 11/25/2036 ~  | 1401 | 590 |
| 4.132% due 08/25/2036 ~  | 266 | 119 |
| 4.133% due 08/25/2036 •(l)  | 11920 | 10806 |
| 4.193% due 02/25/2034 •(l)  | 1196 | 1117 |
| 4.293% due 01/25/2036 •(l)  | 2452 | 2403 |
| 4.349% due 07/25/2035 ~  | 181 | 121 |
| 4.407% due 07/25/2036 ~(l)  | 44535 | 18308 |
| 4.414% due 11/25/2035 ~  | 19 | 12 |
| 4.434% due 03/25/2036 ~(l)  | 895 | 484 |
| 4.486% due 12/25/2046 ~(l)  | 3060 | 1479 |
| 4.518% due 08/25/2046 ~(l)  | 3572 | 2417 |
| 4.571% due 09/25/2035 ~(l)  | 7189 | 2336 |
| 4.652% due 05/25/2036 ~(l)  | 6151 | 2441 |
| 4.668% due 05/25/2035 ~  | 84 | 83 |
| 4.918% due 01/25/2035 •(l)  | 655 | 632 |
| 4.918% due 03/25/2035 •(l)  | 5237 | 4603 |
| 6.000% due 09/25/2034 ~  | 152 | 149 |
| **Bear Stearns ARM Trust**  |  |  |
| 4.036% due 08/25/2047 ~  | 100 | 88 |
| 4.242% due 06/25/2047 ~(l)  | 1153 | 1044 |
| 4.335% due 02/25/2036 ~  | 242 | 225 |
| 5.765% due 09/25/2034 ~  | 13 | 13 |
| 6.122% due 10/25/2036 ~  | 28 | 28 |
| 6.270% due 09/25/2034 ~  | 10 | 9 |
| **Beast Mortgage Trust**  |  |  |
| 4.837% due 03/15/2036 •(l)  | 11700 | 10428 |
| 5.237% due 03/15/2036 •  | 1330 | 617 |
| 7.237% due 03/15/2036 •(l)  | 6000 | 972 |
| **Benchmark Mortgage Trust**  |  |  |
| 2.437% due 09/15/2048 (l)  | 10678 | 9158 |
| 2.994% due 04/15/2054 ~  | 200 | 140 |
| 2.994% due 04/15/2054 ~(l)  | 4396 | 2799 |
| 3.075% due 12/15/2062 ~  | 700 | 20 |
| 3.899% due 03/15/2062 ~(l)  | 19430 | 16567 |
| **BMO Mortgage Trust** <br>3.269% due 02/17/2055 ~(l) | 7850 | 7476 |
| **Bridgegate Funding PLC**  |  |  |
| 0.000% due 10/16/2062 ~(l)  | 39972 | 47749 |
| 0.000% due 10/16/2062 ~  | 20785 | 5616 |
| 0.000% due 10/16/2062 (h)  | 5795 | 0 |
| 9.744% due 10/16/2062 •(l)  | 23983 | 31733 |
| 12.744% due 10/16/2062 •(l)  | 11991 | 23156 |
| **BSREP Commercial Mortgage Trust**  |  |  |
| 4.737% due 08/15/2038 •(l)  | $6135 | 5838 |
| 5.137% due 08/15/2038 •(l)  | 426 | 396 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **BSST Mortgage Trust**  |  |  |
| 4.973% due 02/15/2037 •(l)  | 11900 | 10529 |
| 5.423% due 02/15/2037 •(l)  | 3300 | 1713 |
| **BWAY Mortgage Trust** <br>5.987% due 09/15/2036 •(l) | 5000 | 4709 |
| **BX Commercial Mortgage Trust**  |  |  |
| 5.637% due 11/15/2038 •(l)  | 16715 | 16710 |
| 5.763% due 01/17/2039 •(l)  | 19137 | 19148 |
| 6.113% due 01/17/2039 •(l)  | 14210 | 14220 |
| 6.137% due 04/15/2034 •(l)  | 6000 | 5898 |
| 6.387% due 02/15/2038 •(l)  | 1738 | 1731 |
| 6.874% due 04/15/2034 •(l)  | 4000 | 3920 |
| **BX Trust**  |  |  |
| 5.174% due 09/15/2034 •(l)  | 1044 | 1043 |
| 5.724% due 09/15/2034 •(l)  | 13279 | 13258 |
| 6.215% due 10/15/2026 •(l)  | 1074 | 1073 |
| **BXP Trust** <br>3.552% due 08/13/2037 ~(l) | 8250 | 7102 |
| **CALI Mortgage Trust** <br>3.957% due 03/10/2039 (l) | 14900 | 14351 |
| **CBA Commercial Small Balance Commercial Mortgage** <br>6.040% due 01/25/2039 þ | 183 | 176 |
| **CD Mortgage Trust** <br>5.688% due 10/15/2048 (l) | 1008 | 953 |
| **Chase Mortgage Finance Trust**  |  |  |
| 4.046% due 01/25/2036 ~(l)  | 2294 | 2050 |
| 4.782% due 03/25/2037 ~(l)  | 748 | 730 |
| 5.500% due 11/25/2049  | 521 | 42 |
| 6.000% due 03/25/2037  | 493 | 250 |
| **CHL Mortgage Pass-Through Trust**  |  |  |
| 3.670% due 06/20/2035 ~  | 2 | 2 |
| 3.684% due 03/25/2037 ~(l)  | 2333 | 1970 |
| 4.300% due 05/20/2036 ~(l)  | 264 | 248 |
| 4.392% due 11/20/2035 ~(l)  | 3655 | 3442 |
| 4.393% due 03/25/2035 •  | 134 | 63 |
| 4.473% due 03/25/2036 •  | 12 | 11 |
| 4.551% due 08/20/2035 ~  | 17 | 16 |
| 4.657% due 09/20/2036 ~(l)  | 1176 | 1048 |
| 4.785% due 11/25/2035 ~(l)  | 596 | 498 |
| 5.000% due 11/25/2035  | 19 | 7 |
| 5.030% due 09/25/2047 ~(l)  | 1537 | 1208 |
| 5.500% due 12/25/2034  | 34 | 34 |
| 5.500% due 08/25/2035  | 27 | 13 |
| 5.500% due 11/25/2035  | 22 | 11 |
| 5.590% due 06/25/2047 ~(l)  | 899 | 893 |
| 5.663% due 03/25/2046 •(l)  | 12780 | 11154 |
| 6.000% due 07/25/2037  | 140 | 59 |
| 6.000% due 08/25/2037 (l)  | 2934 | 1210 |
| 6.000% due 08/25/2037  | 1 | 1 |
| **Citigroup Commercial Mortgage Trust**  |  |  |
| 3.790% due 12/15/2072 ~  | 1511 | 335 |
| 3.790% due 12/15/2072 ~(l)  | 6600 | 3071 |
| **Citigroup Global Markets Mortgage Securities VII, Inc.** <br>6.500% due 02/25/2029 | 73 | 72 |
| **Citigroup Mortgage Loan Trust, Inc.**  |  |  |
| 0.000% due 08/25/2037 ~  | 1601 | 61 |
| 3.983% due 07/25/2036 ~(l)  | 1483 | 917 |
| 4.451% due 09/25/2037 ~(l)  | 2132 | 2027 |
| 4.550% due 03/25/2037 ~(l)  | 1044 | 917 |
| 4.583% due 10/25/2035 ~(l)  | 258 | 253 |
| 4.593% due 04/25/2037 ~  | 229 | 207 |
| 4.848% due 08/25/2034 ~(l)  | 4068 | 3856 |
| 5.167% due 03/25/2037 ~  | 336 | 306 |
| 5.287% due 02/25/2036 ~  | 3499 | 3385 |
| 5.500% due 11/25/2035  | 149 | 139 |
| 5.500% due 12/25/2035 (l)  | 1871 | 879 |
| 6.000% due 07/25/2036 (l)  | 3871 | 1653 |
| 6.050% due 03/25/2036 •  | 48 | 49 |
| 6.201% due 03/25/2037 ~  | 143 | 146 |
| 6.500% due 09/25/2036  | 801 | 379 |
| **City of Port Huron Water Supply System Revenue** <br>7.750% due 11/01/2045 «(k) | 71620 | 71502 |
| **CLNY Trust**  |  |  |
| 5.710% due 11/15/2038 •(l)  | 4561 | 4417 |
| 6.059% due 11/15/2038 •(l)  | 8005 | 7674 |
| 6.755% due 11/15/2038 •(l)  | 12000 | 11313 |
| 7.451% due 11/15/2038 •(l)  | 24000 | 20751 |
| **COMM Mortgage Trust**  |  |  |
| 2.819% due 01/10/2039 (l)  | 9131 | 8868 |
| 4.720% due 06/15/2034 •(l)  | 2000 | 1927 |
| 4.969% due 09/15/2033 •(l)  | 5000 | 4716 |
| 7.937% due 12/15/2038 •(l)  | 10004 | 9523 |
| 8.787% due 12/15/2038 •(l)  | 8928 | 8345 |
| 9.787% due 12/15/2038 •(l)  | 3360 | 3096 |
| **Countrywide Alternative Loan Trust**  |  |  |
| 0.822% due 12/25/2035 ~(a)  | 7017 | 291 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| 1.796% due 12/25/2035 ~(a)  | 2243 | 189 |
| 3.357% due 07/25/2036 •(a)(l)  | 6508 | 1124 |
| 3.980% due 03/20/2047 •  | 304 | 267 |
| 4.130% due 10/25/2035 ~  | 2098 | 1829 |
| 4.143% due 05/25/2036 •  | 1156 | 289 |
| 4.143% due 08/25/2036 •  | 718 | 277 |
| 4.153% due 05/25/2036 •(l)  | 5097 | 4847 |
| 4.173% due 09/25/2046 •(l)  | 4519 | 4319 |
| 4.213% due 08/25/2047 •(l)  | 659 | 562 |
| 4.233% due 05/25/2047 •(l)  | 3027 | 2405 |
| 4.235% due 06/25/2037 ~  | 64 | 60 |
| 4.253% due 03/25/2036 •(l)  | 5844 | 5654 |
| 4.293% due 06/25/2037 •(l)  | 4718 | 4486 |
| 4.293% due 06/25/2037 •  | 443 | 376 |
| 4.313% due 07/25/2036 •(l)  | 5867 | 5223 |
| 4.390% due 11/20/2035 •  | 50 | 46 |
| 4.473% due 09/25/2035 •(l)  | 2240 | 1544 |
| 4.473% due 10/25/2046 •  | 77 | 67 |
| 4.493% due 10/25/2035 •  | 382 | 216 |
| 4.709% due 11/25/2046 •(l)  | 1892 | 1745 |
| 5.169% due 07/20/2035 •(l)  | 3115 | 2881 |
| 5.199% due 05/25/2036 ~(l)  | 1534 | 1484 |
| 5.253% due 11/25/2035 •(l)  | 6222 | 5913 |
| 5.500% due 07/25/2035  | 702 | 342 |
| 5.500% due 10/25/2035  | 93 | 58 |
| 5.500% due 11/25/2035 (l)  | 2407 | 1308 |
| 5.500% due 12/25/2035  | 688 | 333 |
| 5.500% due 01/25/2036  | 48 | 47 |
| 5.500% due 02/25/2036  | 782 | 426 |
| 5.500% due 02/25/2036 (l)  | 672 | 443 |
| 5.500% due 05/25/2036 (l)  | 2671 | 2167 |
| 5.500% due 04/25/2037 (l)  | 1421 | 621 |
| 5.500% due 12/27/2049  | 12 | 10 |
| 5.750% due 01/25/2036  | 119 | 55 |
| 5.750% due 05/25/2036  | 141 | 51 |
| 5.750% due 01/25/2037 (l)  | 7137 | 3330 |
| 5.750% due 04/25/2037 (l)  | 760 | 630 |
| 6.000% due 03/25/2035  | 282 | 121 |
| 6.000% due 11/25/2035  | 315 | 42 |
| 6.000% due 04/25/2036  | 602 | 257 |
| 6.000% due 08/25/2036  | 209 | 105 |
| 6.000% due 11/25/2036  | 204 | 104 |
| 6.000% due 12/25/2036  | 661 | 245 |
| 6.000% due 01/25/2037 (l)  | 714 | 422 |
| 6.000% due 01/25/2037  | 505 | 411 |
| 6.000% due 02/25/2037  | 2103 | 717 |
| 6.000% due 03/25/2037 (l)  | 10309 | 3800 |
| 6.000% due 04/25/2037 (l)  | 8627 | 3502 |
| 6.000% due 09/25/2037 (l)  | 7435 | 2516 |
| 6.250% due 12/25/2036 •  | 496 | 197 |
| 6.500% due 06/25/2036  | 339 | 151 |
| 6.500% due 11/25/2036 (l)  | 8376 | 2450 |
| 9.369% due 07/25/2035 •  | 45 | 41 |
| 16.242% due 05/25/2037 •  | 649 | 679 |
| **Countrywide Alternative Loan Trust Resecuritization** <br>7.000% due 01/25/2037 | 4860 | 782 |
| **Credit Suisse First Boston Mortgage Securities Corp.**  |  |  |
| 6.000% due 01/25/2036  | 235 | 138 |
| 7.500% due 05/25/2032 (l)  | 512 | 516 |
| **CSAB Mortgage-Backed Trust** <br>5.500% due 05/25/2037 (l) | 1752 | 1137 |
| **CSMC Mortgage-Backed Trust**  |  |  |
| 4.393% due 07/25/2036 •  | 406 | 55 |
| 5.180% due 01/15/2049 ~  | 10300 | 6334 |
| 6.000% due 07/25/2036  | 1651 | 706 |
| 6.396% due 04/25/2036 þ(l)  | 3792 | 1929 |
| 6.500% due 05/25/2036  | 2662 | 839 |
| **CSMC Trust**  |  |  |
| 0.000% due 10/25/2060 ~(a)  | 205804 | 5832 |
| 0.230% due 01/25/2060 ~(a)  | 186349 | 1973 |
| 0.387% due 10/25/2060 ~(a)  | 184556 | 3482 |
| 1.104% due 01/25/2060 ~(a)  | 227186 | 6786 |
| 1.760% due 02/27/2047 ~(l)  | 28787 | 10067 |
| 3.510% due 01/25/2060 ~(l)  | 4625 | 2884 |
| 3.510% due 01/25/2060 ~  | 15082 | 7094 |
| 3.613% due 11/10/2032 ~(l)  | 2500 | 402 |
| 3.769% due 10/25/2060 ~(l)  | 7567 | 5501 |
| 3.769% due 10/25/2060 ~  | 22536 | 12343 |
| 3.839% due 04/28/2037 ~(l)  | 1197 | 1140 |
| 4.122% due 05/27/2036 ~(l)  | 1016 | 883 |
| 4.423% due 04/26/2035 ~(l)  | 4887 | 4526 |
| 4.494% due 10/26/2036 ~(l)  | 7281 | 6857 |
| 4.647% due 07/26/2037 ~(l)  | 4504 | 4127 |
| 4.662% due 06/25/2036 ~(l)  | 2013 | 1639 |
| 5.187% due 07/15/2038 •(l)  | 1000 | 888 |
| 5.594% due 07/15/2032 •(l)  | 3121 | 3099 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| 5.750% due 05/26/2037 (l)  | 10120 | 4359 |
| 6.287% due 10/15/2037 •(l)  | 3512 | 3409 |
| 6.500% due 07/26/2036 (l)  | 11414 | 2321 |
| 6.687% due 07/15/2038 •(l)  | 15850 | 2529 |
| 6.994% due 07/15/2032 •(l)  | 7454 | 7415 |
| 7.000% due 08/26/2036 (l)  | 14223 | 2471 |
| 7.687% due 07/15/2038 •(l)  | 13700 | 746 |
| 8.044% due 07/15/2032 •(l)  | 15000 | 14971 |
| 9.044% due 07/15/2032 •(l)  | 8500 | 8345 |
| 35.040% due 11/25/2037 •(l)  | 5274 | 4466 |
| 35.040% due 11/27/2037 •(l)  | 6773 | 6466 |
| **CSMC Trust Capital Certificates**  |  |  |
| 3.883% due 12/29/2037 ~(l)  | 2579 | 1283 |
| 3.950% due 05/26/2036 ~(l)  | 1868 | 1645 |
| 4.164% due 09/26/2047 ~(l)  | 14876 | 6639 |
| 7.000% due 08/27/2036 (l)  | 2930 | 1451 |
| **CSWF Corp.** <br>4.854% due 06/15/2034 •(l) | 489 | 481 |
| **DBGS Mortgage Trust**  |  |  |
| 3.843% due 04/10/2037 (l)  | 1715 | 1615 |
| 5.332% due 10/15/2039 •(l)  | 1000 | 998 |
| 7.087% due 10/15/2039 •(l)  | 26404 | 26350 |
| **DBWF Mortgage Trust**  |  |  |
| 3.791% due 12/10/2036 (l)  | 22961 | 22710 |
| 3.808% due 12/10/2036 ~(l)  | 13193 | 12792 |
| **Deutsche Alt-A Securities, Inc. Mortgage Loan Trust**  |  |  |
| 3.943% due 02/25/2047 •  | 272 | 152 |
| 5.500% due 12/25/2035  | 356 | 304 |
| **Deutsche Alt-B Securities, Inc. Mortgage Loan Trust**  |  |  |
| 4.093% due 04/25/2037 •(l)  | 3173 | 2250 |
| 6.250% due 07/25/2036 ~  | 30 | 26 |
| **Deutsche Mortgage Securities, Inc. Mortgage Loan Trust** <br>5.500% due 09/25/2033 | 48 | 49 |
| **DOLP Trust** <br>3.704% due 05/10/2041 ~(l) | 29000 | 22871 |
| **DSLA Mortgage Loan Trust** <br>3.971% due 04/19/2047 •  | 179 | 187 |
| **Ellington Financial Mortgage Trust**  |  |  |
| 0.000% due 02/25/2068 ~(a)  | 202060 | 2387 |
| 0.250% due 02/25/2068 ~(a)  | 202060 | 104 |
| 6.640% due 02/25/2068 ~(l)  | 29896 | 29745 |
| **Eurosail-U.K. PLC**  |  |  |
| 0.000% due 06/13/2045 ~  | 6 | 982 |
| 2.962% due 03/13/2045 •(l)  | 7067 | 7228 |
| 5.115% (SONIO/N + 1.369%) due 06/13/2045 ~(l)  | 14072 | 17234 |
| 5.465% due 09/13/2045 •(l)  | 15554 | 19387 |
| 5.615% (SONIO/N + 1.869%) due 06/13/2045 ~(l)  | 8667 | 9406 |
| 6.115% due 09/13/2045 •(l)  | 11113 | 13239 |
| 7.365% (SONIO/N + 3.619%) due 06/13/2045 ~(l)  | 3082 | 3044 |
| 7.715% due 09/13/2045 •(l)  | 9266 | 12007 |
| **First Horizon Alternative Mortgage Securities Trust**  |  |  |
| 0.000% due 12/26/2049 (b)(h)  | $2 | 0 |
| 3.307% due 11/25/2036 •(a)  | 720 | 76 |
| 4.274% due 02/25/2036 ~  | 24 | 17 |
| 4.632% due 05/25/2036 ~  | 330 | 273 |
| 4.919% due 11/25/2036 ~  | 337 | 228 |
| 5.038% due 08/25/2035 ~  | 51 | 2 |
| 6.250% due 11/25/2036  | 55 | 14 |
| **First Horizon Mortgage Pass-Through Trust**  |  |  |
| 3.875% due 07/25/2037 ~  | 8 | 4 |
| 4.442% due 01/25/2037 ~  | 161 | 71 |
| 4.930% due 05/25/2037 ~(l)  | 2248 | 879 |
| 5.500% due 08/25/2037  | 213 | 66 |
| **GC Pastor Hipotecario 5 FTA** <br>2.278% due 06/21/2046 •(l) | 9774 | 10505 |
| **GMACM Mortgage Loan Trust**  |  |  |
| 3.687% due 07/19/2035 ~  | $15 | 13 |
| 3.850% due 11/19/2035 ~  | 883 | 346 |
| **GreenPoint Mortgage Funding Trust**  |  |  |
| 4.153% due 01/25/2037 •  | 398 | 372 |
| 4.193% due 12/25/2046 •(l)  | 2011 | 2040 |
| **GS Mortgage Securities Corp. Trust**  |  |  |
| 3.104% due 05/10/2034  | 2000 | 1496 |
| 3.721% due 02/10/2037 (l)  | 9000 | 8834 |
| 3.871% due 02/10/2037 (l)  | 1501 | 1430 |
| 4.920% due 07/15/2035 •(l)  | 1298 | 856 |
| 4.970% due 11/15/2032 •(l)  | 7020 | 6988 |
| 5.370% due 11/15/2032 •(l)  | 8250 | 8228 |
| 5.970% due 11/15/2032 •(l)  | 6640 | 6621 |
| 6.520% due 11/15/2032 •(l)  | 10358 | 10328 |
| 8.420% due 11/15/2032 •  | 2210 | 2202 |
| **GS Mortgage-Backed Securities Trust**  |  |  |
| 0.000% due 09/25/2055 ~(a)  | 254354 | 18341 |
| 0.000% due 07/25/2059 ~(a)  | 209032 | 2212 |
| 0.000% due 11/25/2061 ~(a)  | 125599 | 5914 |
| 2.176% due 11/25/2065 ~(a)  | 302023 | 12534 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| 2.272% due 10/25/2065 ~(a)  | 295433 | 10537 |
| 3.746% due 07/25/2059 ~(l)  | 20073 | 13500 |
| 7.248% due 10/25/2065 ~  | 4711 | 4202 |
| 7.356% due 11/25/2065 ~  | 4634 | 4104 |
| 7.596% due 11/25/2061 ~  | 1900 | 1662 |
| 9.242% due 09/25/2055 ~  | 8591 | 8510 |
| **GSC Capital Corp. Mortgage Trust** <br>4.153% due 05/25/2036 •(l) | 811 | 805 |
| **GSR Mortgage Loan Trust**  |  |  |
| 4.243% due 07/25/2037 •  | 226 | 50 |
| 4.478% due 01/25/2036 ~  | 223 | 212 |
| 5.017% due 12/25/2034 ~  | 6 | 5 |
| 6.000% due 09/25/2034  | 205 | 209 |
| 6.118% due 11/25/2035 ~  | 115 | 56 |
| 6.500% due 08/25/2036 •  | 566 | 131 |
| **HarborView Mortgage Loan Trust**  |  |  |
| 3.933% due 08/19/2036 ~  | 36 | 31 |
| 4.091% due 01/25/2047 •  | 3899 | 3726 |
| 4.171% due 02/19/2046 •(l)  | 483 | 456 |
| 4.211% due 11/19/2036 •(l)  | 419 | 400 |
| 4.271% due 03/19/2036 •(l)  | 5692 | 5362 |
| 4.291% due 01/19/2036 •(l)  | 3860 | 2469 |
| 4.351% due 06/19/2034 •  | 60 | 57 |
| 4.431% due 01/19/2035 •  | 87 | 70 |
| 4.679% due 06/19/2045 •  | 763 | 294 |
| 4.765% due 06/20/2035 •(l)  | 2858 | 2653 |
| 5.140% due 06/20/2035 •  | 660 | 601 |
| **Hilton USA Trust**  |  |  |
| 2.828% due 11/05/2035 (l)  | 1000 | 857 |
| 3.323% due 11/05/2035 (l)  | 1435 | 703 |
| **HomeBanc Mortgage Trust**  |  |  |
| 4.293% due 03/25/2035 •(l)  | 2619 | 2159 |
| 4.673% due 04/25/2037 ~(l)  | 1770 | 1615 |
| **HSI Asset Loan Obligation Trust** <br>6.000% due 06/25/2037 (l) | 1151 | 1083 |
| **IM Pastor 3 FTH** <br>2.248% due 03/22/2043 •(l) | 8094 | 8264 |
| **IM Pastor 4 FTA** <br>2.248% due 03/22/2044 •(l) | 12301 | 12813 |
| **Impac CMB Trust**  |  |  |
| 4.313% due 11/25/2035 •  | $65 | 60 |
| 4.513% due 10/25/2034 •  | 11 | 11 |
| **Impac Secured Assets Corp.** <br>4.653% due 03/25/2036 •(l) | 708 | 631 |
| **Impac Secured Assets Trust** <br>4.013% due 05/25/2037 •  | 2 | 1 |
| **IndyMac IMSC Mortgage Loan Trust** <br>3.715% due 06/25/2037 ~(l) | 2464 | 1456 |
| **IndyMac INDA Mortgage Loan Trust**  |  |  |
| 3.046% due 03/25/2037 ~  | 13 | 11 |
| 3.923% due 12/25/2036 ~  | 344 | 263 |
| **IndyMac INDX Mortgage Loan Trust**  |  |  |
| 3.179% due 06/25/2037 ~  | 121 | 99 |
| 3.185% due 02/25/2035 ~  | 178 | 164 |
| 3.314% due 05/25/2037 ~(l)  | 1329 | 1080 |
| 3.706% due 11/25/2035 ~(l)  | 1829 | 1775 |
| 3.911% due 11/25/2036 ~(l)  | 440 | 416 |
| 4.026% due 06/25/2036 ~(l)  | 443 | 396 |
| 4.193% due 11/25/2046 •(l)  | 2744 | 2673 |
| 4.213% due 11/25/2036 •  | 80 | 78 |
| 4.253% due 04/25/2035 •  | 22 | 21 |
| 4.293% due 02/25/2037 •(l)  | 1770 | 1171 |
| 4.393% due 07/25/2036 •  | 259 | 170 |
| 4.593% due 08/25/2034 •  | 90 | 84 |
| 4.653% due 09/25/2034 •  | 153 | 134 |
| **Jefferies Resecuritization Trust** <br>6.000% due 12/26/2036 ~ | 3448 | 843 |
| **JP Morgan Alternative Loan Trust**  |  |  |
| 4.193% due 06/25/2037 •(l)  | 20304 | 7367 |
| 4.203% due 05/25/2036 ~  | 484 | 258 |
| 4.287% due 06/27/2037 •(l)  | 3833 | 2170 |
| 4.590% due 11/25/2036 ~  | 33 | 44 |
| 5.500% due 11/25/2036 ~  | 7 | 3 |
| 6.000% due 12/25/2035  | 464 | 302 |
| 6.375% due 06/27/2037 ~(l)  | 12998 | 5914 |
| 6.460% due 12/25/2036 þ(l)  | 963 | 1005 |
| **JP Morgan Chase Commercial Mortgage Securities Trust**  |  |  |
| 1.974% due 01/05/2040 (l)  | 8530 | 7917 |
| 2.287% due 03/05/2042 (l)  | 14331 | 13475 |
| 3.861% due 12/05/2038 ~(l)  | 5740 | 1077 |
| 3.861% due 12/05/2038 ~  | 2858 | 550 |
| 4.128% due 07/05/2031 (l)  | 3360 | 2777 |
| 4.248% due 07/05/2033 (l)  | 17215 | 16481 |
| 4.379% due 07/05/2031 (l)  | 13293 | 8840 |
| 4.519% due 04/15/2037 •(l)  | 939 | 930 |
| 4.770% due 02/15/2035 •(l)  | 7700 | 7607 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| 4.860% due 07/05/2033 •(l)  | 4593 | 4493 |
| 5.029% due 04/15/2037 •(l)  | 1409 | 1385 |
| 5.070% due 02/15/2035 •(l)  | 9984 | 9741 |
| 5.087% due 03/15/2036 •(l)  | 2600 | 2419 |
| 5.160% due 07/05/2033 •(l)  | 3000 | 2629 |
| 5.170% due 12/15/2031 •(l)  | 689 | 688 |
| 5.270% due 02/15/2035 •(l)  | 3751 | 3623 |
| 5.287% due 09/15/2029 •  | 241 | 234 |
| 5.337% due 12/15/2036 •  | 7905 | 373 |
| 5.537% due 03/15/2036 •(l)  | 7900 | 6611 |
| 5.787% due 12/15/2036 •  | 3030 | 40 |
| 5.877% due 06/15/2038 •(l)  | 2000 | 1712 |
| 6.020% due 02/15/2035 •(l)  | 699 | 676 |
| 6.537% due 12/15/2036 •  | 4800 | 12 |
| 6.970% due 02/15/2035 •(l)  | 13987 | 13381 |
| 7.235% due 10/05/2040 (l)  | 1000 | 1035 |
| **JP Morgan Mortgage Trust**  |  |  |
| 3.934% due 10/25/2036 ~  | 10 | 7 |
| 4.198% due 10/25/2036 ~  | 203 | 111 |
| 4.412% due 05/25/2036 ~  | 148 | 121 |
| 4.624% due 06/25/2037 ~(l)  | 1310 | 1028 |
| 5.320% due 07/25/2035 ~  | 12 | 12 |
| 6.000% due 08/25/2037  | 320 | 129 |
| **JP Morgan Resecuritization Trust**  |  |  |
| 6.000% due 09/26/2036 ~(l)  | 823 | 644 |
| 6.500% due 04/26/2036 ~(l)  | 3825 | 1087 |
| **JPMDB Commercial Mortgage Securities Trust** <br>3.057% due 11/13/2052 (l) | 1028 | 937 |
| **Lansdowne Mortgage Securities No. 1 PLC** <br>2.610% due 06/15/2045 •  | 900 | 888 |
| **Lansdowne Mortgage Securities No. 2 PLC** <br>2.490% due 09/16/2048 •(l) | 3818 | 4220 |
| **Lavender Trust**  |  |  |
| 6.000% due 11/26/2036 (l)  | $5209 | 5049 |
| 6.250% due 10/26/2036 (l)  | 3326 | 1403 |
| **Lehman Mortgage Trust**  |  |  |
| 5.724% due 04/25/2036 ~  | 164 | 100 |
| 6.000% due 08/25/2036  | 406 | 302 |
| 6.000% due 09/25/2036  | 320 | 137 |
| 6.000% due 01/25/2038  | 293 | 286 |
| 6.500% due 09/25/2037  | 3133 | 1154 |
| 7.250% due 09/25/2037 (l)  | 30402 | 8360 |
| **Lehman XS Trust**  |  |  |
| 4.353% due 07/25/2037 •(l)  | 22509 | 16722 |
| 4.693% due 08/25/2047 •  | 177 | 166 |
| 4.793% due 07/25/2047 •(l)  | 3349 | 3201 |
| **LUX** <br>6.363% due 08/15/2040 •(l) | 1136 | 1143 |
| **MASTR Adjustable Rate Mortgages Trust**  |  |  |
| 3.830% due 10/25/2034 ~  | 146 | 135 |
| 4.473% due 05/25/2047 •(l)  | 6002 | 5051 |
| **MASTR Alternative Loan Trust**  |  |  |
| 4.143% due 03/25/2036 •(l)  | 19765 | 1576 |
| 4.193% due 03/25/2036 •(l)  | 26125 | 2110 |
| 7.000% due 10/25/2047 (l)  | 10521 | 4102 |
| **Merrill Lynch Alternative Note Asset Trust**  |  |  |
| 4.143% due 05/25/2037 •  | 15935 | 2567 |
| 6.000% due 05/25/2037 (l)  | 2110 | 1555 |
| **Merrill Lynch Mortgage Investors Trust**  |  |  |
| 4.342% due 03/25/2036 ~(l)  | 4877 | 2235 |
| 5.283% due 05/25/2036 ~(l)  | 775 | 736 |
| **MF1 Trust**  |  |  |
| 6.493% due 12/15/2034 •  | 475 | 472 |
| 7.893% due 12/15/2034 •(l)  | 2750 | 2744 |
| **MFA Trust** <br>4.039% due 04/25/2065 ~(l) | 14456 | 14017 |
| **MFT Mortgage Trust** <br>3.358% due 02/10/2042 (l) | 556 | 468 |
| **Mill City Mortgage Loan Trust**  |  |  |
| 0.000% due 08/25/2058 ~(a)  | 43305 | 187 |
| 0.000% due 08/25/2058 ~  | 43305 | 3 |
| 0.000% due 08/25/2059 ~(a)  | 27722 | 525 |
| 0.000% due 11/25/2060 ~(a)  | 116433 | 2750 |
| 0.000% due 04/25/2066 ~(a)  | 63447 | 283 |
| 0.000% due 04/25/2066 (a)  | 63447 | 17 |
| 0.080% due 08/25/2059 ~(a)  | 24524 | 128 |
| 3.041% due 04/25/2066 ~(l)  | 7230 | 4720 |
| 3.041% due 04/25/2066 ~  | 5202 | 2892 |
| 3.250% due 08/25/2058 ~(l)  | 2759 | 1995 |
| 3.250% due 08/25/2059 ~(l)  | 5987 | 4858 |
| 3.646% due 08/25/2058 ~(l)  | 2759 | 1853 |
| 3.646% due 08/25/2058 ~  | 2655 | 1461 |
| 3.748% due 11/25/2060 ~  | 3865 | 2102 |
| 3.845% due 08/25/2059 ~(l)  | 1532 | 1093 |
| 3.845% due 08/25/2059 ~  | 4064 | 2274 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **Morgan Stanley Capital I Trust**  |  |  |
| 2.428% due 04/05/2042 ~  | 60 | 48 |
| 3.912% due 09/09/2032 (l)  | 25312 | 23468 |
| 4.737% due 12/15/2036 •(l)  | 6246 | 4816 |
| 5.287% due 12/15/2036 •  | 453 | 24 |
| 5.370% due 11/15/2034 •(l)  | 1977 | 1954 |
| 6.031% due 12/15/2036 •(l)  | 18590 | 203 |
| 6.170% due 11/15/2034 •(l)  | 10059 | 9947 |
| 7.982% due 12/15/2038 •(l)  | 18000 | 15654 |
| 8.881% due 12/15/2038 •(l)  | 19500 | 16784 |
| **Morgan Stanley Mortgage Loan Trust**  |  |  |
| 4.103% due 01/25/2035 •  | 160 | 153 |
| 4.133% due 05/25/2036 •  | 137 | 24 |
| 4.414% due 05/25/2036 ~  | 1233 | 447 |
| 5.053% due 07/25/2035 ~  | 362 | 294 |
| 5.750% due 12/25/2035  | 138 | 86 |
| 5.871% due 01/25/2035 ~  | 132 | 119 |
| 5.962% due 06/25/2036 ~  | 1637 | 429 |
| 6.000% due 08/25/2037  | 136 | 43 |
| **Morgan Stanley Re-REMICS Trust**  |  |  |
| 3.065% due 03/26/2037 þ(l)  | 911 | 961 |
| 3.264% due 02/26/2037 •(l)  | 1497 | 1435 |
| 5.320% due 07/26/2035 ~(l)  | 3806 | 3733 |
| 5.677% due 09/26/2035 ~(l)  | 111 | 108 |
| 6.000% due 04/26/2036 (l)  | 5289 | 5312 |
| **Morgan Stanley Resecuritization Trust** <br>5.394% due 06/26/2035 ~(l) | 8671 | 6342 |
| **Morgan Stanley Residential Mortgage Loan Trust**  |  |  |
| 0.324% due 03/25/2071 ~(a)  | 428530 | 2868 |
| 0.325% due 01/25/2070 ~(a)(l)  | 52110 | 226 |
| 0.375% due 12/25/2068 ~(a)  | 162140 | 361 |
| 1.347% due 03/25/2071 ~(a)  | 428530 | 14067 |
| 1.358% due 01/25/2070 ~(a)(l)  | 52110 | 1642 |
| 1.560% due 12/25/2068 (a)(l)  | 162140 | 6009 |
| 6.694% due 03/25/2071 ~  | 6428 | 5936 |
| 7.112% due 01/25/2070 ~(l)  | 1900 | 1839 |
| 7.770% due 12/25/2068 ~(l)  | 4006 | 3951 |
| **Mortgage Equity Conversion Asset Trust** <br>4.000% due 07/25/2060 | 954 | 915 |
| **Mortgage Funding PLC** <br>7.065% due 03/13/2046 •(l) | 1000 | 1326 |
| **MRCD Mortgage Trust**  |  |  |
| 2.718% due 12/15/2036 (l)  | $1000 | 896 |
| 4.250% due 12/15/2036 ~  | 1500 | 199 |
| **MSDB Trust** <br>3.316% due 07/11/2039 ~(l) | 34438 | 33324 |
| **MSSG Trust**  |  |  |
| 3.397% due 09/13/2039 (l)  | 10775 | 10305 |
| 3.690% due 09/13/2039 (l)  | 20000 | 18933 |
| 3.740% due 09/13/2039 ~(l)  | 7980 | 7274 |
| **Natixis Commercial Mortgage Securities Trust**  |  |  |
| 3.047% due 08/15/2036 (l)  | 28190 | 25930 |
| 3.655% due 08/15/2036 (l)  | 3225 | 2860 |
| 4.058% due 04/10/2037 ~  | 5880 | 3213 |
| 4.316% due 01/15/2043 ~  | 100 | 88 |
| 4.398% due 08/15/2036 ~  | 900 | 345 |
| 5.637% due 08/15/2038 •(l)  | 2250 | 2190 |
| **New Orleans Hotel Trust**  |  |  |
| 5.009% due 04/15/2032 •(l)  | 6425 | 6348 |
| 5.309% due 04/15/2032 •(l)  | 1200 | 1184 |
| 5.759% due 04/15/2032 •(l)  | 13642 | 13435 |
| **New Residential Mortgage Loan Trust**  |  |  |
| 0.000% due 09/25/2064 ~(a)  | 465841 | 2653 |
| 0.000% due 11/25/2065 ~(a)  | 167417 | 5080 |
| 0.250% due 11/25/2065 ~(a)  | 167417 | 686 |
| 0.250% due 12/25/2065 ~(a)  | 170449 | 908 |
| 1.664% due 12/25/2065 ~(a)  | 170449 | 6397 |
| 2.343% due 09/25/2064 ~(a)(l)  | 465841 | 17778 |
| 3.828% due 11/25/2059 ~(l)  | 8300 | 4877 |
| 6.566% due 12/25/2065 ~  | 2582 | 2335 |
| 6.600% due 11/25/2065 ~  | 2320 | 2064 |
| 7.610% due 09/25/2064 ~(l)  | 16143 | 14555 |
| **Newgate Funding PLC**  |  |  |
| 3.400% due 12/15/2050 •(l)  | 841 | 933 |
| 3.650% due 12/15/2050 •(l)  | 1605 | 1791 |
| **Nomura Asset Acceptance Corp. Alternative Loan Trust** <br>4.113% due 10/25/2036 •(l) | $793 | 722 |
| **Nomura Resecuritization Trust** <br>4.283% due 09/26/2035 ~(l) | 2777 | 2409 |
| **NovaStar Mortgage Funding Trust** <br>0.427% due 09/25/2046 •  | 75 | 70 |
| **NYO Commercial Mortgage Trust**  |  |  |
| 4.882% due 11/15/2038 •(l)  | 2000 | 1997 |
| 5.332% due 12/15/2038 •(l)  | 2200 | 2192 |
| **Pretium Mortgage Credit Partners LLC** <br>5.249% due 10/25/2055 | 7883 | 7854 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **Pretium Mortgage Credit Partners Trust**  |  |  |
| 0.000% due 04/25/2065 (h)  | 19864 | 16939 |
| 4.424% due 01/27/2070  | 16545 | 14016 |
| **PRETM Trust** <br>4.357% due 01/25/2070 | 16056 | 14355 |
| **Prime Mortgage Trust**  |  |  |
| 4.143% due 06/25/2036 •(l)  | 1049 | 774 |
| 7.000% due 07/25/2034  | 23 | 22 |
| **Project Cashmere**  |  |  |
| 0.010% due 12/30/2057 «(c)  | 33505 | 23117 |
| 7.563% due 12/30/2057 «(c)  | 13222 | 9123 |
| 8.643% due 12/30/2057 «(c)  | 14866 | 10257 |
| **PRPM LLC**  |  |  |
| 5.089% due 02/25/2031 þ  | $1336 | 1337 |
| 5.185% due 02/25/2031 þ(l)  | 3922 | 3884 |
| 5.385% due 10/25/2030 þ(l)  | 2106 | 2098 |
| 5.503% due 08/25/2030 þ(l)  | 3826 | 3816 |
| 5.729% due 07/25/2030 þ  | 1801 | 1799 |
| **PRPM Trust** <br>6.255% due 05/25/2030 þ(l) | 798 | 797 |
| **RALI Trust**  |  |  |
| 4.093% due 02/25/2037 •  | 246 | 225 |
| 4.153% due 07/25/2036 •(l)  | 7571 | 2365 |
| 4.173% due 05/25/2037 •(l)  | 5458 | 5150 |
| 4.213% due 06/25/2037 •(l)  | 531 | 486 |
| 4.859% due 01/25/2046 •(l)  | 2459 | 1908 |
| 5.500% due 04/25/2037  | 34 | 28 |
| 6.000% due 08/25/2035 (l)  | 435 | 387 |
| 6.000% due 12/25/2035 (l)  | 898 | 781 |
| 6.000% due 06/25/2036  | 113 | 93 |
| 6.000% due 08/25/2036  | 171 | 149 |
| 6.000% due 09/25/2036 (l)  | 2664 | 948 |
| 6.000% due 11/25/2036 (l)  | 1145 | 917 |
| 6.000% due 01/25/2037  | 171 | 136 |
| 6.250% due 02/25/2037 (l)  | 1686 | 1400 |
| 6.500% due 09/25/2037 (l)  | 583 | 482 |
| 7.000% due 10/25/2037 (l)  | 3691 | 2944 |
| **RBSSP Resecuritization Trust**  |  |  |
| 4.916% due 05/26/2037 ~(l)  | 2733 | 1351 |
| 5.172% due 09/26/2035 ~(l)  | 2874 | 1490 |
| 5.934% due 07/26/2045 ~(l)  | 7665 | 7675 |
| 6.000% due 03/26/2036 ~(l)  | 3284 | 1567 |
| 6.000% due 06/26/2037 ~  | 199 | 186 |
| **Residential Asset Mortgage Products Trust** <br>8.000% due 05/25/2032 | 171 | 108 |
| **Residential Asset Securitization Trust**  |  |  |
| 5.500% due 07/25/2035  | 517 | 296 |
| 6.000% due 08/25/2036  | 6249 | 1507 |
| 6.000% due 02/25/2037  | 167 | 68 |
| 6.000% due 03/25/2037  | 2765 | 836 |
| 6.000% due 07/25/2037 (l)  | 6161 | 2196 |
| 6.250% due 01/25/2037  | 5396 | 1742 |
| 6.250% due 08/25/2037  | 3925 | 868 |
| 6.500% due 08/25/2036  | 10265 | 2680 |
| 6.750% due 08/25/2036  | 10336 | 2802 |
| **RFMSI Trust**  |  |  |
| 5.709% due 07/27/2037 ~  | 80 | 62 |
| 5.850% due 11/25/2035  | 37 | 24 |
| 6.000% due 04/25/2037  | 290 | 222 |
| 6.000% due 06/25/2037  | 137 | 110 |
| **RiverView HECM Trust** <br>4.260% due 05/25/2047 •  | 1707 | 1483 |
| **Seasoned Loans Structured Transaction Trust** <br>6.079% due 09/25/2060 ~(l) | 253169 | 171758 |
| **Sequoia Mortgage Trust**  |  |  |
| 4.061% due 01/20/2038 ~  | 68 | 55 |
| 4.530% due 07/20/2036 •  | 67 | 12 |
| 4.649% due 02/20/2034 •  | 68 | 62 |
| 5.693% due 09/20/2032 ~  | 109 | 107 |
| **SFO Commercial Mortgage Trust**  |  |  |
| 4.937% due 05/15/2038 •(l)  | 18150 | 18131 |
| 5.287% due 05/15/2038 •(l)  | 2120 | 2117 |
| 5.587% due 05/15/2038 •(l)  | 1760 | 1751 |
| **SG Commercial Mortgage Securities Trust**  |  |  |
| 2.632% due 03/15/2037 (l)  | 3660 | 3509 |
| 2.937% due 03/15/2037 (l)  | 2736 | 2613 |
| 4.509% due 02/15/2041 ~(l)  | 9000 | 7684 |
| **SMRT Commercial Mortgage Trust** <br>6.373% due 01/15/2039 •(l) | 30200 | 30105 |
| **Soho Trust** <br>2.697% due 08/10/2038 ~(l) | 30050 | 23924 |
| **SREIT Trust** <br>4.609% due 11/15/2036 •  | 160 | 160 |
| **STARM Mortgage Loan Trust** <br>6.115% due 02/25/2037 ~(l) | 588 | 548 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **Starwood Mortgage Residential Trust**  |  |  |
| 3.935% due 11/25/2066 ~  | 100 | 77 |
| 3.935% due 11/25/2066 ~(l)  | 400 | 295 |
| **Starwood Mortgage Trust**  |  |  |
| 6.937% due 04/15/2034 •(l)  | 9055 | 9000 |
| 7.937% due 04/15/2034 •(l)  | 6612 | 6617 |
| **Stratton Hawksmoor PLC**  |  |  |
| 5.745% due 02/25/2053 •(l)  | 1967 | 2599 |
| 6.495% due 02/25/2053 •(l)  | 4300 | 5682 |
| **Stratton Mortgage Funding PLC**  |  |  |
| 0.000% due 06/28/2050 (b)(h)  | 3433 | 3754 |
| 0.000% due 06/28/2050 (h)  | 0 | 374 |
| 0.000% due 06/20/2060 (b)(h)  | 3784 | 4243 |
| 0.000% due 06/20/2060 (h)  | 0 | 2197 |
| 7.745% due 06/20/2060 •  | 378 | 551 |
| 8.745% due 06/20/2060 •  | 378 | 564 |
| **Structured Adjustable Rate Mortgage Loan Trust**  |  |  |
| 4.026% due 02/25/2037 ~(l)  | $4484 | 2928 |
| 4.190% due 03/25/2036 ~(l)  | 21238 | 11912 |
| 4.219% due 01/25/2036 ~  | 486 | 257 |
| 4.455% due 08/25/2036 ~  | 2256 | 530 |
| 4.772% due 04/25/2047 ~  | 990 | 373 |
| 5.259% due 01/25/2035 •  | 541 | 505 |
| **Structured Asset Mortgage Investments II Trust**  |  |  |
| 4.133% due 03/25/2037 •  | 676 | 37 |
| 4.173% due 07/25/2046 •(l)  | 7067 | 5039 |
| 4.213% due 05/25/2036 •(l)  | 1264 | 894 |
| 4.213% due 08/25/2036 •(l)  | 605 | 510 |
| 4.253% due 05/25/2045 •  | 39 | 38 |
| 4.457% due 02/25/2036 ~  | 2503 | 1013 |
| **Structured Asset Securities Corp. Mortgage Pass-Through Certificates** <br>4.695% due 01/25/2034 ~ | 47 | 46 |
| **Suntrust Alternative Loan Trust** <br>3.357% due 04/25/2036 •(a) | 3885 | 539 |
| **TBW Mortgage-Backed Trust**  |  |  |
| 6.000% due 07/25/2036  | 204 | 61 |
| 6.500% due 07/25/2036  | 18349 | 3735 |
| **TDA 27 FTA** <br>2.325% due 12/28/2050 •(l) | 3964 | 4161 |
| **TDA 28 FTA** <br>2.238% due 10/28/2050 •(l) | 6489 | 4108 |
| **Towd Point Mortgage Trust**  |  |  |
| 0.000% due 12/25/2058 (b)(h)  | $46171 | 6385 |
| 0.000% due 12/25/2058 (a)  | 485722 | 0 |
| 0.000% due 10/25/2059 (a)(k)  | 304207 | 0 |
| 0.000% due 01/25/2060 (a)  | 60989 | 635 |
| 3.885% due 10/25/2059 ~  | 16186 | 10202 |
| 4.000% due 01/25/2060 ~  | 341 | 305 |
| 4.500% due 10/25/2059 ~  | 4518 | 3844 |
| 4.529% due 01/25/2060 ~  | 3083 | 2288 |
| **VASA Trust**  |  |  |
| 4.687% due 07/15/2039 •(l)  | 1000 | 983 |
| 7.687% due 07/15/2039 •(l)  | 4435 | 3830 |
| **Verus Securitization Trust**  |  |  |
| 0.305% due 05/25/2065 ~(a)  | 381907 | 2201 |
| 0.963% due 05/25/2065 ~(a)  | 381907 | 13203 |
| 6.400% due 05/25/2065 ~(l)  | 5582 | 5253 |
| 6.400% due 05/25/2065 ~  | 4080 | 3578 |
| 7.799% due 06/25/2069 ~(l)  | 1000 | 1010 |
| **VNDO Trust** <br>3.903% due 01/10/2035 ~(l) | 4814 | 4806 |
| **WaMu Mortgage Pass-Through Certificates Trust**  |  |  |
| 3.639% due 03/25/2037 ~  | 190 | 161 |
| 3.830% due 11/25/2036 ~  | 69 | 61 |
| 3.878% due 03/25/2037 ~(l)  | 1225 | 1103 |
| 3.996% due 02/25/2037 ~(l)  | 1249 | 1088 |
| 4.010% due 06/25/2037 ~(l)  | 505 | 452 |
| 4.027% due 07/25/2037 ~(l)  | 653 | 531 |
| 4.159% due 07/25/2037 ~  | 414 | 384 |
| 4.333% due 07/25/2045 •  | 74 | 73 |
| 4.517% due 08/25/2036 ~(l)  | 763 | 715 |
| 4.609% due 06/25/2047 •  | 1119 | 1075 |
| 4.633% due 06/25/2044 •  | 55 | 55 |
| 4.657% due 07/25/2047 •  | 325 | 287 |
| 4.669% due 07/25/2047 •(l)  | 8802 | 7515 |
| 4.739% due 10/25/2046 •  | 170 | 152 |
| 4.819% due 09/25/2046 •(l)  | 1983 | 1685 |
| 4.907% due 07/25/2046 •(l)  | 1948 | 1809 |
| 5.364% due 03/25/2033 ~  | 18 | 18 |
| **Warwick Finance Residential Mortgages Number Three PLC**  |  |  |
| 0.000% due 12/21/2049 (h)  | 0 | 1856 |
| 6.395% due 12/21/2049 •  | 646 | 849 |
| 6.895% due 12/21/2049 •  | 646 | 842 |
| **Washington Mutual Mortgage Pass-Through Certificates Trust**  |  |  |
| 3.122% due 06/25/2046 •(l)  | $4356 | 2488 |
| 4.163% due 02/25/2037 •  | 1077 | 764 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| 4.273% due 01/25/2047 •(l)  | 6195 | 5697 |
| 4.393% due 07/25/2036 •(l)  | 2656 | 1919 |
| 4.709% due 10/25/2046 •  | 222 | 198 |
| 5.750% due 11/25/2035 (l)  | 652 | 619 |
| 6.000% due 04/25/2037 (l)  | 960 | 850 |
| 6.467% due 05/25/2036 þ(l)  | 2845 | 2509 |
| **Washington Mutual MSC Mortgage Pass-Through Certificates Trust** <br>3.725% due 06/25/2033 ~ | 57 | 54 |
| **Wells Fargo Alternative Loan Trust**  |  |  |
| 5.750% due 07/25/2037  | 144 | 127 |
| 6.500% due 07/25/2037 (l)  | 2446 | 2145 |
| 6.578% due 07/25/2037 ~(l)  | 929 | 880 |
| **Wells Fargo Commercial Mortgage Trust**  |  |  |
| 3.862% due 12/15/2039 (l)  | 4424 | 4274 |
| 5.204% due 09/15/2040 ~(l)  | 606 | 603 |
| **Wells Fargo Mortgage Loan Trust**  |  |  |
| 3.961% due 03/27/2037 ~(l)  | 2808 | 1453 |
| 5.715% due 04/27/2036 ~(l)  | 2028 | 1882 |
| **Wells Fargo Mortgage-Backed Securities Trust**  |  |  |
| 6.000% due 06/25/2037  | 39 | 35 |
| 6.465% due 09/25/2036 ~  | 2 | 2 |
| 6.487% due 10/25/2036 ~  | 3 | 3 |
| **Worldwide Plaza Trust**  |  |  |
| 3.526% due 11/10/2036 (l)  | 21944 | 17541 |
| 3.596% due 11/10/2036 ~  | 11000 | 1100 |
| **WSTN Trust**  |  |  |
| 0.341% due 07/05/2037 ~(a)(l)  | 515000 | 1134 |
| 7.690% due 07/05/2037 ~(l)  | 11200 | 11298 |
| 8.455% due 07/05/2037 ~(l)  | 11200 | 11212 |
| 9.835% due 07/05/2037 ~(l)  | 16010 | 16090 |
| Total Non-Agency Mortgage-Backed Securities (Cost $2,914,664) |  | 2763461 |
| **ASSET-BACKED SECURITIES 15.9%**  |  |  |
| **AUTOMOBILE ABS OTHER 0.1%**  |  |  |
| **Ally Bank Auto Credit-Linked Notes** <br>11.395% due 09/15/2032 | 459 | 468 |
| **Exeter Automobile Receivables Trust** <br>0.000% due 12/15/2033 (h) | 25 | 974 |
| **Flagship Credit Auto Trust**  |  |  |
| 0.000% due 12/15/2027 «(h)  | 9 | 405 |
| 0.000% due 06/15/2029 «(h)  | 3 | 0 |
| **Huntington Bank Auto Credit-Linked Notes**  |  |  |
| 7.673% due 10/20/2032 •  | 339 | 338 |
| 11.173% due 10/20/2032 •  | 427 | 420 |
| **Santander Bank Auto Credit-Linked Notes**  |  |  |
| 7.762% due 06/15/2032  | 791 | 804 |
| 10.171% due 06/15/2032  | 1692 | 1738 |
| 13.030% due 06/15/2032  | 1469 | 1519 |
| **SBNA Auto Receivables Trust** <br>8.710% due 06/15/2033 | 900 | 909 |
|  |  | 7575 |
| **AUTOMOBILE SEQUENTIAL 0.2%**  |  |  |
| **CPS Auto Securitization Trust** <br>11.000% due 06/16/2032 «(l) | 16524 | 16763 |
| **HOME EQUITY OTHER 8.6%**  |  |  |
| **Aames Mortgage Investment Trust** <br>4.708% due 10/25/2035 •(l) | 2200 | 2110 |
| **ABFC Trust**  |  |  |
| 4.353% due 10/25/2033 •  | 127 | 125 |
| 4.738% due 07/25/2034 •(l)  | 185 | 187 |
| 4.768% due 06/25/2035 •(l)  | 3119 | 2999 |
| 4.843% due 03/25/2034 •  | 378 | 368 |
| 4.843% due 03/25/2035 •(l)  | 246 | 222 |
| 4.963% due 03/25/2035 •  | 429 | 340 |
| **ACE Securities Corp. Home Equity Loan Trust**  |  |  |
| 4.013% due 12/25/2036 •(l)  | 20402 | 5090 |
| 4.498% due 05/25/2035 •(l)  | 4 | 4 |
| 4.753% due 08/25/2035 •(l)  | 5109 | 4442 |
| 4.783% due 05/25/2035 •(l)  | 892 | 733 |
| 4.888% due 07/25/2035 •(l)  | 17938 | 16872 |
| **Aegis Asset-Backed Securities Trust**  |  |  |
| 4.513% due 08/25/2035 •  | 66 | 66 |
| 4.753% due 08/25/2035 •  | 2225 | 403 |
| 4.768% due 06/25/2035 •  | 3000 | 954 |
| **Aegis Asset-Backed Securities Trust Mortgage Pass-Through Certificates** <br>5.893% due 09/25/2034 •(l) | 740 | 740 |
| **Ameriquest Mortgage Securities, Inc. Asset-Backed Pass-Through Certificates**  |  |  |
| 3.533% due 09/25/2032 •(l)  | 1148 | 1054 |
| 4.663% due 11/25/2035 •(l)  | 4300 | 4160 |
| 4.708% due 09/25/2035 •(l)  | 1254 | 1268 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| 4.738% due 11/25/2035 •(l)  | 1200 | 1072 |
| 4.738% due 01/25/2036 •(l)  | 3996 | 3793 |
| 4.768% due 05/25/2035 •(l)  | 712 | 698 |
| 4.813% due 01/25/2036 •(l)  | 3900 | 3502 |
| 5.518% due 05/25/2034 •  | 110 | 110 |
| 5.518% due 08/25/2035 •(l)  | 6375 | 6272 |
| 6.643% due 08/25/2032 •  | 123 | 123 |
| **Argent Securities Trust**  |  |  |
| 3.943% due 09/25/2036 •(l)  | 7165 | 2318 |
| 3.993% due 06/25/2036 •(l)  | 6222 | 1657 |
| 4.033% due 04/25/2036 •  | 969 | 295 |
| 4.093% due 06/25/2036 •  | 3503 | 933 |
| 4.173% due 03/25/2036 •(l)  | 9477 | 5361 |
| **Argent Securities, Inc. Asset-Backed Pass-Through Certificates**  |  |  |
| 4.483% due 11/25/2035 •(l)  | 14851 | 13308 |
| 4.483% due 01/25/2036 •(l)  | 1089 | 1190 |
| 4.553% due 02/25/2036 •(l)  | 18602 | 15274 |
| **Asset-Backed Securities Corp. Home Equity Loan Trust**  |  |  |
| 4.693% due 11/25/2035 •(l)  | 2439 | 2377 |
| 4.798% due 04/25/2035 •  | 39 | 46 |
| 4.813% due 05/25/2035 •(l)  | 730 | 725 |
| 4.873% due 04/25/2035 •(l)  | 900 | 839 |
| **Bear Stearns Asset-Backed Securities I Trust**  |  |  |
| 2.249% due 09/25/2034 •  | 47 | 47 |
| 4.073% due 12/25/2036 •(l)  | 7021 | 7297 |
| 4.198% due 01/25/2037 •  | 6479 | 6321 |
| 4.813% due 04/25/2035 •(l)  | 1178 | 1190 |
| 4.813% due 10/25/2035 •(l)  | 412 | 413 |
| 4.873% due 12/25/2035 •(l)  | 2869 | 2893 |
| **Carrington Mortgage Loan Trust**  |  |  |
| 3.873% due 03/25/2035 •  | 499 | 407 |
| 4.213% due 12/26/2036 •(l)  | 13201 | 11535 |
| **CIT Mortgage Loan Trust** <br>5.543% due 10/25/2037 •(l) | 15000 | 14964 |
| **Citigroup Mortgage Loan Trust, Inc.**  |  |  |
| 3.993% due 05/25/2037 •  | 381 | 261 |
| 4.093% due 12/25/2036 •(l)  | 15769 | 5868 |
| 4.113% due 09/25/2036 •(l)  | 9143 | 7079 |
| 4.113% due 12/25/2036 •(l)  | 10060 | 5661 |
| 4.233% due 12/25/2036 •(l)  | 11554 | 4311 |
| 4.768% due 10/25/2035 •(l)  | 2314 | 1689 |
| **Countrywide Asset-Backed Certificates**  |  |  |
| 4.073% due 03/25/2037 •(l)  | 9408 | 8840 |
| 4.183% due 01/25/2046 •(l)  | 36012 | 29693 |
| 4.473% due 12/25/2036 •  | 235 | 197 |
| 4.693% due 03/25/2047 •(l)  | 783 | 599 |
| 4.783% due 05/25/2035 •  | 93 | 93 |
| 4.888% due 05/25/2035 •  | 430 | 427 |
| 4.893% due 05/25/2047 •(l)  | 4129 | 3806 |
| **Countrywide Asset-Backed Certificates Trust**  |  |  |
| 4.193% due 06/25/2037 •(l)  | 15566 | 15939 |
| 4.273% due 03/25/2036 •(l)  | 11876 | 11016 |
| 4.273% due 05/25/2036 •(l)  | 3238 | 2747 |
| 4.293% due 11/25/2047 •(l)  | 3351 | 3142 |
| 4.378% due 04/25/2036 •(l)  | 8762 | 8454 |
| 4.768% due 01/25/2036 •(l)  | 3008 | 2986 |
| 4.889% due 05/25/2036 •  | 769 | 621 |
| 4.903% due 08/25/2035 •(l)  | 469 | 467 |
| 4.963% due 04/25/2036 •(l)  | 3926 | 3579 |
| 5.818% due 11/25/2035 •(l)  | 6305 | 4548 |
| 6.867% due 09/25/2046 þ(l)  | 6181 | 4485 |
| **Credit Suisse First Boston Mortgage Securities Corp.** <br>4.843% due 02/25/2031 •(l) | 610 | 600 |
| **EMC Mortgage Loan Trust** <br>7.168% due 04/25/2042 •(l) | 1445 | 1429 |
| **Encore Credit Receivables Trust**  |  |  |
| 4.483% due 07/25/2035 •  | 208 | 205 |
| 4.528% due 07/25/2035 •  | 270 | 257 |
| 4.843% due 07/25/2035 •  | 695 | 624 |
| **FBR Securitization Trust**  |  |  |
| 4.723% due 09/25/2035 •(l)  | 6500 | 5925 |
| 4.768% due 11/25/2035 •(l)  | 3644 | 2193 |
| **Fieldstone Mortgage Investment Trust** <br>4.133% due 07/25/2036 •(l) | 3787 | 2086 |
| **Fremont Home Loan Trust**  |  |  |
| 4.093% due 01/25/2037 •(l)  | 2594 | 1189 |
| 4.273% due 02/25/2037 •  | 1049 | 314 |
| 4.468% due 01/25/2036 •(l)  | 4700 | 4046 |
| 4.753% due 04/25/2035 •(l)  | 4300 | 3841 |
| 4.858% due 06/25/2035 •(l)  | 953 | 953 |
| **GMACM Home Equity Loan Trust** <br>6.249% due 12/25/2037 þ(l) | 422 | 412 |
| **GSAMP Trust**  |  |  |
| 3.853% due 01/25/2037 •(l)  | 2266 | 1395 |
| 3.883% due 01/25/2037 •  | 676 | 416 |
| 4.073% due 12/25/2036 •  | 717 | 383 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| 4.113% due 04/25/2036 •  | 377 | 247 |
| 4.193% due 11/25/2036 •(l)  | 2992 | 1383 |
| 4.293% due 12/25/2036 •(l)  | 3350 | 1656 |
| 4.333% due 04/25/2036 •(l)  | 13445 | 8814 |
| 5.443% due 10/25/2034 •  | 97 | 100 |
| **Home Equity Mortgage Loan Asset-Backed Trust**  |  |  |
| 3.953% due 11/25/2036 •(l)  | 2237 | 2084 |
| 4.033% due 04/25/2037 •(l)  | 14536 | 9900 |
| 4.113% due 04/25/2037 •(l)  | 1970 | 1770 |
| 4.457% due 12/25/2031 þ  | 447 | 287 |
| 4.498% due 03/25/2036 •  | 1026 | 805 |
| **HSI Asset Securitization Corp. Trust**  |  |  |
| 4.013% due 12/25/2036 •  | 18635 | 4462 |
| 4.113% due 10/25/2036 •(l)  | 5989 | 2054 |
| 4.133% due 12/25/2036 •(l)  | 11414 | 2593 |
| 4.173% due 01/25/2037 •(l)  | 25440 | 18116 |
| **IXIS Real Estate Capital Trust** <br>4.768% due 09/25/2035 •(l) | 1103 | 1216 |
| **JP Morgan Mortgage Acquisition Corp.** <br>4.693% due 09/25/2035 •(l) | 2300 | 2136 |
| **JP Morgan Mortgage Acquisition Trust**  |  |  |
| 3.953% due 08/25/2036 •  | 5 | 2 |
| 4.093% due 07/25/2036 •(l)  | 2461 | 1159 |
| 4.113% due 07/25/2036 •  | 906 | 242 |
| 5.962% due 09/25/2029 þ(l)  | 2196 | 1295 |
| 6.388% due 10/25/2036 þ(l)  | 6017 | 3545 |
| **Lehman ABS Mortgage Loan Trust** <br>3.883% due 06/25/2037 •(l) | 3017 | 2004 |
| **Long Beach Mortgage Loan Trust**  |  |  |
| 4.173% due 02/25/2036 •(l)  | 16008 | 14379 |
| 4.333% due 05/25/2046 •(l)  | 7598 | 2244 |
| 4.498% due 11/25/2035 •(l)  | 47324 | 47144 |
| 4.708% due 08/25/2035 •(l)  | 3400 | 3161 |
| 4.918% due 04/25/2035 •(l)  | 6500 | 6405 |
| **MASTR Asset-Backed Securities Trust**  |  |  |
| 4.013% due 08/25/2036 •(l)  | 2456 | 854 |
| 4.093% due 03/25/2036 •(l)  | 4486 | 2649 |
| 4.133% due 06/25/2036 •(l)  | 3175 | 2990 |
| 4.153% due 02/25/2036 •(l)  | 5618 | 2000 |
| 4.273% due 06/25/2036 •  | 2412 | 799 |
| 4.333% due 12/25/2035 •(l)  | 13098 | 11058 |
| 4.363% due 01/25/2036 •  | 84 | 84 |
| 4.693% due 10/25/2035 •(l)  | 1553 | 1461 |
| 4.768% due 05/25/2035 •  | 59 | 67 |
| 4.798% due 03/25/2035 •  | 1241 | 1253 |
| 4.813% due 03/25/2035 •  | 763 | 623 |
| 4.843% due 05/25/2035 •(l)  | 1200 | 1205 |
| 4.873% due 03/25/2035 •  | 1707 | 1637 |
| **Merrill Lynch Mortgage Investors Trust**  |  |  |
| 4.738% due 02/25/2036 •  | 496 | 501 |
| 4.828% due 02/25/2036 •  | 180 | 178 |
| **Morgan Stanley ABS Capital I, Inc. Trust**  |  |  |
| 3.863% due 10/25/2036 •  | 1979 | 863 |
| 3.893% due 11/25/2036 •  | 1050 | 619 |
| 3.913% due 09/25/2036 •(l)  | 3057 | 1051 |
| 3.933% due 10/25/2036 •(l)  | 6677 | 2914 |
| 3.943% due 11/25/2036 •(l)  | 11445 | 6752 |
| 4.013% due 10/25/2036 •(l)  | 3218 | 1404 |
| 4.093% due 06/25/2036 •(l)  | 4069 | 2006 |
| 4.093% due 06/25/2036 •  | 410 | 366 |
| 4.093% due 09/25/2036 •(l)  | 6142 | 2108 |
| 4.123% due 02/25/2037 •(l)  | 4042 | 1769 |
| 4.663% due 09/25/2035 •(l)  | 1209 | 1022 |
| 4.828% due 01/25/2035 •(l)  | 6379 | 6113 |
| 4.828% due 03/25/2035 •(l)  | 859 | 795 |
| 4.888% due 01/25/2035 •(l)  | 927 | 831 |
| **Morgan Stanley Capital I, Inc. Trust** <br>4.153% due 03/25/2036 •  | 9 | 7 |
| **Morgan Stanley Home Equity Loan Trust** <br>4.023% due 04/25/2037 •(l) | 19145 | 9798 |
| **New Century Home Equity Loan Trust**  |  |  |
| 4.438% due 12/25/2035 •(l)  | 860 | 837 |
| 4.468% due 12/25/2035 •(l)  | 2195 | 1982 |
| 4.573% due 03/25/2035 •(l)  | 525 | 525 |
| 4.738% due 06/25/2035 •(l)  | 341 | 369 |
| 4.768% due 06/25/2035 •(l)  | 1067 | 1069 |
| 4.813% due 06/25/2035 •(l)  | 1342 | 1408 |
| 4.918% due 03/25/2035 •(l)  | 813 | 819 |
| 6.793% due 01/25/2033 •  | 169 | 143 |
| **Nomura Home Equity Loan, Inc. Home Equity Loan Trust**  |  |  |
| 4.353% due 07/25/2036 •(l)  | 3500 | 3059 |
| 4.453% due 10/25/2036 •  | 4020 | 719 |
| 4.708% due 05/25/2035 •(l)  | 1927 | 1555 |
| **NovaStar Mortgage Funding Trust** <br>4.133% due 11/25/2036 •  | 986 | 298 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **Option One Mortgage Loan Trust**  |  |  |
| 3.923% due 07/25/2037 •(l)  | 17436 | 11307 |
| 4.073% due 01/25/2037 •  | 228 | 149 |
| 4.073% due 01/25/2037 •(l)  | 6759 | 3934 |
| 4.123% due 04/25/2037 •(l)  | 1808 | 897 |
| 4.233% due 01/25/2037 •  | 1378 | 802 |
| 4.293% due 03/25/2037 •  | 442 | 216 |
| 5.662% due 01/25/2037 þ  | 1 | 1 |
| **Ownit Mortgage Loan Trust**  |  |  |
| 3.155% due 10/25/2035 þ(l)  | 3058 | 1689 |
| 4.693% due 10/25/2036 •(l)  | 2258 | 2247 |
| **Park Place Securities, Inc.** <br>4.738% due 09/25/2035 •(l) | 2200 | 1993 |
| **Park Place Securities, Inc. Asset-Backed Pass-Through Certificates**  |  |  |
| 4.009% due 07/25/2035 •(l)  | 1600 | 1435 |
| 5.668% due 10/25/2034 •(l)  | 1195 | 1062 |
| **People's Choice Home Loan Securities Trust** <br>4.768% due 05/25/2035 •(l) | 900 | 651 |
| **RAAC Trust** <br>6.418% due 05/25/2046 •(l) | 17151 | 17190 |
| **Renaissance Home Equity Loan Trust** <br>5.612% due 04/25/2037 þ | 3152 | 767 |
| **Residential Asset Mortgage Products Trust**  |  |  |
| 4.543% due 04/25/2034 •(l)  | 723 | 722 |
| 4.663% due 04/25/2034 •(l)  | 155 | 155 |
| 5.368% due 04/25/2034 •(l)  | 953 | 963 |
| 5.773% due 04/25/2034 •(l)  | 1738 | 1802 |
| **Residential Asset Securities Corporation Trust**  |  |  |
| 4.053% due 11/25/2036 •(l)  | 3536 | 3323 |
| 4.133% due 10/25/2036 •(l)  | 1909 | 1784 |
| 4.273% due 08/25/2036 •(l)  | 7386 | 6633 |
| 4.288% due 04/25/2036 •(l)  | 6183 | 5459 |
| 4.453% due 12/25/2035 •(l)  | 5428 | 4804 |
| 4.738% due 12/25/2035 •(l)  | 1813 | 1531 |
| **Saxon Asset Securities Trust**  |  |  |
| 1.582% due 11/25/2035 •(l)  | 8963 | 7076 |
| 1.966% due 03/25/2035 •(l)  | 5096 | 2932 |
| **Securitized Asset-Backed Receivables LLC Trust**  |  |  |
| 3.933% due 07/25/2036 •(l)  | 2064 | 1806 |
| 4.113% due 07/25/2036 •  | 2512 | 808 |
| 4.253% due 02/25/2037 •  | 203 | 91 |
| 4.468% due 01/25/2035 •  | 5 | 5 |
| **Soundview Home Loan Trust**  |  |  |
| 3.943% due 06/25/2037 •(l)  | 2624 | 1771 |
| 4.073% due 06/25/2037 •(l)  | 4757 | 3211 |
| 4.153% due 02/25/2037 •(l)  | 6600 | 1745 |
| 4.313% due 02/25/2037 •(l)  | 7660 | 2033 |
| 4.743% due 10/25/2037 •(l)  | 3394 | 2682 |
| 4.768% due 11/25/2035 •(l)  | 1038 | 1032 |
| 4.893% due 09/25/2037 •(l)  | 1289 | 1108 |
| **Structured Asset Investment Loan Trust** <br>4.793% due 09/25/2034 •(l) | 2258 | 2231 |
| **Structured Asset Securities Corp.** <br>9.793% due 05/25/2032 •(l) | 3631 | 3381 |
| **UCFC Home Equity Loan Trust** <br>7.750% due 04/15/2030 ~ | 232 | 235 |
| **Wells Fargo Home Equity Asset-Backed Securities Trust** <br>4.198% due 01/25/2037 •(l) | 9675 | 10176 |
|  |  | 631475 |
| **HOME EQUITY SEQUENTIAL 0.0%**  |  |  |
| **JP Morgan Mortgage Acquisition Trust** <br>4.149% due 03/25/2047 þ(l) | 2256 | 1464 |
| **Structured Asset Securities Corp. Mortgage Loan Trust** <br>5.593% due 08/25/2037 •  | 1 | 1 |
|  |  | 1465 |
| **MANUFACTURING HOUSE ABS OTHER 0.2%**  |  |  |
| **Access Financial Manufactured Housing Contract Trust** <br>7.650% due 05/15/2049 | 200 | 1 |
| **Conseco Finance Securitizations Corp.**  |  |  |
| 8.060% due 09/01/2029 ~  | 2914 | 334 |
| 9.163% due 03/01/2033 ~  | 6940 | 7148 |
| 9.546% due 12/01/2033 ~  | 4089 | 4175 |
| **GreenPoint Manufactured Housing** <br>9.230% due 12/15/2029 ~ | 3241 | 3264 |
| **Mid-State Capital Corp. Trust** <br>6.742% due 10/15/2040 (l) | 1463 | 1483 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **Oakwood Mortgage Investors, Inc.** <br>8.490% due 10/15/2030 | 1131 | 1101 |
|  |  | 17506 |
| **MANUFACTURING HOUSE SEQUENTIAL 0.1%**  |  |  |
| **BCMSC Trust** <br>7.830% due 06/15/2030 ~ | 3549 | 198 |
| **Conseco Finance Corp.**  |  |  |
| 6.530% due 02/01/2031 ~  | 232 | 209 |
| 7.060% due 02/01/2031 ~  | 1009 | 923 |
| 7.500% due 03/01/2030 ~  | 5862 | 1372 |
| **Conseco Finance Securitizations Corp.**  |  |  |
| 7.770% due 09/01/2031 þ  | 136 | 138 |
| 7.960% due 05/01/2031  | 1457 | 251 |
| 8.260% due 12/01/2030 ~  | 4584 | 703 |
| 8.850% due 12/01/2030 ~  | 5630 | 600 |
| **Oakwood Mortgage Investors, Inc.** <br>7.840% due 11/15/2029 ~ | 369 | 374 |
|  |  | 4768 |
| **WHOLE LOAN COLLATERAL 1.6%**  |  |  |
| **Bear Stearns Asset-Backed Securities I Trust**  |  |  |
| 6.000% due 12/25/2035  | 220 | 117 |
| 6.500% due 03/25/2037 þ(l)  | 8809 | 8060 |
| **Bear Stearns Asset-Backed Securities Trust**  |  |  |
| 4.596% due 10/25/2036 ~  | 105 | 81 |
| 4.831% due 07/25/2036 ~  | 2 | 2 |
| 4.886% due 10/25/2036 ~(l)  | 2323 | 990 |
| **Citigroup Mortgage Loan Trust, Inc.**  |  |  |
| 4.493% due 11/25/2046 •(l)  | 4267 | 3673 |
| 6.352% due 05/25/2036 þ  | 337 | 118 |
| 6.423% due 03/25/2036 þ  | 1263 | 567 |
| 6.851% due 05/25/2036 þ  | 1961 | 686 |
| **Countrywide Asset-Backed Certificates** <br>4.273% due 04/25/2036 •  | 285 | 264 |
| **First Franklin Mortgage Loan Trust**  |  |  |
| 4.363% due 02/25/2036 •(l)  | 5204 | 4968 |
| 4.738% due 09/25/2035 •(l)  | 5633 | 5313 |
| 4.768% due 05/25/2036 •(l)  | 13251 | 12217 |
| 4.843% due 03/25/2035 •(l)  | 2101 | 2026 |
| **GSAMP Trust** <br>5.668% due 06/25/2034 •(l) | 1253 | 1188 |
| **Lehman XS Trust**  |  |  |
| 4.251% due 05/25/2037 ~(l)  | 5265 | 4507 |
| 6.670% due 06/24/2046 þ  | 123 | 135 |
| **Opteum Mortgage Acceptance Corp. Asset-Backed Pass-Through Certificates** <br>4.843% due 04/25/2035 •(l) | 324 | 324 |
| **Pretium Mortgage Credit Partners LLC**  |  |  |
| 4.968% due 02/25/2056 þ  | 2870 | 2849 |
| 5.151% due 02/25/2056 þ  | 1173 | 1164 |
| 5.180% due 01/25/2056 þ  | 4873 | 4837 |
| 5.184% due 11/25/2055 þ(l)  | 7599 | 7552 |
| 5.193% due 10/25/2055 þ(l)  | 5946 | 5950 |
| 5.265% due 12/25/2055 þ  | 5423 | 5390 |
| 5.342% due 12/25/2055 þ(l)  | 7358 | 7337 |
| 5.391% due 08/25/2055 þ(l)  | 1578 | 1581 |
| 5.510% due 04/25/2056 þ  | 4400 | 4403 |
| 5.657% due 08/25/2055 þ  | 901 | 903 |
| 5.732% due 08/25/2055 þ  | 938 | 941 |
| 5.744% due 06/25/2055 þ(l)  | 1349 | 1352 |
| **RCO X Mortgage LLC** <br>5.418% due 10/25/2030 þ | 3941 | 3934 |
| **Residential Asset Mortgage Products Trust** <br>4.918% due 08/25/2033 •  | 245 | 244 |
| **Securitized Asset-Backed Receivables LLC Trust**  |  |  |
| 4.293% due 05/25/2036 •(l)  | 13517 | 7254 |
| 4.393% due 11/25/2035 •(l)  | 8321 | 7274 |
| 4.453% due 08/25/2035 •(l)  | 1098 | 850 |
| 4.768% due 12/25/2034 •(l)  | 420 | 367 |
| **Specialty Underwriting & Residential Finance Trust**  |  |  |
| 4.046% due 02/25/2037 þ  | 2288 | 727 |
| 4.093% due 06/25/2037 •(l)  | 2717 | 1343 |
| 4.493% due 03/25/2037 •  | 248 | 128 |
| **VCAT LLC**  |  |  |
| 5.062% due 02/25/2056 þ  | 973 | 969 |
| 5.101% due 01/25/2056 þ  | 943 | 939 |
|  |  | 113524 |
| **OTHER ABS 5.1%**  |  |  |
| **ABSLT DE LLC** <br>12.175% due 05/20/2033 « | 57200 | 56248 |
| **Acacia CDO 5 Ltd.** <br>7.600% due 11/08/2039 •  | 8674 | 1869 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **Adagio VI CLO DAC** <br>0.000% due 04/30/2031 ~ | 1343 | 336 |
| **AIM Aviation Finance Ltd.** <br>6.213% due 02/15/2040 þ(l) | $763 | 749 |
| **Anchorage Credit Funding 13 Ltd.** <br>0.000% due 07/27/2039 ~ | 5100 | 2968 |
| **Apex Credit CLO LLC** <br>0.000% due 10/20/2034 ~ | 20050 | 6509 |
| **Aqueduct European CLO DAC** <br>1.000% due 01/25/2039 | 1343 | 906 |
| **C-BASS CBO XVI Corp.** <br>7.000% due 09/06/2041 •  | $98373 | 474 |
| **Carlyle Global Market Strategies CLO Ltd.** <br>0.000% due 04/17/2031 ~ | 2900 | 31 |
| **CIFC Funding Ltd.** <br>0.000% due 04/24/2030 ~ | 3390 | 371 |
| **College Avenue Student Loans Trust**  |  |  |
| 0.000% due 06/25/2054 «(h)  | 21 | 11583 |
| 8.660% due 06/25/2054 (l)  | 3811 | 4026 |
| **Cologix Canadian Issuer LP** <br>7.740% due 01/25/2052 (l) | 2000 | 1418 |
| **Cork Street CLO DAC** <br>0.000% due 11/27/2028 ~ | 1401 | 198 |
| **Coronado CDO Ltd.**  |  |  |
| 5.418% due 09/04/2038 •  | $21570 | 6139 |
| 6.000% due 09/04/2038  | 3418 | 1125 |
| **Deutsche Bank AG** <br>10.918% due 01/21/2035 «•  | 18900 | 18995 |
| **Dryden 123 CLO Ltd.**  |  |  |
| 0.000% due 04/15/2038 ~  | 8400 | 6408 |
| 0.000% due 04/15/2038 «  | 8400 | 185 |
| **Duke Funding VI Ltd.** <br>7.250% due 04/08/2039 •  | 7546 | 582 |
| **ECAF I Ltd.**  |  |  |
| 3.473% due 06/15/2040  | 422 | 379 |
| 4.947% due 06/15/2040  | 2795 | 2602 |
| **Euromax V ABS PLC** <br>2.339% due 11/10/2095 •  | 2580 | 2860 |
| **FAB U.K. Ltd.** <br>0.000% due 12/06/2045 ~ | 16148 | 4838 |
| **Glacier Funding CDO III Ltd.** <br>7.020% due 08/04/2035 •  | $31282 | 1984 |
| **GreenSky Home Improvement Issuer Trust** <br>8.750% due 10/27/2059 | 430 | 445 |
| **Hillcrest CDO I Ltd.** <br>4.731% due 12/10/2039 •  | 32573 | 5099 |
| **Hout Bay Corp.**  |  |  |
| 4.716% due 07/05/2041 •  | 109166 | 17084 |
| 4.916% due 07/05/2041 •  | 4871 | 6 |
| 5.046% due 07/05/2041 ^•(e)  | 1690 | 0 |
| **KGS-Alpha SBA COOF Trust** <br>1.090% due 04/25/2038 «~(a) | 450 | 9 |
| **Labrador Aviation Finance Ltd.** <br>4.300% due 01/15/2042 (l) | 1235 | 1267 |
| **LendingPoint Asset Securitization Trust** <br>5.990% due 10/15/2029 | 45 | 45 |
| **LendingPoint Pass-Through Trust**  |  |  |
| 0.000% due 03/15/2028 (h)  | 1400 | 86 |
| 0.000% due 04/15/2028 «(h)  | 1700 | 160 |
| **Madison Park Funding XXIII Ltd.** <br>0.000% due 07/27/2047 ~ | 5600 | 329 |
| **Man GLG U.S. CLO Ltd.** <br>0.000% due 07/15/2034 ~ | 6450 | 2292 |
| **Marble Point CLO XXIII Ltd.** <br>0.000% due 01/22/2052 ~ | 17150 | 4726 |
| **Margate Funding Ltd.**  |  |  |
| 7.080% due 12/04/2044 •  | 14352 | 2371 |
| 7.350% due 12/04/2044 ^•(e)  | 14026 | 0 |
| **Marlette Funding Trust**  |  |  |
| 0.000% due 07/16/2029 «(h)  | 16 | 0 |
| 0.000% due 09/17/2029 «(h)  | 35 | 0 |
| 0.000% due 03/15/2030 «(h)  | 33 | 11 |
| 0.000% due 09/16/2030 «(h)  | 9 | 4 |
| **National Collegiate V Commutation Trust** <br>0.000% due 03/25/2038 •(l) | 135030 | 19819 |
| **OCP CLO Ltd.** <br>0.000% due 07/20/2037 ~ | 11 | 3244 |
| **Pagaya AI Debt Grantor Trust**  |  |  |
| 0.000% due 04/15/2032 «~  | 700 | 276 |
| 5.617% due 04/15/2032 «(l)  | 302 | 302 |
| 5.823% due 04/15/2032 «  | 450 | 450 |
| 6.261% due 04/15/2032 «  | 470 | 470 |
| 10.273% due 04/15/2032 «(l)  | 580 | 565 |
| **Pagaya AI Debt Selection Trust** <br>3.270% due 05/15/2029 | 152 | 150 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **Palisades CDO Ltd.** <br>7.700% due 07/22/2039 •  | 6540 | 2136 |
| **Putnam Structured Product Funding Ltd.** <br>5.187% due 10/15/2038 •  | 676 | 349 |
| **RCKT Trust** <br>7.830% due 11/27/2034 (l) | 700 | 687 |
| **Reach ABS Trust** <br>7.750% due 08/16/2032 (l) | 500 | 521 |
| **Rockford Tower CLO Ltd.**  |  |  |
| 0.000% due 10/15/2029 ~  | 11667 | 673 |
| 0.000% due 10/20/2030 ~  | 4967 | 27 |
| 0.000% due 10/20/2031 ~  | 4967 | 273 |
| 0.000% due 04/20/2034 ~  | 22000 | 4878 |
| **SLM Student Loan EDC Repackaging Trust** <br>0.000% due 10/28/2029 «(h) | 36 | 11204 |
| **SLM Student Loan Trust** <br>0.000% due 01/25/2042 «(h) | 31 | 5747 |
| **SMB Private Education Loan Trust**  |  |  |
| 0.000% due 10/15/2048 «(h)  | 8 | 1903 |
| 0.000% due 09/15/2054 (h)  | 30802 | 34470 |
| 0.000% due 11/16/2054 «(h)  | 5 | 3957 |
| 0.000% due 02/16/2055 «(h)  | 9 | 8585 |
| **Soloso CDO Ltd.** <br>4.228% due 10/07/2037 •  | 17418 | 14300 |
| **South Coast Funding V Ltd.** <br>4.977% due 08/06/2039 •  | 3678 | 1117 |
| **South Coast Funding VII Ltd.**  |  |  |
| 0.454% due 01/06/2041 •  | 168577 | 31630 |
| 0.644% due 01/06/2041 •  | 10259 | 1 |
| 0.794% due 01/06/2041 •  | 2565 | 0 |
| **Start II Ltd.** <br>4.089% due 03/15/2044 (l) | 350 | 350 |
| **Stream Innovations Issuer Trust** <br>6.270% due 07/15/2044 | 304 | 313 |
| **Taberna Preferred Funding V Ltd.** <br>4.305% due 08/05/2036 •  | 8135 | 7646 |
| **Talon Funding Ltd.** <br>7.240% due 06/05/2035 •  | 676 | 111 |
| **Tropic CDO V Ltd.** <br>4.254% due 07/15/2036 •  | 3172 | 3077 |
| **Verde CDO Ltd.** <br>4.143% due 10/05/2045 •  | 240688 | 44737 |
|  |  | 371685 |
| Total Asset-Backed Securities (Cost $1,658,507) |  | 1164761 |
| **SOVEREIGN ISSUES 8.2%**  |  |  |
| **Angola Government International Bonds**  |  |  |
| 8.000% due 11/26/2029 (l)  | 7400 | 7327 |
| 9.375% due 03/31/2033  | 9500 | 9410 |
| 9.875% due 03/31/2037  | 9500 | 9412 |
| **Argentina Bonar Bonds**  |  |  |
| 0.750% due 07/09/2030 þ(l)  | 22815 | 18545 |
| 4.125% due 07/09/2035 þ(l)  | 21344 | 14935 |
| **Argentina Republic Government International Bonds**  |  |  |
| 0.750% due 07/09/2030 þ  | 360 | 302 |
| 1.000% due 07/09/2029 (l)  | 3711 | 3265 |
| 3.500% due 07/09/2041 þ(l)  | 17260 | 11582 |
| 4.125% due 07/09/2035 þ(l)  | 14400 | 10440 |
| 4.125% due 07/09/2046 þ  | 214 | 148 |
| 5.000% due 01/09/2038 þ(l)  | 76360 | 57728 |
| **Avenir Issuer IV Ireland DAC** <br>6.000% due 10/25/2027 | 5550 | 5378 |
| **Colombia Government International Bonds**  |  |  |
| 1.000% due 03/26/2031  | 398700 | 84 |
| 5.375% due 01/21/2029 (l)  | $1800 | 1786 |
| 6.125% due 01/21/2031 (l)  | 1400 | 1379 |
| **Colombia TES**  |  |  |
| 1.000% due 08/22/2029  | 800 | 0 |
| 6.250% due 07/09/2036  | 89924100 | 15556 |
| 7.250% due 10/18/2034  | 44962100 | 8618 |
| 9.250% due 05/28/2042  | 239072400 | 48849 |
| 11.000% due 08/22/2029  | 34125300 | 8604 |
| 11.500% due 07/25/2046  | 1637100 | 395 |
| 11.750% due 01/24/2035  | 159863900 | 39636 |
| 12.750% due 11/28/2040  | 45292800 | 12005 |
| 13.250% due 02/09/2033  | 29789900 | 7987 |
| **Congolese International Bonds** <br>9.500% due 02/17/2035 (l) | $900 | 811 |
| **Costa Rica Government International Bonds** <br>6.001% due 01/16/2036 (l) | 1000 | 1191 |
| **Development Bank of Kazakhstan JSC** <br>18.400% due 10/16/2028 | 1026000 | 2206 |
| **Dominican Republic International Bonds**  |  |  |
| 10.500% due 03/15/2037 (l)  | 2930600 | 50319 |
| 10.750% due 06/01/2036 (l)  | 60400 | 1051 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **Ecuador Government International Bonds**  |  |  |
| 0.000% due 07/31/2030 (h)(l)  | $10260 | 8600 |
| 8.750% due 01/29/2034 (l)  | 16500 | 16236 |
| **Egypt Government Bonds** <br>19.698% due 10/14/2030 | 5265900 | 94857 |
| **Egypt Government International Bonds** <br>9.450% due 02/04/2033 | $900 | 948 |
| **Ghana Government International Bonds**  |  |  |
| 0.000% due 07/03/2026 (h)(l)  | 91 | 90 |
| 0.000% due 01/03/2030 (h)(l)  | 487 | 412 |
| 5.000% due 07/03/2029 þ(l)  | 2412 | 2305 |
| **Peru Government Bonds**  |  |  |
| 5.350% due 08/12/2040  | 100 | 24 |
| 6.150% due 08/12/2032  | 5 | 1 |
| **Peru Government International Bonds**  |  |  |
| 5.400% due 08/12/2034  | 1 | 0 |
| 6.900% due 08/12/2037  | 15 | 4 |
| 6.950% due 08/12/2031  | 4 | 1 |
| **Republic of Kenya Government International Bonds**  |  |  |
| 7.875% due 02/26/2034 (l)  | $9800 | 8921 |
| 8.700% due 02/26/2039 (l)  | 9800 | 8894 |
| **Romania Government International Bonds**  |  |  |
| 5.875% due 07/11/2032 (l)  | 8800 | 10318 |
| 6.250% due 09/10/2034  | 30300 | 35586 |
| **Russia Foreign Bonds - Eurobond**  |  |  |
| 5.100% due 03/28/2035 «  | $600 | 0 |
| 5.625% due 04/04/2042  | 10200 | 7140 |
| 5.875% due 09/16/2043  | 200 | 137 |
| **Turkiye Government Bonds**  |  |  |
| 39.740% (BISTREFI) due 05/20/2026 ~  | 1700 | 38 |
| 39.740% (BISTREFI) due 08/19/2026 ~  | 1300 | 29 |
| 39.740% (BISTREFI) due 05/17/2028 ~(l)  | 276200 | 6194 |
| 40.299% (BISTREFI) due 09/06/2028 ~(l)  | 1484300 | 33267 |
| **Ukraine Government International Bonds**  |  |  |
| 0.000% due 02/01/2030 þ(i)  | $605 | 357 |
| 0.000% due 02/01/2034 þ(i)  | 2262 | 975 |
| 0.000% due 02/01/2035 þ(i)  | 1912 | 887 |
| 0.000% due 02/01/2036 þ(i)  | 1593 | 738 |
| 4.500% due 02/01/2034 þ  | 3223 | 1728 |
| 4.500% due 02/01/2035 þ  | 3879 | 2040 |
| 4.500% due 02/01/2036 þ  | 3980 | 2054 |
| **Venezuela Government International Bonds**  |  |  |
| 6.000% due 12/09/2049 ^(e)  | 590 | 227 |
| 7.000% due 03/31/2038 ^(e)  | 100 | 41 |
| 9.250% due 09/15/2027 ^(e)  | 12834 | 6160 |
| 9.250% due 05/07/2028 ^(e)  | 9100 | 4186 |
| 11.750% due 10/21/2026 ^(e)  | 100 | 52 |
| 11.950% due 08/05/2031 ^(e)  | 4500 | 2317 |
| Total Sovereign Issues (Cost $600,652) |  | 604713 |
|  | SHARES |  |
| **COMMON STOCKS 1.8%**  |  |  |
| **COMMUNICATION SERVICES 0.8%**  |  |  |
| **Clear Channel Outdoor Holdings, Inc. (f)** | 4853248 | 11502 |
| **iHeartMedia, Inc. Class A (f)** | 2021190 | 5902 |
| **Promotora de Informaciones SA Class A (f)** | 4079279 | 1417 |
| **SES SA «(f)** | 1755353 | 26330 |
| **Uniti Group, Inc. (f)** | 959341 | 8999 |
|  |  | 54150 |
| **CONSUMER DISCRETIONARY 0.0%**  |  |  |
| **Caesars Entertainment, Inc. (f)** | 2 | 0 |
| **Desarrolladora Homex SAB de CV «(f)** | 719113 | 0 |
| **Steinhoff International Holdings NV «(f)(k)** | 299163217 | 0 |
| **West Marine «(f)(k)** | 43000 | 272 |
|  |  | 272 |
| **FINANCIALS 0.8%**  |  |  |
| **Banca Monte dei Paschi di Siena SpA** | 6139000 | 53566 |
| **Corestate Capital Holding SA «(f)(k)** | 843935 | 0 |
| **UBS Group AG** | 12342 | 481 |
| **XBP Global Holdings, Inc. (f)** | 5398 | 24 |
|  |  | 54071 |
| **INDUSTRIALS 0.2%**  |  |  |
| **Foresea Holdings SA «** | 263557 | 6061 |
| **Luxco Co. Ltd. «(f)(k)** | 537634 | 9943 |
| **Mcdermott International Ltd. (f)** | 4683 | 116 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| **Westmoreland Mining Holdings «(f)(k)** | 238883 | 142 |
| **Westmoreland Mining LLC «(f)(k)** | 240987 | 1024 |
|  |  | 17286 |
| **REAL ESTATE 0.0%**  |  |  |
| **Country Garden Holdings Co. Ltd. (f)** | 602894 | 25 |
| **MNSN Holdings, Inc. «(f)(k)** | 25645 | 1590 |
|  |  | 1615 |
| Total Common Stocks (Cost $126,437) |  | 127394 |
| **WARRANTS 0.1%**  |  |  |
| **COMMUNICATION SERVICES 0.1%**  |  |  |
| **Windstream Holdings II LLC - Exp. 08/01/2035** | 737041 | 6906 |
| **CONSUMER DISCRETIONARY 0.0%**  |  |  |
| **West Marine - Exp. 09/08/2028 «** | 5580 | 0 |
| Total Warrants (Cost $4,490) |  | 6906 |
| **PREFERRED SECURITIES 5.5%**  |  |  |
| **BANKING & FINANCE 1.1%**  |  |  |
| **ADLER Group SA** « | 10224514 | 0 |
| **AGFC Capital Trust I**<br>5.684% (US0003M + 1.750%) due 01/15/2067 ~(l) | 35500000 | 22232 |
| **American AgCredit Corp.**<br>5.250% due 06/15/2026 •(j)(l) | 10000000 | 10056 |
| **Capital Farm Credit ACA**<br>8.393% due 06/15/2026 •(j)(l) | 4300000 | 4288 |
| **Compeer Financial ACA**<br>4.875% due 08/15/2026 •(j)(l) | 1900000 | 1879 |
| **OCP CLO Ltd.**<br>0.000% due 04/26/2036 ~ | 4645 | 1793 |
| **WAFC Voussoir** « | 16767702 | 16768 |
| **Windstream Holdings II LLC**<br>11.000% « | 24136 | 25685 |
|  |  | 82701 |
| **INDUSTRIALS 4.4%**  |  |  |
| **Atlas Re Ltd.** « | 528 | 53024 |
| **Clover Holdings, Inc.**<br>0.000% «(k) | 157800 | 2984 |
| **Mustang Express Ltd.**<br>0.000% « | 211068 | 215550 |
| **SVB Financial Trust**  |  |  |
| 0.000% due 11/07/2032 (h) | 167720 | 11 |
| 11.000% due 11/07/2032 | 29233 | 13813 |
| **Syniverse Holdings, Inc.**<br>12.500% «(k) | 23556569 | 19820 |
| **Venture Global LNG, Inc.**<br>9.000% due 09/30/2029 •(j) | 13530000 | 13481 |
|  |  | 318683 |
| Total Preferred Securities (Cost $405,355) |  | 401384 |
| **REAL ESTATE INVESTMENT TRUSTS 0.3%**  |  |  |
| **REAL ESTATE 0.3%**  |  |  |
| **VICI Properties, Inc.** | 711293 | 19432 |
| Total Real Estate Investment Trusts (Cost $8,657) |  | 19432 |
| **SHORT-TERM INSTRUMENTS 3.4%**  |  |  |
| **EGYPT TREASURY BILLS 0.4%**  |  |  |
| 24.075% due 08/04/2026 - 11/17/2026 (g)(h) | 1567800 | 25766 |
| **NIGERIA TREASURY BILLS 2.1%**  |  |  |
| 20.946% due 06/11/2026 - 01/28/2027 (g)(h) | 249491000 | 157264 |
| **TURKEY TREASURY BILLS 0.0%**  |  |  |
| 38.691% due 04/07/2026 (g)(h) | 70000 | 1563 |
| **U.S. TREASURY BILLS 0.9%**  |  |  |
| 3.670% due 04/07/2026 - 07/21/2026 (g)(h)(n)(p) | $65796 | 65446 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | |
|:---|:---|:---|
| 0 | 163 | 203 |
| Total Short-Term Instruments (Cost $250,798) |  | 250039 |
| Total Investments in Securities (Cost $11,172,500) |  | 9981753 |
|  | SHARES |  |
| **INVESTMENTS IN AFFILIATES 15.6%**  |  |  |
| **COMMON STOCKS 4.4%**  |  |  |
| **AFFILIATED INVESTMENTS 4.4%**  |  |  |
| **AmSurg Corp. «(k)** | 3517243 | 154670 |
| **Incora New Equity «(k)** | 2316329 | 87729 |
| **Market Garden «(k)** | 41876606 | 46569 |
| **Sierra Hamilton Holder LLC «(k)** | 30337712 | 3 |
| **Windstream Services LLC** | 3783475 | 35489 |
| Total Common Stocks (Cost $332,131) |  | 324460 |
| **SHORT-TERM INSTRUMENTS 11.2%**  |  |  |
| **CENTRAL FUNDS USED FOR CASH MANAGEMENT PURPOSES 11.2%**  |  |  |
| **PIMCO Short-Term Floating NAV Portfolio III** | 84405261 | 822023 |
| Total Short-Term Instruments (Cost $821,873) |  | 822023 |
| Total Investments in Affiliates (Cost $1,154,004) |  | 1146483 |
| Total Investments 151.7% (Cost $12,326,504) |  | $11128236 |
| **Financial Derivative Instruments (m)(o) 0.2**%(Cost or Premiums, net $18,333) |  | 11913 |
| Other Assets and Liabilities, net (51.9)% |  | (3806026) |
| Net Assets 100.0% |  | $7334123 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 0 | 49 | 107 | 128 | 150 | 162 | 187 | 202 | 208 |
| **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  | **NOTES TO CONSOLIDATED SCHEDULE OF INVESTMENTS:**  |
| **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** | **\* A zero balance may reflect actual amounts rounding to less than one thousand.** |
| **¤** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** | **The geographical classification of foreign (non-U.S.) securities in this report, if any, are classified by the country of incorporation of a holding. In certain instances, a security's country of incorporation may be different from its country of economic exposure.** |
| **^** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** | **Security is in default.** |
| **«** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** | **Security valued using significant unobservable inputs (Level 3).** |
| **µ** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** | **All or a portion of this amount represents unfunded loan commitments. The interest rate for the unfunded portion will be determined at the time of funding.** |
| **~** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** | **Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description.** |
| **•** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** | **Rate shown is the rate in effect as of period end. The rate may be based on a fixed rate, a capped rate or a floor rate and may convert to a variable or floating rate in the future. These securities do not indicate a reference rate and spread in their description.** |
| **þ** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** | **Coupon represents a rate which changes periodically based on a predetermined schedule or event. Rate shown is the rate in effect as of period end.** |
| **(a)** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** | **Security is an Interest Only ("IO") or IO Strip.** |
| **(b)** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** | **Principal only security.** |
| **(c)** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** | **When-issued security.** |
| **(d)** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** | **Payment in-kind security.** |
| **(e)** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** | **Security is not accruing income as of the date of this report.** |
| **(f)** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** | **Security did not produce income within the last twelve months.** |
| **(g)** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** | **Coupon represents a weighted average yield to maturity.** |
| **(h)** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** | **Zero coupon security.** |
| **(i)** | **Security becomes interest bearing at a future date.** | **Security becomes interest bearing at a future date.** | **Security becomes interest bearing at a future date.** | **Security becomes interest bearing at a future date.** | **Security becomes interest bearing at a future date.** | **Security becomes interest bearing at a future date.** | **Security becomes interest bearing at a future date.** | **Security becomes interest bearing at a future date.** |
| **(j)** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** | **Perpetual maturity; date shown, if applicable, represents next contractual call date.** |
| **(k)** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** | **RESTRICTED SECURITIES:** |
| Issuer Description | Issuer Description | Acquisition<br>Date | Acquisition<br>Date | Cost | Cost | Market<br>Value | Market<br>Value | Market Value<br>as Percentage<br>of Net Assets |
| AmSurg Corp. | AmSurg Corp. | 11/02/2023 - 11/06/2023 | 11/02/2023 - 11/06/2023 | $146968 | 146968 | $154670 | 154670 | 2.10% |
| CIFI Holdings Group Co. Ltd. 0.000% due 06/30/2029 | CIFI Holdings Group Co. Ltd. 0.000% due 06/30/2029 | 12/29/2025 | 12/29/2025 | 78 | 78 | 32 | 32 | 0.00 |
| City of Port Huron Water Supply System Revenue 7.750% due 11/01/2045 | City of Port Huron Water Supply System Revenue 7.750% due 11/01/2045 | 12/19/2025 - 03/18/2026 | 12/19/2025 - 03/18/2026 | 71880 | 71880 | 71502 | 71502 | 0.98 |
| Clover Holdings, Inc. | Clover Holdings, Inc. | 12/09/2024 - 03/10/2025 | 12/09/2024 - 03/10/2025 | 2367 | 2367 | 2984 | 2984 | 0.04 |
| Corestate Capital Holding SA | Corestate Capital Holding SA | 08/22/2023 | 08/22/2023 | 0 | 0 | 0 | 0 | 0.00 |
| Country Garden Holdings Co. Ltd. 0.000% due 12/31/2031 | Country Garden Holdings Co. Ltd. 0.000% due 12/31/2031 | 12/31/2025 | 12/31/2025 | 183 | 183 | 144 | 144 | 0.00 |
| Incora New Equity | Incora New Equity | 01/31/2025 | 01/31/2025 | 112516 | 112516 | 87729 | 87729 | 1.20 |
| Incora Top Holdco LLC 6.000% due 01/30/2033 | Incora Top Holdco LLC 6.000% due 01/30/2033 | 01/31/2025 - 01/31/2026 | 01/31/2025 - 01/31/2026 | 52753 | 52753 | 79896 | 79896 | 1.09 |
| Luxco Co. Ltd. | Luxco Co. Ltd. | 10/01/2025 | 10/01/2025 | 9460 | 9460 | 9943 | 9943 | 0.14 |
| MNSN Holdings, Inc. | MNSN Holdings, Inc. | 03/16/2023 - 03/29/2023 | 03/16/2023 - 03/29/2023 | 285 | 285 | 1590 | 1590 | 0.02 |
| Market Garden | Market Garden | 03/13/2024 | 03/13/2024 | 41878 | 41878 | 46569 | 46569 | 0.64 |
| Petersen Claim Units 0.000% due 12/31/2099 | Petersen Claim Units 0.000% due 12/31/2099 | 12/08/2025 - 03/17/2026 | 12/08/2025 - 03/17/2026 | 12646 | 12646 | 1970 | 1970 | 0.03 |
| Sierra Hamilton Holder LLC | Sierra Hamilton Holder LLC | 07/31/2017 | 07/31/2017 | 7690 | 7690 | 3 | 3 | 0.00 |
| Steinhoff International Holdings NV | Steinhoff International Holdings NV | 06/30/2023 - 10/30/2023 | 06/30/2023 - 10/30/2023 | 0 | 0 | 0 | 0 | 0.00 |
| Syniverse Holdings, Inc. | Syniverse Holdings, Inc. | 05/12/2022 - 11/30/2025 | 05/12/2022 - 11/30/2025 | 23250 | 23250 | 19820 | 19820 | 0.27 |
| Towd Point Mortgage Trust 0.000% due 10/25/2059 | Towd Point Mortgage Trust 0.000% due 10/25/2059 | 05/28/2025 | 05/28/2025 | 137 | 137 | 0 | 0 | 0.00 |
| West Marine | West Marine | 09/12/2023 | 09/12/2023 | 618 | 618 | 272 | 272 | 0.00 |
| Westmoreland Mining Holdings | Westmoreland Mining Holdings | 12/08/2014 - 03/26/2019 | 12/08/2014 - 03/26/2019 | 6949 | 6949 | 142 | 142 | 0.00 |
| Westmoreland Mining LLC | Westmoreland Mining LLC | 06/30/2023 | 06/30/2023 | 1597 | 1597 | 1024 | 1024 | 0.01 |
|  |  |  |  | $491255 | 491255 | $478290 | 478290 | 6.52% |
| **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** | **BORROWINGS AND OTHER FINANCING TRANSACTIONS** |
| **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** | **REVERSE REPURCHASE AGREEMENTS:** |
| Counterparty | Borrowing Rate<sup>(1)</sup> | Settlement Date | Maturity Date | Maturity Date | Amount<br>Borrowed<sup>(1)</sup> | Amount<br>Borrowed<sup>(1)</sup> | Payable for<br>Reverse<br>Repurchase<br>Agreements | Payable for<br>Reverse<br>Repurchase<br>Agreements |
| BMO | 4.260%  | 02/23/2026 | 05/26/2026 | 05/26/2026 | $(2085) | (2085) | $(2094) | (2094) |
|  | 4.410  | 02/23/2026 | 05/26/2026 | 05/26/2026 | (9172) | (9172) | (9214) | (9214) |
|  | 4.560  | 02/23/2026 | 05/26/2026 | 05/26/2026 | (3710) | (3710) | (3727) | (3727) |
| BNY | 4.730  | 12/30/2025 | 06/30/2026 | 06/30/2026 | (18006) | (18006) | (18229) | (18229) |
|  | 4.730  | 01/26/2026 | 07/27/2026 | 07/27/2026 | (80039) | (80039) | (80724) | (80724) |
|  | 4.730  | 02/18/2026 | 08/18/2026 | 08/18/2026 | (49780) | (49780) | (50057) | (50057) |
| BOS | 4.130  | 02/27/2026 | 06/26/2026 | 06/26/2026 | (2849) | (2849) | (2860) | (2860) |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| 0 | 49 | 87 | 128 | 162 | 202 |
|  | 4.130  | 03/06/2026 | 08/05/2026 | (15419) | (15465) |
|  | 4.230  | 03/06/2026 | 08/05/2026 | (33212) | (33314) |
|  | 4.280  | 03/06/2026 | 08/05/2026 | (8087) | (8113) |
|  | 4.330  | 03/06/2026 | 08/05/2026 | (10716) | (10750) |
|  | 4.330  | 03/27/2026 | 07/22/2026 | (14066) | (14074) |
|  | 4.380  | 03/06/2026 | 08/05/2026 | (1214) | (1218) |
|  | 4.630  | 03/27/2026 | 07/22/2026 | (10902) | (10909) |
|  | 4.730  | 03/27/2026 | 07/22/2026 | (2950) | (2952) |
| BPS | (0.500)  | 01/26/2026 | TBD<sup>(2)</sup> | (854) | (987) |
|  | 1.700  | 02/10/2026 | TBD<sup>(2)</sup> | (8463) | (9805) |
|  | 1.750  | 09/01/2025 | TBD<sup>(2)</sup> | (1050) | (1226) |
|  | 1.800  | 02/10/2026 | TBD<sup>(2)</sup> | (6892) | (7986) |
|  | 2.257  | 03/04/2026 | 04/02/2026 | (17948) | (20782) |
|  | 2.268  | 03/12/2026 | 06/12/2026 | (9862) | (11414) |
|  | 2.288  | 03/12/2026 | 06/12/2026 | (5349) | (6191) |
|  | 2.321  | 03/04/2026 | 04/02/2026 | (8006) | (9270) |
|  | 2.330  | 04/02/2026 | 07/02/2026 | (17864) | (20648) |
|  | 2.334  | 03/13/2026 | 05/13/2026 | (9347) | (10817) |
|  | 2.400  | 04/02/2026 | 07/02/2026 | (8201) | (9479) |
|  | 3.870  | 03/12/2026 | 04/13/2026 | $(7588) | (7604) |
|  | 4.020  | 01/30/2026 | TBD<sup>(2)</sup> | (824) | (829) |
|  | 4.050  | 12/12/2025 | TBD<sup>(2)</sup> | (4231) | (4283) |
|  | 4.050  | 02/03/2026 | TBD<sup>(2)</sup> | (28206) | (37573) |
|  | 4.100  | 12/12/2025 | TBD<sup>(2)</sup> | $(4549) | (4606) |
|  | 4.150  | 01/30/2026 | TBD<sup>(2)</sup> | (2579) | (2597) |
|  | 4.380  | 03/18/2026 | 09/14/2026 | (18841) | (18873) |
|  | 4.452  | 03/19/2026 | 07/20/2026 | (7584) | (10054) |
|  | 4.810  | 03/18/2026 | 09/14/2026 | $(1120) | (1122) |
|  | 4.830  | 01/27/2026 | 07/23/2026 | (124123) | (125193) |
|  | 4.850  | 03/18/2026 | 09/14/2026 | (4015) | (4023) |
|  | 4.860  | 03/18/2026 | 09/14/2026 | (28781) | (28836) |
| BRC | 1.400  | 02/11/2026 | TBD<sup>(2)</sup> | (5355) | (6201) |
|  | 1.500  | 09/29/2025 | TBD<sup>(2)</sup> | (2689) | (3132) |
|  | 1.600  | 02/11/2026 | TBD<sup>(2)</sup> | (1815) | (2103) |
|  | 1.600  | 03/03/2026 | TBD<sup>(2)</sup> | (610) | (706) |
|  | 1.650  | 02/11/2026 | TBD<sup>(2)</sup> | (4827) | (5592) |
|  | 1.930  | 11/14/2025 | 04/01/2026 | (7009) | (8162) |
|  | 2.000  | 12/04/2025 | TBD<sup>(2)</sup> | (3996) | (4649) |
|  | 2.500  | 02/09/2026 | TBD<sup>(2)</sup> | $(4001) | (4015) |
|  | 3.250  | 12/19/2025 | TBD<sup>(2)</sup> | (4998) | (6678) |
|  | 3.450  | 12/19/2025 | TBD<sup>(2)</sup> | (2682) | (3586) |
|  | 3.850  | 12/12/2025 | TBD<sup>(2)</sup> | $(619) | (626) |
|  | 4.070  | 03/13/2026 | 04/13/2026 | (12479) | (12506) |
|  | 4.600  | 01/05/2026 | 04/06/2026 | (323) | (326) |
|  | 4.610  | 02/25/2026 | 06/24/2026 | (3400) | (3415) |
|  | 4.630  | 03/20/2026 | 07/20/2026 | (14494) | (14516) |
|  | 4.660  | 03/26/2026 | 06/24/2026 | (3103) | (3106) |
|  | 4.730  | 01/20/2026 | 04/20/2026 | (10912) | (11014) |
|  | 4.730  | 02/24/2026 | 06/24/2026 | (131765) | (132392) |
|  | 4.750  | 01/12/2026 | 04/13/2026 | (10155) | (10261) |
|  | 4.760  | 02/25/2026 | 06/24/2026 | (1380) | (1387) |
|  | 4.760  | 03/04/2026 | 07/01/2026 | (12621) | (12668) |
|  | 4.800  | 02/02/2026 | 06/02/2026 | (62986) | (63473) |
|  | 4.800  | 02/09/2026 | 04/10/2026 | (639) | (643) |
|  | 4.810  | 02/05/2026 | 06/05/2026 | (4036) | (4066) |
|  | 4.810  | 02/06/2026 | 05/07/2026 | (1400) | (1410) |
|  | 4.810  | 02/25/2026 | 06/24/2026 | (4036) | (4055) |
|  | 4.820  | 03/09/2026 | 06/09/2026 | (10860) | (10894) |
|  | 4.820  | 03/10/2026 | 06/10/2026 | (5599) | (5615) |
|  | 4.830  | 12/19/2025 | 04/20/2026 | (8429) | (8547) |
|  | 4.830  | 01/20/2026 | 04/20/2026 | (5531) | (5584) |
|  | 4.860  | 02/25/2026 | 06/24/2026 | (3316) | (3331) |
|  | 4.910  | 02/25/2026 | 06/24/2026 | (2318) | (2330) |
|  | 5.052  | 03/26/2026 | 04/08/2026 | (20865) | (27640) |
| BYR | 4.110  | 03/03/2026 | 06/01/2026 | (19464) | (19529) |
|  | 4.130  | 01/21/2026 | 04/21/2026 | (33733) | (34006) |
|  | 4.130  | 02/03/2026 | 07/31/2026 | (62387) | (62797) |
|  | 4.130  | 03/05/2026 | 07/31/2026 | (674) | (676) |
|  | 4.130  | 03/30/2026 | 07/31/2026 | (6121) | (6122) |
|  | 4.155  | 03/25/2026 | 05/26/2026 | (67910) | (67964) |
|  | 4.180  | 12/05/2025 | 04/06/2026 | (23674) | (23937) |
|  | 4.180  | 03/26/2026 | 04/06/2026 | (9604) | (9611) |
|  | 4.180  | 03/30/2026 | 04/06/2026 | (7231) | (7233) |
| CDC | 4.030  | 03/10/2026 | 07/08/2026 | (9702) | (9726) |
|  | 4.030  | 03/23/2026 | 07/21/2026 | (3326) | (3329) |
|  | 4.130  | 03/10/2026 | 07/08/2026 | (11411) | (11440) |
|  | 4.130  | 03/23/2026 | 07/21/2026 | (30754) | (30786) |
|  | 4.130  | 03/30/2026 | 07/21/2026 | (2941) | (2941) |
|  | 4.140  | 03/02/2026 | 06/01/2026 | (4726) | (4742) |
|  | 4.150  | 01/05/2026 | 04/06/2026 | (5298) | (5351) |
|  | 4.170  | 03/02/2026 | 04/02/2026 | (17464) | (17525) |
|  | 4.180  | 01/28/2026 | 04/28/2026 | (7623) | (7679) |
|  | 4.180  | 03/17/2026 | 04/23/2026 | (242) | (242) |
|  | 4.180  | 03/17/2026 | 04/28/2026 | (3138) | (3143) |
|  | 4.430  | 03/10/2026 | 07/08/2026 | (6898) | (6916) |
|  | 4.530  | 03/10/2026 | 07/08/2026 | (12784) | (12819) |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| 0 | 49 | 87 | 128 | 162 | 202 |
| CEW | 5.020  | 01/20/2026 | 04/20/2026 | (2795) | (2823) |
| DBL | 0.041  | 03/17/2026 | 05/15/2026 | (1729) | (1729) |
|  | 0.044  | 03/17/2026 | 05/15/2026 | (5477) | (5477) |
|  | 0.046  | 03/17/2026 | 05/15/2026 | (5930) | (5930) |
|  | 0.048  | 03/17/2026 | 05/15/2026 | (7465) | (7465) |
|  | 2.170  | 02/10/2026 | TBD<sup>(2)</sup> | (1748) | (2027) |
|  | 2.332  | 01/29/2026 | TBD<sup>(2)</sup> | (15744) | (18272) |
|  | 2.350  | 03/04/2026 | TBD<sup>(2)</sup> | (6969) | (8069) |
|  | 2.632  | 01/30/2026 | TBD<sup>(2)</sup> | (3373) | (3916) |
|  | 2.662  | 01/21/2026 | TBD<sup>(2)</sup> | (4706) | (5468) |
|  | 3.900  | 12/12/2025 | TBD<sup>(2)</sup> | $(4806) | (4864) |
|  | 3.900  | 03/05/2026 | TBD<sup>(2)</sup> | (1011) | (1014) |
|  | 3.950  | 12/12/2025 | TBD<sup>(2)</sup> | (39705) | (40185) |
|  | 3.950  | 03/03/2026 | TBD<sup>(2)</sup> | (12467) | (12502) |
|  | 4.100  | 03/06/2026 | 04/06/2026 | (48275) | (48412) |
|  | 4.115  | 02/24/2026 | 05/22/2026 | (23126) | (23222) |
|  | 4.120  | 03/13/2026 | 05/08/2026 | (52372) | (52486) |
|  | 4.121  | 01/23/2026 | 04/24/2026 | (22556) | (22732) |
|  | 4.135  | 03/20/2026 | 06/26/2026 | (1066) | (1068) |
|  | 4.161  | 03/26/2026 | 06/26/2026 | (6722) | (6727) |
|  | 4.165  | 02/24/2026 | 05/22/2026 | (1338) | (1343) |
|  | 4.171  | 01/23/2026 | 04/24/2026 | (23221) | (23404) |
|  | 4.220  | 03/13/2026 | 05/08/2026 | (836) | (838) |
|  | 4.221  | 01/23/2026 | 04/24/2026 | (2842) | (2865) |
|  | 4.261  | 03/26/2026 | 06/26/2026 | (842) | (842) |
|  | 4.271  | 01/23/2026 | 04/24/2026 | (12179) | (12277) |
|  | 4.315  | 02/24/2026 | 05/22/2026 | (21269) | (21360) |
|  | 4.365  | 02/24/2026 | 05/22/2026 | (6568) | (6597) |
|  | 4.370  | 03/13/2026 | 05/08/2026 | (11503) | (11530) |
|  | 4.371  | 01/23/2026 | 04/24/2026 | (3953) | (3986) |
|  | 4.415  | 02/24/2026 | 05/22/2026 | (8914) | (8953) |
|  | 4.420  | 03/13/2026 | 05/08/2026 | (11988) | (12016) |
|  | 4.470  | 03/13/2026 | 05/08/2026 | (14150) | (14183) |
|  | 4.471  | 01/23/2026 | 04/24/2026 | (3845) | (3877) |
|  | 4.515  | 02/24/2026 | 05/22/2026 | (3051) | (3065) |
|  | 4.520  | 03/13/2026 | 05/08/2026 | (31902) | (31978) |
|  | 4.570  | 03/13/2026 | 05/08/2026 | (5609) | (5623) |
|  | 4.606  | 02/17/2026 | 04/16/2026 | (1769) | (1779) |
|  | 4.615  | 02/24/2026 | 05/22/2026 | (966) | (970) |
|  | 4.620  | 03/13/2026 | 05/08/2026 | (3578) | (3587) |
|  | 4.670  | 03/13/2026 | 05/08/2026 | (22765) | (22821) |
|  | 4.720  | 03/13/2026 | 05/08/2026 | (2513) | (2520) |
|  | 4.770  | 03/13/2026 | 05/08/2026 | (31047) | (31125) |
|  | 4.820  | 03/13/2026 | 05/08/2026 | (3066) | (3074) |
|  | 4.870  | 03/13/2026 | 05/08/2026 | (3303) | (3312) |
|  | 4.920  | 03/13/2026 | 05/08/2026 | (21976) | (22033) |
|  | 5.020  | 03/13/2026 | 05/08/2026 | (12437) | (12470) |
| DEU | 3.970  | 03/06/2026 | TBD<sup>(2)</sup> | (463) | (464) |
|  | 4.000  | 02/02/2026 | TBD<sup>(2)</sup> | (18995) | (19117) |
|  | 4.010  | 02/02/2026 | TBD<sup>(2)</sup> | (11905) | (11981) |
| GLM | 4.930  | 12/23/2025 | 09/23/2026 | (98008) | (99337) |
|  | 4.980  | 12/23/2025 | 09/23/2026 | (6104) | (6188) |
|  | 5.030  | 12/23/2025 | 09/23/2026 | (4043) | (4099) |
|  | 5.180  | 12/23/2025 | 09/23/2026 | (2678) | (2716) |
|  | 5.254  | 07/29/2025 | 04/29/2026 | (58513) | (60614) |
|  | 5.304  | 07/29/2025 | 04/29/2026 | (2799) | (2900) |
| IND | 4.090  | 03/17/2026 | 06/04/2026 | (1113) | (1115) |
|  | 4.140  | 03/26/2026 | 05/13/2026 | (736) | (737) |
|  | 4.160  | 03/17/2026 | 06/16/2026 | (170) | (170) |
|  | 4.210  | 02/09/2026 | 05/11/2026 | (1793) | (1804) |
|  | 4.230  | 03/26/2026 | 04/15/2026 | (2382) | (2384) |
|  | 4.280  | 03/23/2026 | 05/26/2026 | (2543) | (2545) |
|  | 4.300  | 01/28/2026 | 04/28/2026 | (15099) | (15212) |
|  | 4.330  | 03/23/2026 | 05/26/2026 | (2615) | (2618) |
|  | 4.490  | 03/30/2026 | 06/15/2026 | (660) | (660) |
| JML | 4.060  | 03/20/2026 | 05/01/2026 | (28177) | (28215) |
|  | 4.667  | 03/06/2026 | 06/08/2026 | (11605) | (15412) |
|  | 4.750  | 03/20/2026 | 05/01/2026 | $(93) | (93) |
| MBC | 2.250  | 03/25/2026 | TBD<sup>(2)</sup> | (972) | (1124) |
|  | 4.050  | 02/24/2026 | TBD<sup>(2)</sup> | $(34034) | (34172) |
|  | 4.428  | 03/12/2026 | 07/13/2026 | (10579) | (14036) |
|  | 4.478  | 03/12/2026 | 07/13/2026 | (6921) | (9183) |
| MEI | 2.532  | 03/11/2026 | 06/11/2026 | (1946) | (2253) |
|  | 2.582  | 03/11/2026 | 06/11/2026 | (4806) | (5563) |
|  | 4.278  | 03/11/2026 | 06/11/2026 | (1566) | (2078) |
|  | 4.328  | 03/11/2026 | 06/11/2026 | (802) | (1064) |
|  | 4.428  | 03/13/2026 | 05/13/2026 | (3217) | (4268) |
| MSB | 4.388  | 01/16/2026 | 04/08/2026 | (17628) | (23544) |
|  | 4.480  | 02/04/2026 | 08/03/2026 | $(744) | (749) |
|  | 4.481  | 01/12/2026 | 04/08/2026 | (8252) | (11030) |
|  | 4.530  | 02/04/2026 | 08/03/2026 | $(3567) | (3593) |
|  | 4.530  | 03/31/2026 | 09/30/2026 | (1552) | (1552) |
|  | 4.580  | 02/04/2026 | 08/03/2026 | (4069) | (4098) |
|  | 4.630  | 02/04/2026 | 08/03/2026 | (18011) | (18143) |
|  | 4.630  | 03/13/2026 | 09/09/2026 | (2046) | (2051) |
|  | 4.630  | 03/31/2026 | 09/30/2026 | (9405) | (9407) |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| 0 | 49 | 87 | 128 | 162 | 202 |
|  | 4.680  | 02/04/2026 | 08/03/2026 | (14703) | (14812) |
|  | 4.680  | 03/13/2026 | 09/09/2026 | (1920) | (1925) |
|  | 4.730  | 02/04/2026 | 08/03/2026 | (4266) | (4297) |
|  | 4.730  | 02/06/2026 | 08/05/2026 | (15637) | (15749) |
|  | 4.730  | 03/31/2026 | 04/01/2026 | (8619) | (8620) |
|  | 4.730  | 04/01/2026 | 08/05/2026 | (8209) | (8209) |
|  | 4.780  | 03/31/2026 | 09/30/2026 | (36824) | (36829) |
|  | 4.830  | 02/12/2026 | 08/12/2026 | (11698) | (11774) |
|  | 4.830  | 03/31/2026 | 09/30/2026 | (19181) | (19184) |
|  | 5.130  | 03/13/2026 | 09/09/2026 | (19140) | (19192) |
| MSC | 3.630  | 03/20/2026 | 05/01/2026 | (1130) | (1131) |
|  | 4.780  | 03/31/2026 | 09/30/2026 | (6021) | (6022) |
| MYI | 1.000  | 03/26/2026 | TBD<sup>(2)</sup> | (2486) | (2874) |
|  | 1.350  | 03/26/2026 | TBD<sup>(2)</sup> | (2609) | (3016) |
|  | 1.500  | 02/10/2026 | TBD<sup>(2)</sup> | (1636) | (1895) |
|  | 1.750  | 11/14/2025 | 04/01/2026 | (1579) | (1837) |
|  | 2.300  | 03/03/2026 | TBD<sup>(2)</sup> | (7612) | (8814) |
|  | 3.950  | 12/19/2025 | TBD<sup>(2)</sup> | (7577) | (10142) |
| MZF | 4.730  | 03/24/2026 | 09/24/2026 | $(54499) | (54556) |
| NOM | 3.850  | 12/12/2025 | TBD<sup>(2)</sup> | (5045) | (5104) |
|  | 3.850  | 02/10/2026 | TBD<sup>(2)</sup> | (2894) | (2910) |
|  | 4.000  | 12/12/2025 | TBD<sup>(2)</sup> | (2994) | (3031) |
|  | 4.000  | 02/10/2026 | TBD<sup>(2)</sup> | (1409) | (1417) |
|  | 4.000  | 02/25/2026 | TBD<sup>(2)</sup> | (6440) | (6465) |
|  | 4.100  | 02/10/2026 | TBD<sup>(2)</sup> | (14203) | (14284) |
|  | 4.150  | 03/25/2026 | TBD<sup>(2)</sup> | (8916) | (8924) |
| RBC | 3.590  | 03/05/2026 | 05/14/2026 | (1335) | (962) |
| RCE | 2.982  | 01/30/2026 | 07/29/2026 | (2057) | (2390) |
| RCY | 4.180  | 03/13/2026 | 04/13/2026 | $(2363) | (2368) |
| RDR | 4.000  | 02/27/2026 | TBD<sup>(2)</sup> | (1011) | (1014) |
| RTA | 4.155  | 02/20/2026 | 08/20/2026 | (44685) | (44896) |
|  | 4.155  | 03/02/2026 | 09/02/2026 | (22922) | (23002) |
|  | 4.155  | 03/10/2026 | 08/20/2026 | (3251) | (3259) |
|  | 4.155  | 03/25/2026 | 09/02/2026 | (7821) | (7827) |
|  | 4.155  | 03/26/2026 | 08/20/2026 | (1983) | (1985) |
|  | 4.255  | 03/25/2026 | 04/27/2026 | (38083) | (38114) |
|  | 4.380  | 03/17/2026 | 07/17/2026 | (443) | (444) |
|  | 4.430  | 03/05/2026 | 06/04/2026 | (39786) | (39920) |
|  | 4.430  | 03/17/2026 | 07/17/2026 | (932) | (934) |
|  | 4.480  | 03/05/2026 | 05/04/2026 | (13499) | (13545) |
|  | 4.480  | 03/05/2026 | 06/04/2026 | (33087) | (33200) |
|  | 4.600  | 03/09/2026 | 07/09/2026 | (418) | (419) |
|  | 4.600  | 03/18/2026 | 09/18/2026 | (6393) | (6404) |
|  | 4.630  | 02/20/2026 | 08/20/2026 | (19115) | (19215) |
|  | 4.630  | 03/04/2026 | 09/04/2026 | (13130) | (13178) |
|  | 4.660  | 03/17/2026 | 07/17/2026 | (6372) | (6384) |
|  | 4.680  | 03/04/2026 | 09/04/2026 | (2790) | (2801) |
|  | 4.730  | 03/09/2026 | 07/09/2026 | (10019) | (10050) |
|  | 4.770  | 03/09/2026 | 07/09/2026 | (1233) | (1237) |
|  | 4.780  | 01/28/2026 | 07/28/2026 | (5593) | (5640) |
|  | 4.780  | 03/09/2026 | 07/09/2026 | (3639) | (3650) |
|  | 4.830  | 03/18/2026 | 09/18/2026 | (12822) | (12846) |
|  | 4.840  | 01/28/2026 | 07/28/2026 | (7639) | (7704) |
|  | 4.840  | 03/09/2026 | 07/09/2026 | (190) | (191) |
|  | 4.850  | 01/28/2026 | 07/28/2026 | (19381) | (19547) |
| SBI | 4.176  | 03/27/2026 | 07/27/2026 | (554) | (554) |
|  | 4.181  | 03/26/2026 | 07/24/2026 | (7085) | (7090) |
|  | 4.226  | 03/27/2026 | 07/27/2026 | (829) | (829) |
|  | 4.331  | 03/26/2026 | 07/24/2026 | (1721) | (1722) |
|  | 4.367  | 03/03/2026 | 06/24/2026 | (16063) | (16120) |
|  | 4.447  | 03/03/2026 | 06/24/2026 | (6176) | (6198) |
|  | 4.476  | 03/27/2026 | 07/27/2026 | (12030) | (12038) |
|  | 4.576  | 03/27/2026 | 07/27/2026 | (16639) | (16650) |
|  | 4.626  | 03/27/2026 | 07/27/2026 | (559) | (559) |
|  | 4.868  | 01/26/2026 | 07/27/2026 | (42663) | (43038) |
|  | 4.918  | 01/26/2026 | 07/27/2026 | (7406) | (7472) |
| SCX | 1.500  | 02/10/2026 | TBD<sup>(2)</sup> | (9002) | (10427) |
|  | 1.700  | 02/10/2026 | TBD<sup>(2)</sup> | (5073) | (5877) |
|  | 4.020  | 03/03/2026 | 04/02/2026 | $(8518) | (8545) |
|  | 4.050  | 01/30/2026 | TBD<sup>(2)</sup> | (68061) | (68527) |
|  | 4.050  | 02/11/2026 | TBD<sup>(2)</sup> | (6387) | (6423) |
|  | 4.100  | 03/03/2026 | TBD<sup>(2)</sup> | (993) | (996) |
| SOG | 2.190  | 03/03/2026 | TBD<sup>(2)</sup> | (4929) | (5707) |
|  | 2.200  | 01/30/2026 | TBD<sup>(2)</sup> | (23584) | (27362) |
|  | 3.970  | 12/12/2025 | TBD<sup>(2)</sup> | $(34944) | (35368) |
|  | 3.990  | 03/10/2026 | TBD<sup>(2)</sup> | (22374) | (22429) |
|  | 4.190  | 01/08/2026 | 04/08/2026 | (11215) | (11323) |
|  | 4.190  | 02/26/2026 | 04/07/2026 | (1844) | (1852) |
|  | 4.190  | 03/10/2026 | 04/08/2026 | (3018) | (3026) |
|  | 4.190  | 03/17/2026 | 04/08/2026 | (195) | (196) |
|  | 4.190  | 03/30/2026 | 04/08/2026 | (16901) | (16905) |
|  | 4.210  | 03/10/2026 | 05/04/2026 | (253) | (254) |
|  | 4.210  | 03/16/2026 | 05/04/2026 | (944) | (946) |
|  | 4.220  | 01/16/2026 | 04/16/2026 | (5066) | (5111) |
|  | 4.220  | 02/24/2026 | 05/26/2026 | (12688) | (12741) |
|  | 4.220  | 02/26/2026 | 04/16/2026 | (12156) | (12205) |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 0 | 3 | 6 | 16 | 28 | 41 | 47 | 49 | 75 | 87 | 123 | 128 | 139 | 157 | 190 | 198 | 217 |
|  |  |  |  |  |  |  | 4.220  | 4.220  | 03/10/2026 | 03/10/2026 | 04/16/2026 | 04/16/2026 |  | (8119) |  | (8140) |
|  |  |  |  |  |  |  | 4.220  | 4.220  | 03/18/2026 | 03/18/2026 | 04/16/2026 | 04/16/2026 |  | (3098) |  | (3103) |
|  |  |  |  |  |  |  | 4.630  | 4.630  | 03/12/2026 | 03/12/2026 | 09/11/2026 | 09/11/2026 |  | (3604) |  | (3613) |
|  |  |  |  |  |  |  | 4.630  | 4.630  | 03/19/2026 | 03/19/2026 | 09/18/2026 | 09/18/2026 |  | (16175) |  | (16202) |
|  |  |  |  |  |  |  | 4.730  | 4.730  | 02/02/2026 | 02/02/2026 | 07/31/2026 | 07/31/2026 |  | (22701) |  | (22875) |
|  |  |  |  |  |  |  | 4.780  | 4.780  | 02/02/2026 | 02/02/2026 | 07/31/2026 | 07/31/2026 |  | (7912) |  | (7973) |
|  |  |  |  |  |  |  | 4.780  | 4.780  | 02/09/2026 | 02/09/2026 | 08/07/2026 | 08/07/2026 |  | (22400) |  | (22552) |
| UBS | UBS | UBS | UBS | UBS | UBS | UBS | 2.090  | 2.090  | 02/26/2026 | 02/26/2026 | TBD<sup>(2)</sup> | TBD<sup>(2)</sup> | EUR | (42526) |  | (49251) |
|  |  |  |  |  |  |  | 2.220  | 2.220  | 03/06/2026 | 03/06/2026 | 06/08/2026 | 06/08/2026 |  | (47722) |  | (55248) |
|  |  |  |  |  |  |  | 2.270  | 2.270  | 03/03/2026 | 03/03/2026 | 06/03/2026 | 06/03/2026 |  | (25773) |  | (29844) |
|  |  |  |  |  |  |  | 2.270  | 2.270  | 03/06/2026 | 03/06/2026 | 05/06/2026 | 05/06/2026 |  | (4853) |  | (5619) |
|  |  |  |  |  |  |  | 2.329  | 2.329  | 03/26/2026 | 03/26/2026 | 06/25/2026 | 06/25/2026 |  | (3878) |  | (4484) |
|  |  |  |  |  |  |  | 2.673  | 2.673  | 03/06/2026 | 03/06/2026 | 06/08/2026 | 06/08/2026 |  | (10810) |  | (12518) |
|  |  |  |  |  |  |  | 2.715  | 2.715  | 03/06/2026 | 03/06/2026 | 06/08/2026 | 06/08/2026 |  | (190) |  | (220) |
|  |  |  |  |  |  |  | 2.865  | 2.865  | 03/06/2026 | 03/06/2026 | 06/08/2026 | 06/08/2026 |  | (3326) |  | (3852) |
|  |  |  |  |  |  |  | 4.050  | 4.050  | 01/06/2026 | 01/06/2026 | 04/06/2026 | 04/06/2026 | $ | (4646) |  | (4691) |
|  |  |  |  |  |  |  | 4.080  | 4.080  | 03/06/2026 | 03/06/2026 | 06/05/2026 | 06/05/2026 | GBP | (18144) |  | (24086) |
|  |  |  |  |  |  |  | 4.100  | 4.100  | 01/06/2026 | 01/06/2026 | 04/06/2026 | 04/06/2026 | $ | (3071) |  | (3100) |
|  |  |  |  |  |  |  | 4.100  | 4.100  | 03/30/2026 | 03/30/2026 | 04/06/2026 | 04/06/2026 |  | (5428) |  | (5429) |
|  |  |  |  |  |  |  | 4.222  | 4.222  | 03/26/2026 | 03/26/2026 | 06/26/2026 | 06/26/2026 | GBP | (10822) |  | (14334) |
|  |  |  |  |  |  |  | 4.307  | 4.307  | 03/06/2026 | 03/06/2026 | 06/08/2026 | 06/08/2026 |  | (2286) |  | (3035) |
|  |  |  |  |  |  |  | 4.650  | 4.650  | 01/05/2026 | 01/05/2026 | 04/06/2026 | 04/06/2026 | $ | (9926) |  | (10037) |
|  |  |  |  |  |  |  | 4.670  | 4.670  | 01/26/2026 | 01/26/2026 | 04/27/2026 | 04/27/2026 |  | (6379) |  | (6433) |
|  |  |  |  |  |  |  | 4.700  | 4.700  | 01/06/2026 | 01/06/2026 | 04/06/2026 | 04/06/2026 |  | (38517) |  | (38944) |
|  |  |  |  |  |  |  | 4.720  | 4.720  | 01/26/2026 | 01/26/2026 | 04/27/2026 | 04/27/2026 |  | (28126) |  | (28366) |
|  |  |  |  |  |  |  | 4.770  | 4.770  | 11/19/2025 | 11/19/2025 | 05/19/2026 | 05/19/2026 |  | (1545) |  | (1572) |
|  |  |  |  |  |  |  | 4.770  | 4.770  | 01/26/2026 | 01/26/2026 | 04/27/2026 | 04/27/2026 |  | (4076) |  | (4112) |
|  |  |  |  |  |  |  | 4.820  | 4.820  | 11/19/2025 | 11/19/2025 | 05/19/2026 | 05/19/2026 |  | (6719) |  | (6839) |
|  |  |  |  |  |  |  | 4.850  | 4.850  | 10/27/2025 | 10/27/2025 | 04/27/2026 | 04/27/2026 |  | (12448) |  | (12709) |
|  |  |  |  |  |  |  | 4.900  | 4.900  | 10/16/2025 | 10/16/2025 | 04/16/2026 | 04/16/2026 |  | (2743) |  | (2805) |
| WFS | WFS | WFS | WFS | WFS | WFS | WFS | 4.250  | 4.250  | 01/06/2026 | 01/06/2026 | 04/06/2026 | 04/06/2026 |  | (563) |  | (569) |
|  |  |  |  |  |  |  | 4.250  | 4.250  | 02/19/2026 | 02/19/2026 | 05/20/2026 | 05/20/2026 |  | (6165) |  | (6195) |
|  |  |  |  |  |  |  | 4.260  | 4.260  | 03/27/2026 | 03/27/2026 | 06/26/2026 | 06/26/2026 |  | (301) |  | (301) |
|  |  |  |  |  |  |  | 4.300  | 4.300  | 01/06/2026 | 01/06/2026 | 04/06/2026 | 04/06/2026 |  | (6977) |  | (7048) |
|  |  |  |  |  |  |  | 4.300  | 4.300  | 02/19/2026 | 02/19/2026 | 05/20/2026 | 05/20/2026 |  | (27476) |  | (27610) |
|  |  |  |  |  |  |  | 4.310  | 4.310  | 03/27/2026 | 03/27/2026 | 06/26/2026 | 06/26/2026 |  | (3003) |  | (3005) |
|  |  |  |  |  |  |  | 4.330  | 4.330  | 03/18/2026 | 03/18/2026 | 06/15/2026 | 06/15/2026 |  | (20827) |  | (20862) |
|  |  |  |  |  |  |  | 4.350  | 4.350  | 01/06/2026 | 01/06/2026 | 04/06/2026 | 04/06/2026 |  | (17301) |  | (17479) |
|  |  |  |  |  |  |  | 4.350  | 4.350  | 02/19/2026 | 02/19/2026 | 05/20/2026 | 05/20/2026 |  | (12219) |  | (12280) |
|  |  |  |  |  |  |  | 4.360  | 4.360  | 03/27/2026 | 03/27/2026 | 06/26/2026 | 06/26/2026 |  | (411) |  | (411) |
|  |  |  |  |  |  |  | 4.450  | 4.450  | 01/06/2026 | 01/06/2026 | 04/06/2026 | 04/06/2026 |  | (24029) |  | (24281) |
| **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** | **Total Reverse Repurchase Agreements** |  |  |  |  |  |  |  |  | **$** | **(3816802)** |
| **(l)** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $4,508,012 and cash of $85,692 have been pledged as collateral under the terms of master agreements as of March 31, 2026.** |
| <sup>(1)</sup> | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. | The average amount of borrowings outstanding during the period ended March 31, 2026 was $(3211050) at a weighted average interest rate of 4.643%. Average borrowings may include reverse repurchase agreements and sale-buyback transactions, if held during the period. |
| <sup>(2)</sup> | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. | Open maturity reverse repurchase agreement. |
| **(m)** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** | **FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED** |
| **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** | **FUTURES CONTRACTS:** |
| **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** | **SHORT FUTURES CONTRACTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Description | Description | Description | Description | Description |  | Expiration<br>Month | Expiration<br>Month | # of<br>Contracts | # of<br>Contracts | Notional<br>Amount | Notional<br>Amount | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability |
| 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 3-Month SOFR Active Contract March Futures  | 06/2026 | 06/2026 | 95 | 95 | (22877) | (22877) | $355 | 355 | 0 | 0 | (1) |
| **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | **Total Futures Contracts** | $**355** | **355** | **0** | **0** | **(1)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE ISSUES - SELL PROTECTION**<sup>(1)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Reference Entity | Reference Entity | Fixed <br>Receive Rate | Payment<br>Frequency | Maturity<br>Date | Implied<br>Credit Spread at<br>March 31, 2026<sup>(2)</sup> | Implied<br>Credit Spread at<br>March 31, 2026<sup>(2)</sup> | Implied<br>Credit Spread at<br>March 31, 2026<sup>(2)</sup> | Notional<br>Amount<sup>(3)</sup> | Notional<br>Amount<sup>(3)</sup> | Premiums<br>Paid/<br>(Received) |  | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value<sup>(4)</sup> | Asset | Asset | Liability |
| Worldline SA/France  | Worldline SA/France  | 5.000% | Quarterly | 12/20/2027 | 10.088 | 10.088 | 10.088 | 3900 | 3900 | (376) | $ | 41 | $(335) | $0 | 0 | $(56) |
| Worldline SA/France  | Worldline SA/France  | 5.000 | Quarterly | 12/20/2028 | 10.418 | 10.418 | 10.418 | 800 | 800 | (115) |  | 9 | (106) | 0 | 0 | (11) |
|  |  |  |  |  |  |  |  |  |  | $ | $ | 50 | $(441) | $0 | 0 | $(67) |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 0 | 4 | 18 | 29 | 43 | 72 | 106 | 136 | 158 | 183 | 191 | 218 |
| **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** | **INTEREST RATE SWAPS** |
|  |  |  |  |  |  |  |  |  | <u>Variation Margin</u> | <u>Variation Margin</u> | <u>Variation Margin</u> |
| Pay/<br>Receive<br>Floating Rate | Floating Rate Index | Fixed Rate | Payment<br>Frequency | Maturity<br>Date | Notional<br>Amount | Premiums<br>Paid/<br>(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Market<br>Value | Market<br>Value | Asset | Liability |
| Receive | 1-Day GBP-SONIO Compounded-OIS | 0.500% | Annual | 09/16/2030 | 27000 | $335 | $5627 | $5962 | 5962 | $0 | $(70) |
| Pay | 1-Day GBP-SONIO Compounded-OIS | 3.500 | Annual | 03/18/2031 | 128420 | (3129) | (2346) | (5475) | (5475) | 409 | 0 |
| Receive | 1-Day GBP-SONIO Compounded-OIS | 0.750 | Annual | 09/21/2052 | 28300 | (2278) | 25731 | 23453 | 23453 | 0 | (54) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 12/18/2026 | $1244900 | 6094 | (5740) | 354 | 354 | 188 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.360 | Semi-Annual | 02/15/2027 | 13450 | (2) | 349 | 347 | 347 | 0 | (1) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 12/18/2027 | 1348200 | 13042 | (10770) | 2272 | 2272 | 569 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 0.500 | Semi-Annual | 06/16/2028 | 660 | (31) | (16) | (47) | (47) | 0 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 12/18/2028 | 196000 | 2649 | (1793) | 856 | 856 | 131 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 06/20/2029 | 123500 | (2337) | 2016 | (321) | (321) | 0 | (104) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 12/18/2029 | 275200 | 4155 | (2517) | 1638 | 1638 | 262 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.250 | Annual | 06/18/2030 | 1973200 | (18087) | (21227) | (39314) | (39314) | 1921 | 0 |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.500 | Annual | 03/18/2031 | 1367270 | 6648 | (14115) | (7467) | (7467) | 1438 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.500 | Annual | 12/15/2031 | 98500 | (2199) | 13780 | 11581 | 11581 | 0 | (100) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.750 | Semi-Annual | 12/15/2031 | 16600 | (225) | 2028 | 1803 | 1803 | 0 | (15) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.000 | Annual | 12/21/2032 | 88000 | 10651 | (1265) | 9386 | 9386 | 0 | (97) |
| Pay | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 12/18/2034 | 1300 | 28 | (34) | (6) | (6) | 2 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 12/17/2035 | 83530 | (1370) | 2065 | 695 | 695 | 0 | (69) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.850 | Annual | 12/21/2038 | 108200 | 418 | 1190 | 1608 | 1608 | 0 | (29) |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.750 | Semi-Annual | 03/20/2043 | 1300 | (4) | 271 | 267 | 267 | 1 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.750 | Semi-Annual | 12/16/2045 | 3800 | (44) | 896 | 852 | 852 | 7 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.750 | Annual | 12/17/2045 | 52450 | 1014 | 1948 | 2962 | 2962 | 94 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.500 | Semi-Annual | 06/20/2048 | 3100 | 256 | 614 | 870 | 870 | 6 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 2.250 | Semi-Annual | 03/12/2050 | 20500 | (367) | 7289 | 6922 | 6922 | 49 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | 06/15/2052 | 68000 | 16788 | 10889 | 27677 | 27677 | 188 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 1.750 | Annual | 12/21/2052 | 45800 | 11031 | 7165 | 18196 | 18196 | 132 | 0 |
| Receive | 1-Day USD-SOFR Compounded-OIS | 3.500 | Annual | 12/21/2052 | 92160 | 786 | 9286 | 10072 | 10072 | 279 | 0 |
| Pay | 1-Year BRL-CDI | 11.250 | Maturity | 01/04/2027 | 9400 | 0 | (138) | (138) | (138) | 3 | 0 |
| Pay | 1-Year BRL-CDI | 11.275 | Maturity | 01/04/2027 | 4700 | 0 | (68) | (68) | (68) | 1 | 0 |
| Pay | 1-Year BRL-CDI | 11.290 | Maturity | 01/04/2027 | 4700 | 0 | (67) | (67) | (67) | 1 | 0 |
| Pay | 1-Year BRL-CDI | 11.731 | Maturity | 01/04/2027 | 2400 | 0 | (26) | (26) | (26) | 1 | 0 |
| Pay | 1-Year BRL-CDI | 11.746 | Maturity | 01/04/2027 | 10500 | 0 | (112) | (112) | (112) | 3 | 0 |
| Receive | 1-Year BRL-CDI | 11.823 | Maturity | 01/04/2027 | 599100 | 0 | 5639 | 5639 | 5639 | 0 | (161) |
| Pay | 1-Year BRL-CDI | 11.901 | Maturity | 01/04/2027 | 25100 | 0 | (237) | (237) | (237) | 7 | 0 |
| Pay | 1-Year BRL-CDI | 12.047 | Maturity | 01/04/2027 | 437000 | 0 | (3617) | (3617) | (3617) | 117 | 0 |
| Receive | 6-Month EUR-EURIBOR | 0.150 | Annual | 03/18/2030 | 20400 | 373 | 2278 | 2651 | 2651 | 0 | (69) |
| Receive | 6-Month EUR-EURIBOR | 0.150 | Annual | 06/17/2030 | 1200 | (1) | 157 | 156 | 156 | 0 | (4) |
| Receive | 6-Month EUR-EURIBOR | 0.250 | Annual | 03/18/2050 | 2500 | 139 | 1291 | 1430 | 1430 | 0 | (15) |
| Receive | 6-Month EUR-EURIBOR | 0.500 | Annual | 06/17/2050 | 500 | (16) | 280 | 264 | 264 | 0 | (3) |
| Receive | 6-Month EUR-EURIBOR | 0.500 | Annual | 09/21/2052 | 34600 | 2992 | 15997 | 18989 | 18989 | 0 | (218) |
| Receive<sup>(5)</sup> | 6-Month EUR-EURIBOR | 0.830 | Annual | 12/09/2052 | 143700 | 1990 | 15755 | 17745 | 17745 | 172 | 0 |
| Receive<sup>(5)</sup> | 6-Month EUR-EURIBOR | 3.000 | Annual | 09/16/2056 | 13800 | 258 | 90 | 348 | 348 | 0 | (154) |
| Pay | Venture Global LNG, Inc. | 5.000 | Quarterly | 12/20/2030 | $78600 | 1784 | 6359 | 8143 | 8143 | 333 | 0 |

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<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

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| | | | | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 0 | 3 | 4 | 15 | 18 | 29 | 40 | 60 | 67 | 92 | 105 | 109 | 123 | 135 | 136 | 146 | 157 | 158 | 190 | 191 | 203 | 217 | 218 |
| Pay | Pay | Worldline SA/France | Worldline SA/France | 5.000 | Quarterly | Quarterly | 12/20/2030 | EUR | 116100 |  | (19452) | (19452) |  | (4725) | (4725) |  | (24177) |  | 0 | 0 |  | (1713) |
|  |  |  |  |  |  |  |  |  | $ | $31889 | 31889 | 31889 | $70177 | 70177 | 70177 | $102066 | 102066 | $6314 | 6314 | 6314 | $(2876) | (2876) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **$** | **31398** | **31398** | **$** | **70227** | **70227** | **70227** | $**101625** | **101625** | $**6314** | **6314** | **6314** | $**(2943)** | **(2943)** |
| **(n)** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** | **Securities with an aggregate market value of $43,785 and cash of $191,069 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of March 31, 2026.** |
| <sup>(1)</sup> | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(2)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(3)</sup> | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(4)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(5)</sup> | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. | This instrument has a forward starting effective date. |
| **(o)** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** | **FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER** |
| **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** | **FORWARD FOREIGN CURRENCY CONTRACTS:** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> | <u>Unrealized Appreciation/(Depreciation)</u> |
| &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | &nbsp;&nbsp;&nbsp;&nbsp; Counterparty | Settlement<br>Month | Settlement<br>Month | Settlement<br>Month |  | Currency to<br>be Delivered | Currency to<br>be Delivered | Currency to<br>be Delivered |  | Currency to<br>be Received | Currency to<br>be Received | Currency to<br>be Received | Currency to<br>be Received |  | Asset | Asset | Asset | Asset | Liability | Liability | Liability |
| &nbsp;&nbsp;&nbsp;&nbsp; AZD | &nbsp;&nbsp;&nbsp;&nbsp; AZD | &nbsp;&nbsp;&nbsp;&nbsp; AZD | 04/2026  | 04/2026  | 04/2026  | $ | $2997 | 2997 | 2997 | CAD | 4106 | 4106 | 4106 | 4106 | $ | 0 | 0 | 0 | 0 | $(46) | (46) | (46) |
| &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | &nbsp;&nbsp;&nbsp;&nbsp; BOA | 04/2026  | 04/2026  | 04/2026  | DOP | 617558 | 617558 | 617558 | $ | $10036 | 10036 | 10036 | 10036 |  | 32 | 32 | 32 | 32 | (115) | (115) | (115) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | EUR | 3192 | 3192 | 3192 |  | 3669 | 3669 | 3669 | 3669 |  | 0 | 0 | 0 | 0 | (21) | (21) | (21) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | JPY | 750281 | 750281 | 750281 |  | 4703 | 4703 | 4703 | 4703 |  | 0 | 0 | 0 | 0 | (25) | (25) | (25) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | $ | $8994 | 8994 | 8994 | EUR | 7744 | 7744 | 7744 | 7744 |  | 0 | 0 | 0 | 0 | (43) | (43) | (43) |
|  |  |  | 05/2026  | 05/2026  | 05/2026  | DOP | 95784 | 95784 | 95784 | $ | $1476 | 1476 | 1476 | 1476 |  | 0 | 0 | 0 | 0 | (100) | (100) | (100) |
|  |  |  | 05/2026  | 05/2026  | 05/2026  | $ | $3674 | 3674 | 3674 | EUR | 3192 | 3192 | 3192 | 3192 |  | 21 | 21 | 21 | 21 | 0 | 0 | 0 |
|  |  |  | 05/2026  | 05/2026  | 05/2026  |  | 4702 | 4702 | 4702 | JPY | 748021 | 748021 | 748021 | 748021 |  | 25 | 25 | 25 | 25 | 0 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BPS | &nbsp;&nbsp;&nbsp;&nbsp; BPS | &nbsp;&nbsp;&nbsp;&nbsp; BPS | 04/2026  | 04/2026  | 04/2026  | CAD | 8241 | 8241 | 8241 | $ | $6081 | 6081 | 6081 | 6081 |  | 157 | 157 | 157 | 157 | 0 | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | $ | $1891 | 1891 | 1891 | EUR | 1637 | 1637 | 1637 | 1637 |  | 1 | 1 | 1 | 1 | 0 | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | 04/2026  |  | 168 | 168 | 168 | PLN | 606 | 606 | 606 | 606 |  | 0 | 0 | 0 | 0 | (5) | (5) | (5) |
|  |  |  | 05/2026  | 05/2026  | 05/2026  | JPY | 11629800 | 11629800 | 11629800 | $ | $73103 | 73103 | 73103 | 73103 |  | 0 | 0 | 0 | 0 | (396) | (396) | (396) |
|  |  |  | 05/2026  | 05/2026  | 05/2026  | $ | $687 | 687 | 687 | KWD | 209 | 209 | 209 | 209 |  | 0 | 0 | 0 | 0 | (10) | (10) | (10) |
|  |  |  | 06/2026  | 06/2026  | 06/2026  |  | 345 | 345 | 345 | IDR | 5813927 | 5813927 | 5813927 | 5813927 |  | 0 | 0 | 0 | 0 | (4) | (4) | (4) |
|  |  |  | 06/2026  | 06/2026  | 06/2026  |  | 494 | 494 | 494 | KWD | 151 | 151 | 151 | 151 |  | 0 | 0 | 0 | 0 | (6) | (6) | (6) |
|  |  |  | 07/2026  | 07/2026  | 07/2026  |  | 307 | 307 | 307 |  | 94 | 94 | 94 | 94 |  | 0 | 0 | 0 | 0 | (4) | (4) | (4) |
|  |  |  | 06/2027  | 06/2027  | 06/2027  |  | 239 | 239 | 239 |  | 73 | 73 | 73 | 73 |  | 0 | 0 | 0 | 0 | (4) | (4) | (4) |
|  |  |  | 05/2029  | 05/2029  | 05/2029  | KWD | 1047 | 1047 | 1047 | $ | $3600 | 3600 | 3600 | 3600 |  | 172 | 172 | 172 | 172 | 0 | 0 | 0 |
|  |  |  | 07/2029  | 07/2029  | 07/2029  |  | 128 | 128 | 128 |  | 440 | 440 | 440 | 440 |  | 21 | 21 | 21 | 21 | 0 | 0 | 0 |
|  |  |  | 05/2030  | 05/2030  | 05/2030  |  | 755 | 755 | 755 |  | 2600 | 2600 | 2600 | 2600 |  | 118 | 118 | 118 | 118 | 0 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | &nbsp;&nbsp;&nbsp;&nbsp; BRC | 04/2026  | 04/2026  | 04/2026  | GBP | 184257 | 184257 | 184257 |  | 249204 | 249204 | 249204 | 249204 |  | 5322 | 5322 | 5322 | 5322 | 0 | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | HKD | 16416 | 16416 | 16416 |  | 2098 | 2098 | 2098 | 2098 |  | 2 | 2 | 2 | 2 | 0 | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | TRY | 2216718 | 2216718 | 2216718 |  | 48082 | 48082 | 48082 | 48082 |  | 0 | 0 | 0 | 0 | (773) | (773) | (773) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | $ | $165 | 165 | 165 | PLN | 595 | 595 | 595 | 595 |  | 0 | 0 | 0 | 0 | (5) | (5) | (5) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  |  | 99359 | 99359 | 99359 | TRY | 4485741 | 4485741 | 4485741 | 4485741 |  | 725 | 725 | 725 | 725 | 0 | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | ZAR | 27863 | 27863 | 27863 | $ | $1703 | 1703 | 1703 | 1703 |  | 58 | 58 | 58 | 58 | 0 | 0 | 0 |
|  |  |  | 05/2026  | 05/2026  | 05/2026  | TRY | 586549 | 586549 | 586549 |  | 12592 | 12592 | 12592 | 12592 |  | 0 | 0 | 0 | 0 | (67) | (67) | (67) |
|  |  |  | 05/2026  | 05/2026  | 05/2026  | $ | $9336 | 9336 | 9336 | TRY | 432893 | 432893 | 432893 | 432893 |  | 6 | 6 | 6 | 6 | 0 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; BSH | &nbsp;&nbsp;&nbsp;&nbsp; BSH | &nbsp;&nbsp;&nbsp;&nbsp; BSH | 04/2026  | 04/2026  | 04/2026  | JPY | 4147043 | 4147043 | 4147043 | $ | $25977 | 25977 | 25977 | 25977 |  | 0 | 0 | 0 | 0 | (153) | (153) | (153) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | $ | $659 | 659 | 659 | PLN | 2382 | 2382 | 2382 | 2382 |  | 0 | 0 | 0 | 0 | (17) | (17) | (17) |
|  |  |  | 05/2026  | 05/2026  | 05/2026  |  | 25977 | 25977 | 25977 | JPY | 4134549 | 4134549 | 4134549 | 4134549 |  | 152 | 152 | 152 | 152 | 0 | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | &nbsp;&nbsp;&nbsp;&nbsp; CBK | 04/2026  | 04/2026  | 04/2026  | COP | 21490054 | 21490054 | 21490054 | $ | $5648 | 5648 | 5648 | 5648 |  | 0 | 0 | 0 | 0 | (199) | (199) | (199) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | EUR | 19338 | 19338 | 19338 |  | 22420 | 22420 | 22420 | 22420 |  | 68 | 68 | 68 | 68 | 0 | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | GBP | 9135 | 9135 | 9135 |  | 12182 | 12182 | 12182 | 12182 |  | 91 | 91 | 91 | 91 | 0 | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | $ | $37496 | 37496 | 37496 | EUR | 31940 | 31940 | 31940 | 31940 |  | 12 | 12 | 12 | 12 | (590) | (590) | (590) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  |  | 34095 | 34095 | 34095 | GBP | 25661 | 25661 | 25661 | 25661 |  | 0 | 0 | 0 | 0 | (130) | (130) | (130) |
|  |  |  | 05/2026  | 05/2026  | 05/2026  |  | 1714 | 1714 | 1714 |  | 1295 | 1295 | 1295 | 1295 |  | 0 | 0 | 0 | 0 | 0 | 0 | 0 |
|  |  |  | 06/2026  | 06/2026  | 06/2026  | COP | 18531132 | 18531132 | 18531132 | $ | $4885 | 4885 | 4885 | 4885 |  | 0 | 0 | 0 | 0 | (77) | (77) | (77) |
|  |  |  | 09/2026  | 09/2026  | 09/2026  |  | 384904681 | 384904681 | 384904681 |  | 97386 | 97386 | 97386 | 97386 |  | 0 | 0 | 0 | 0 | (3518) | (3518) | (3518) |
| &nbsp;&nbsp;&nbsp;&nbsp; DUB | &nbsp;&nbsp;&nbsp;&nbsp; DUB | &nbsp;&nbsp;&nbsp;&nbsp; DUB | 04/2026  | 04/2026  | 04/2026  | CNH | 44463 | 44463 | 44463 |  | 6490 | 6490 | 6490 | 6490 |  | 34 | 34 | 34 | 34 | 0 | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | CZK | 4243 | 4243 | 4243 |  | 201 | 201 | 201 | 201 |  | 1 | 1 | 1 | 1 | 0 | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | HKD | 79661 | 79661 | 79661 |  | 10183 | 10183 | 10183 | 10183 |  | 14 | 14 | 14 | 14 | 0 | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | $ | $236 | 236 | 236 | AUD | 344 | 344 | 344 | 344 |  | 1 | 1 | 1 | 1 | 0 | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | 04/2026  |  | 3132 | 3132 | 3132 | CNH | 21662 | 21662 | 21662 | 21662 |  | 13 | 13 | 13 | 13 | 0 | 0 | 0 |
|  |  |  | 05/2026  | 05/2026  | 05/2026  | AUD | 344 | 344 | 344 | $ | $236 | 236 | 236 | 236 |  | 0 | 0 | 0 | 0 | (1) | (1) | (1) |
|  |  |  | 05/2026  | 05/2026  | 05/2026  | CNH | 21610 | 21610 | 21610 |  | 3132 | 3132 | 3132 | 3132 |  | 0 | 0 | 0 | 0 | (13) | (13) | (13) |
|  |  |  | 06/2026  | 06/2026  | 06/2026  | KZT | 41522 | 41522 | 41522 |  | 81 | 81 | 81 | 81 |  | 0 | 0 | 0 | 0 | (4) | (4) | (4) |
| &nbsp;&nbsp;&nbsp;&nbsp; FAR | &nbsp;&nbsp;&nbsp;&nbsp; FAR | &nbsp;&nbsp;&nbsp;&nbsp; FAR | 04/2026  | 04/2026  | 04/2026  | AUD | 132 | 132 | 132 |  | 93 | 93 | 93 | 93 |  | 3 | 3 | 3 | 3 | 0 | 0 | 0 |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | JPY | 5163449 | 5163449 | 5163449 |  | 32352 | 32352 | 32352 | 32352 |  | 0 | 0 | 0 | 0 | (182) | (182) | (182) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  | $ | $242248 | 242248 | 242248 | GBP | 182175 | 182175 | 182175 | 182175 |  | 0 | 0 | 0 | 0 | (1121) | (1121) | (1121) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  |  | 10318 | 10318 | 10318 | JPY | 1612137 | 1612137 | 1612137 | 1612137 |  | 0 | 0 | 0 | 0 | (160) | (160) | (160) |
|  |  |  | 04/2026  | 04/2026  | 04/2026  |  | 184 | 184 | 184 | PLN | 662 | 662 | 662 | 662 |  | 0 | 0 | 0 | 0 | (5) | (5) | (5) |
|  |  |  | 05/2026  | 05/2026  | 05/2026  | GBP | 171424 | 171424 | 171424 | $ | $227697 | 227697 | 227697 | 227697 |  | 810 | 810 | 810 | 810 | 0 | 0 | 0 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 0 | 8 | 15 | 39 | 40 | 60 | 73 | 90 | 101 | 109 | 130 | 144 | 156 | 170 | 197 | 206 | 221 |
|  |  | 05/2026  | 05/2026  | $ | $32352 | 32352 | 32352 | JPY | 5147852 | 5147852 | 5147852 | 181 | 181 |  | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; GLM | &nbsp;&nbsp;&nbsp;&nbsp; GLM | 04/2026  | 04/2026  | DOP | 986076 | 986076 | 986076 | $ | 15276 | 15276 | 15276 | 0 | 0 |  | (888) | (888) |
|  |  | 04/2026  | 04/2026  | KZT | 29959 | 29959 | 29959 |  | 62 | 62 | 62 | 0 | 0 |  | (1) | (1) |
|  |  | 05/2026  | 05/2026  | DOP | 891753 | 891753 | 891753 |  | 13626 | 13626 | 13626 | 0 | 0 |  | (1044) | (1044) |
|  |  | 05/2026  | 05/2026  | GBP | 124 | 124 | 124 |  | 165 | 165 | 165 | 0 | 0 |  | 0 | 0 |
|  |  | 06/2026  | 06/2026  | COP | 4642898 | 4642898 | 4642898 |  | 1215 | 1215 | 1215 | 0 | 0 |  | (28) | (28) |
|  |  | 06/2026  | 06/2026  | DOP | 106352 | 106352 | 106352 |  | 1733 | 1733 | 1733 | 0 | 0 |  | (9) | (9) |
|  |  | 08/2026  | 08/2026  |  | 126015 | 126015 | 126015 |  | 2013 | 2013 | 2013 | 0 | 0 |  | (36) | (36) |
|  |  | 08/2026  | 08/2026  | NGN | 48825 | 48825 | 48825 |  | 31 | 31 | 31 | 0 | 0 |  | (2) | (2) |
|  |  | 09/2026  | 09/2026  | DOP | 96611 | 96611 | 96611 |  | 1529 | 1529 | 1529 | 0 | 0 |  | (38) | (38) |
| &nbsp;&nbsp;&nbsp;&nbsp; IND | &nbsp;&nbsp;&nbsp;&nbsp; IND | 06/2026  | 06/2026  | COP | 5514354 | 5514354 | 5514354 |  | 1464 | 1464 | 1464 | 0 | 0 |  | (12) | (12) |
| &nbsp;&nbsp;&nbsp;&nbsp; JPM | &nbsp;&nbsp;&nbsp;&nbsp; JPM | 04/2026  | 04/2026  | CZK | 2570 | 2570 | 2570 |  | 121 | 121 | 121 | 0 | 0 |  | (1) | (1) |
|  |  | 04/2026  | 04/2026  | HKD | 92961 | 92961 | 92961 |  | 11890 | 11890 | 11890 | 23 | 23 |  | 0 | 0 |
|  |  | 04/2026  | 04/2026  | $ | $1224 | 1224 | 1224 | CAD | 1669 | 1669 | 1669 | 0 | 0 |  | (24) | (24) |
|  |  | 04/2026  | 04/2026  |  | 3294 | 3294 | 3294 | CNH | 22793 | 22793 | 22793 | 15 | 15 |  | 0 | 0 |
|  |  | 04/2026  | 04/2026  |  | 15782 | 15782 | 15782 | EUR | 13457 | 13457 | 13457 | 0 | 0 |  | (227) | (227) |
|  |  | 04/2026  | 04/2026  |  | 2025 | 2025 | 2025 | MXN | 36268 | 36268 | 36268 | 0 | 0 |  | (4) | (4) |
|  |  | 04/2026  | 04/2026  | ZAR | 74391 | 74391 | 74391 | $ | 4455 | 4455 | 4455 | 65 | 65 |  | 0 | 0 |
|  |  | 05/2026  | 05/2026  | CNH | 22737 | 22737 | 22737 |  | 3294 | 3294 | 3294 | 0 | 0 |  | (15) | (15) |
| &nbsp;&nbsp;&nbsp;&nbsp; MBC | &nbsp;&nbsp;&nbsp;&nbsp; MBC | 04/2026  | 04/2026  | GBP | 2239 | 2239 | 2239 |  | 2992 | 2992 | 2992 | 28 | 28 |  | 0 | 0 |
|  |  | 04/2026  | 04/2026  | JPY | 1596102 | 1596102 | 1596102 |  | 9981 | 9981 | 9981 | 0 | 0 |  | (76) | (76) |
|  |  | 04/2026  | 04/2026  | $ | $16672 | 16672 | 16672 | EUR | 14417 | 14417 | 14417 | 13 | 13 |  | (22) | (22) |
|  |  | 04/2026  | 04/2026  |  | 2080 | 2080 | 2080 | GBP | 1552 | 1552 | 1552 | 0 | 0 |  | (25) | (25) |
|  |  | 04/2026  | 04/2026  |  | 11422 | 11422 | 11422 | JPY | 1776060 | 1776060 | 1776060 | 0 | 0 |  | (231) | (231) |
|  |  | 05/2026  | 05/2026  | EUR | 8263 | 8263 | 8263 | $ | 9489 | 9489 | 9489 | 0 | 0 |  | (76) | (76) |
|  |  | 05/2026  | 05/2026  | GBP | 614 | 614 | 614 |  | 809 | 809 | 809 | 0 | 0 |  | (3) | (3) |
|  |  | 05/2026  | 05/2026  | $ | $2976 | 2976 | 2976 | EUR | 2585 | 2585 | 2585 | 16 | 16 |  | 0 | 0 |
|  |  | 05/2026  | 05/2026  |  | 9981 | 9981 | 9981 | JPY | 1591279 | 1591279 | 1591279 | 75 | 75 |  | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; NGF | &nbsp;&nbsp;&nbsp;&nbsp; NGF | 04/2026  | 04/2026  |  | 15754 | 15754 | 15754 | TRY | 723687 | 723687 | 723687 | 301 | 301 |  | 0 | 0 |
|  |  | 05/2026  | 05/2026  |  | 292 | 292 | 292 |  | 13484 | 13484 | 13484 | 0 | 0 |  | (1) | (1) |
| &nbsp;&nbsp;&nbsp;&nbsp; SCX | &nbsp;&nbsp;&nbsp;&nbsp; SCX | 04/2026  | 04/2026  | GBP | 14495 | 14495 | 14495 | $ | 19236 | 19236 | 19236 | 51 | 51 |  | 0 | 0 |
|  |  | 04/2026  | 04/2026  | $ | $1784 | 1784 | 1784 | CAD | 2469 | 2469 | 2469 | 0 | 0 |  | (8) | (8) |
|  |  | 04/2026  | 04/2026  |  | 8127 | 8127 | 8127 | JPY | 1267882 | 1267882 | 1267882 | 0 | 0 |  | (138) | (138) |
|  |  | 05/2026  | 05/2026  | CAD | 2466 | 2466 | 2466 | $ | 1784 | 1784 | 1784 | 8 | 8 |  | 0 | 0 |
|  |  | 06/2026  | 06/2026  | COP | 1494382 | 1494382 | 1494382 |  | 391 | 391 | 391 | 0 | 0 |  | (9) | (9) |
|  |  | 07/2026  | 07/2026  |  | 12643256 | 12643256 | 12643256 |  | 3282 | 3282 | 3282 | 0 | 0 |  | (76) | (76) |
|  |  | 11/2026  | 11/2026  | NGN | 32350 | 32350 | 32350 |  | 20 | 20 | 20 | 0 | 0 |  | (2) | (2) |
| &nbsp;&nbsp;&nbsp;&nbsp; SOG | &nbsp;&nbsp;&nbsp;&nbsp; SOG | 04/2026  | 04/2026  | EUR | 823768 | 823768 | 823768 |  | 975024 | 975024 | 975024 | 22876 | 22876 |  | (4) | (4) |
|  |  | 04/2026  | 04/2026  | $ | $897565 | 897565 | 897565 | EUR | 777103 | 777103 | 777103 | 1387 | 1387 |  | (737) | (737) |
|  |  | 04/2026  | 04/2026  |  | 44944 | 44944 | 44944 | JPY | 6993163 | 6993163 | 6993163 | 0 | 0 |  | (880) | (880) |
|  |  | 05/2026  | 05/2026  | EUR | 749631 | 749631 | 749631 | $ | 866427 | 866427 | 866427 | 0 | 0 |  | (1354) | (1354) |
|  |  | 05/2026  | 05/2026  | $ | $1891 | 1891 | 1891 | EUR | 1637 | 1637 | 1637 | 4 | 4 |  | 0 | 0 |
|  |  | 06/2026  | 06/2026  | EGP | 15719 | 15719 | 15719 | $ | 290 | 290 | 290 | 17 | 17 |  | 0 | 0 |
| &nbsp;&nbsp;&nbsp;&nbsp; SSB | &nbsp;&nbsp;&nbsp;&nbsp; SSB | 04/2026  | 04/2026  | AUD | 212 | 212 | 212 |  | 151 | 151 | 151 | 5 | 5 |  | 0 | 0 |
|  |  | 04/2026  | 04/2026  | $ | $53 | 53 | 53 | JPY | 8197 | 8197 | 8197 | 0 | 0 |  | (1) | (1) |
|  |  | 06/2026  | 06/2026  | COP | 4586314 | 4586314 | 4586314 | $ | 1186 | 1186 | 1186 | 0 | 0 |  | (42) | (42) |
| &nbsp;&nbsp;&nbsp;&nbsp; UAG | &nbsp;&nbsp;&nbsp;&nbsp; UAG | 04/2026  | 04/2026  | CZK | 5194 | 5194 | 5194 |  | 247 | 247 | 247 | 3 | 3 |  | 0 | 0 |
|  |  | 04/2026  | 04/2026  | TRY | 100755 | 100755 | 100755 |  | 2180 | 2180 | 2180 | 0 | 0 |  | (39) | (39) |
|  |  | 04/2026  | 04/2026  | $ | $3333 | 3333 | 3333 | COP | 12393433 | 12393433 | 12393433 | 39 | 39 |  | 0 | 0 |
|  |  | 04/2026  | 04/2026  |  | 607 | 607 | 607 | PLN | 2194 | 2194 | 2194 | 0 | 0 |  | (16) | (16) |
|  |  | 05/2026  | 05/2026  | TRY | 15362 | 15362 | 15362 | $ | 330 | 330 | 330 | 0 | 0 |  | (2) | (2) |
|  |  | 06/2026  | 06/2026  | COP | 84236358 | 84236358 | 84236358 |  | 22023 | 22023 | 22023 | 0 | 0 |  | (534) | (534) |
| **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | **Total Forward Foreign Currency Contracts** | $**32966** | **32966** | **$** | **(14399)** | **(14399)** |
| **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** | **WRITTEN OPTIONS:** |
| **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** | **FOREIGN CURRENCY OPTIONS** |
| Counterparty | Description | Description | Description | Description | Description | Description |  | Strike<br>Price | Strike<br>Price | Expiration<br>Date | Notional<br>Amount<sup>(1)</sup> | Notional<br>Amount<sup>(1)</sup> | Premiums<br>(Received) | Premiums<br>(Received) | Market<br>Value | Market<br>Value |
| UAG | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | TRY | 49.510 | 49.510 | 04/15/2026 | 6700 | 6700 | (107) | (107) | $(17) | (17) |
|  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  |  | 49.650 | 49.650 | 04/17/2026 | 10000 | 10000 | (154) | (154) | (34) | (34) |
|  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  |  | 49.650 | 49.650 | 04/21/2026 | 3400 | 3400 | (50) | (50) | (16) | (16) |
|  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  |  | 49.600 | 49.600 | 04/24/2026 | 1700 | 1700 | (25) | (25) | (10) | (10) |
|  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  | Call - OTC USD versus TRY  |  | 49.990 | 49.990 | 05/01/2026 | 3300 | 3300 | (50) | (50) | (26) | (26) |
| **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **Total Written Options** | **(386)** | **(386)** | $**(103)** | **(103)** |
| **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** | **SWAP AGREEMENTS:** |
| **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CORPORATE AND SOVEREIGN ISSUES - SELL PROTECTION**<sup>(2)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u><sup>(5)</sup> | <u>Swap Agreements, at Value</u><sup>(5)</sup> | <u>Swap Agreements, at Value</u><sup>(5)</sup> |
| Counterparty | Reference Entity | Reference Entity | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Payment<br>Frequency | Maturity<br>Date | Implied<br>Credit Spread at<br>March 31, 2026<sup>(3)</sup> | Implied<br>Credit Spread at<br>March 31, 2026<sup>(3)</sup> | Implied<br>Credit Spread at<br>March 31, 2026<sup>(3)</sup> | Notional<br>Amount<sup>(4)</sup> |  | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability |
| BOA | Argentine Republic Government International Bonds  | Argentine Republic Government International Bonds  | 5.000% | 5.000% | Quarterly | 12/20/2026 | 2.754% | 2.754% | 2.754% | $100 | $ | 2 | $0 | $2 | 2 | $0 |
| BPS | Argentine Republic Government International Bonds  | Argentine Republic Government International Bonds  | 5.000 | 5.000 | Quarterly | 12/20/2026 | 2.754 | 2.754 | 2.754 | 100 |  | 2 | 0 | 2 | 2 | 0 |
|  | Petroleos Mexicanos  | Petroleos Mexicanos  | 1.000 | 1.000 | Quarterly | 12/20/2028 | 2.711 | 2.711 | 2.711 | 3000 |  | (581) | 453 | 0 | 0 | (128) |
| BRC | Argentine Republic Government International Bonds  | Argentine Republic Government International Bonds  | 5.000 | 5.000 | Quarterly | 12/20/2026 | 2.754 | 2.754 | 2.754 | 1250 |  | 29 | (7) | 22 | 22 | 0 |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 0 | 3 | 17 | 48 | 53 | 59 | 62 | 73 | 86 | 108 | 114 | 117 | 128 | 130 | 133 | 151 | 171 | 192 | 198 | 210 | 222 |
|  |  | Argentine Republic Government International Bonds  | 5.000 | Quarterly | Quarterly | Quarterly | 06/20/2027 | 06/20/2027 | 3.980 |  |  |  | 3100 | 3100 | 37 | 5 |  | 42 |  | 0 |
|  |  | Egypt Government International Bonds  | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2028 | 12/20/2028 | 3.550 |  |  |  | 22600 | 22600 | (3907) | 2493 |  | 0 |  | (1414) |
|  |  | Egypt Government International Bonds  | 1.000 | Quarterly | Quarterly | Quarterly | 06/20/2029 | 06/20/2029 | 3.628 |  |  |  | 6900 | 6900 | (1476) | 960 |  | 0 |  | (516) |
|  |  | Nissan Motor Co. Ltd.  | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2030 | 12/20/2030 | 2.738 | JPY | JPY | JPY | 744000 | 744000 | (402) | 55 |  | 0 |  | (347) |
|  |  | Petroleos Mexicanos  | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2030 | 12/20/2030 | 3.124 | $ | $ | $ | $3200 | 3200 | (252) | (21) |  | 0 |  | (273) |
| CBK | CBK | Argentine Republic Government International Bonds  | 5.000 | Quarterly | Quarterly | Quarterly | 06/20/2027 | 06/20/2027 | 3.980 |  |  |  | 1000 | 1000 | (118) | 132 |  | 14 |  | 0 |
|  |  | Petroleos Mexicanos  | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2030 | 12/20/2030 | 3.124 |  |  |  | 11800 | 11800 | (955) | (52) |  | 0 |  | (1007) |
| DUB | DUB | Eskom « | 4.650 | Quarterly | Quarterly | Quarterly | 06/30/2029 | 06/30/2029 | —◆ |  |  |  | 22100 | 22100 | 0 | 949 |  | 949 |  | 0 |
|  |  | Petroleos Mexicanos « | 4.750 | Monthly | Monthly | Monthly | 07/06/2026 | 07/06/2026 | —◆ |  |  |  | 871 | 871 | 0 | 5 |  | 5 |  | 0 |
|  |  | Petroleos Mexicanos « | 4.850 | Monthly | Monthly | Monthly | 07/06/2026 | 07/06/2026 | —◆ |  |  |  | 470 | 470 | 0 | 3 |  | 3 |  | 0 |
| GST | GST | Argentine Republic Government International Bonds  | 5.000 | Quarterly | Quarterly | Quarterly | 06/20/2027 | 06/20/2027 | 3.980 |  |  |  | 1150 | 1150 | (118) | 134 |  | 16 |  | 0 |
|  |  | Nissan Motor Co. Ltd.  | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2030 | 12/20/2030 | 2.738 | JPY | JPY | JPY | 25800 | 25800 | (13) | 1 |  | 0 |  | (12) |
|  |  | Soft Bank Group,Inc.  | 1.000 | Quarterly | Quarterly | Quarterly | 06/20/2026 | 06/20/2026 | 1.662 | $ | $ | $ | $4800 | 4800 | (41) | 35 |  | 0 |  | (6) |
| JPM | JPM | Argentine Republic Government International Bonds  | 5.000 | Quarterly | Quarterly | Quarterly | 06/20/2027 | 06/20/2027 | 3.980 |  |  |  | 500 | 500 | 7 | 0 |  | 7 |  | 0 |
|  |  | Ecuador Government International Bonds  | 5.000 | Quarterly | Quarterly | Quarterly | 06/20/2027 | 06/20/2027 | 2.178 |  |  |  | 900 | 900 | 30 | 1 |  | 31 |  | 0 |
|  |  | Nissan Motor Co. Ltd.  | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2030 | 12/20/2030 | 2.738 | JPY | JPY | JPY | 831100 | 831100 | (462) | 75 |  | 0 |  | (387) |
|  |  | Petroleos Mexicanos  | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2030 | 12/20/2030 | 3.124 | $ | $ | $ | $18200 | 18200 | (1423) | (130) |  | 0 |  | (1553) |
| MYC | MYC | Argentine Republic Government International Bonds  | 5.000 | Quarterly | Quarterly | Quarterly | 06/20/2026 | 06/20/2026 | 2.371 |  |  |  | 200 | 200 | 2 | (1) |  | 1 |  | 0 |
|  |  | Argentine Republic Government International Bonds  | 5.000 | Quarterly | Quarterly | Quarterly | 12/20/2026 | 12/20/2026 | 2.754 |  |  |  | 6100 | 6100 | 80 | 27 |  | 107 |  | 0 |
|  |  | Argentine Republic Government International Bonds  | 5.000 | Quarterly | Quarterly | Quarterly | 06/20/2027 | 06/20/2027 | 3.980 |  |  |  | 1750 | 1750 | 2 | 22 |  | 24 |  | 0 |
|  |  | Nissan Motor Co. Ltd.  | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2030 | 12/20/2030 | 2.738 | JPY | JPY | JPY | 1040000 | 1040000 | (568) | 83 |  | 0 |  | (485) |
|  |  | Petroleos Mexicanos  | 1.000 | Quarterly | Quarterly | Quarterly | 06/20/2027 | 06/20/2027 | 2.236 | $ | $ | $ | $200 | 200 | (3) | 0 |  | 0 |  | (3) |
|  |  | Petroleos Mexicanos  | 1.000 | Quarterly | Quarterly | Quarterly | 12/20/2028 | 12/20/2028 | 2.711 |  |  |  | 3700 | 3700 | (722) | 565 |  | 0 |  | (157) |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (10850) | 5787 | $ | 1225 | $ | (6288) |
| **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> | **CREDIT DEFAULT SWAPS ON CREDIT INDEXES - SELL PROTECTION**<sup>(2)</sup> |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u><sup>(5)</sup> | <u>Swap Agreements, at Value</u><sup>(5)</sup> | <u>Swap Agreements, at Value</u><sup>(5)</sup> |
| Counterparty | Counterparty | Index/Tranches | Index/Tranches | Index/Tranches | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Fixed <br>Receive Rate | Payment<br>Frequency | Maturity<br>Date |  |  | Notional<br>Amount<sup>(4)</sup> | Notional<br>Amount<sup>(4)</sup> | Notional<br>Amount<sup>(4)</sup> | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset |  | Liability |
| GST | GST | ABX.HE.AA.6-1 Index « | ABX.HE.AA.6-1 Index « | ABX.HE.AA.6-1 Index « | 0.320% | 0.320% | 0.320% | Monthly | 07/25/2045 | $ | $ | $3740 | 3740 | 3740 | (744) | 430 | $ | 0 | $ | (314) |
|  |  | ABX.HE.PENAAA.7-1 Index « | ABX.HE.PENAAA.7-1 Index « | ABX.HE.PENAAA.7-1 Index « | 0.090 | 0.090 | 0.090 | Monthly | 08/25/2037 |  |  | 1034 | 1034 | 1034 | (1108) | 1093 |  | 0 |  | (15) |
| UAG | UAG | ABX.HE.AA.6-2 Index « | ABX.HE.AA.6-2 Index « | ABX.HE.AA.6-2 Index « | 0.170 | 0.170 | 0.170 | Monthly | 05/25/2046 |  |  | 20235 | 20235 | 20235 | (2) | (3016) |  | 0 |  | (3018) |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (1854) | (1493) | $ | 0 | $ | (3347) |
| **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** | **TOTAL RETURN SWAPS ON LOAN PARTICIPATIONS AND ASSIGNMENTS** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> |
| Counterparty | Counterparty | Underlying Reference | Financing Rate | Financing Rate | Financing Rate | Financing Rate | Financing Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date | Notional<br>Amount | Notional<br>Amount | Notional<br>Amount | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) |  | Asset |  | Liability |
| BPS | BPS | AP Core Holdings II, LLC  | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | Monthly | 04/30/2026 | 04/30/2026 | 04/30/2026 | 225 | 225 | 225 | 0 | $79 | 79 | $79 | 79 | $0 |
|  |  | AP Core Holdings II, LLC  | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | 1-Day USD-SOFR Compounded-OIS | Monthly | 04/30/2026 | 04/30/2026 | 04/30/2026 | 240 | 240 | 240 | 0 | 162 | 162 | 162 | 162 | 0 |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 0 | 241 | $ | 241 | $ | 0 |
| **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** | **TOTAL RETURN SWAPS ON SECURITIES** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> | <u>Swap Agreements, at Value</u> |
| &nbsp;&nbsp; Counterparty | &nbsp;&nbsp; Counterparty | Underlying<br>Reference | # of Shares | # of Shares | # of Shares | &nbsp;&nbsp; Financing Rate | &nbsp;&nbsp; Financing Rate | Payment<br>Frequency | Maturity<br>Date | Maturity<br>Date | Maturity<br>Date |  |  | Notional<br>Amount | Premiums<br>Paid/(Received) | Unrealized<br>Appreciation/<br>(Depreciation) | Unrealized<br>Appreciation/<br>(Depreciation) | Asset | Asset | Liability |
| &nbsp;&nbsp; MYC | &nbsp;&nbsp; MYC | Agile Group Holdings Ltd. « | N/A | N/A | N/A | &nbsp;&nbsp; 0.000% (SOFR less a specified spread) | &nbsp;&nbsp; 0.000% (SOFR less a specified spread) | Maturity | 01/28/2036 | 01/28/2036 | CNY | CNY | 59900 | 59900 | 25 | $(1777) | (1777) | $0 | 0 | $(1752) |
| **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **Total Swap Agreements** | **(12679)** | $**2758** | **2758** | $**1466** | **1466** | $**(11387)** |
| **(p)** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** | **Securities with an aggregate market value of $17,459 have been pledged as collateral for financial derivative instruments as governed by International Swaps and Derivatives Association, Inc. master agreements as of March 31, 2026.** |
| **◆** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** | **Implied credit spread is not available due to significant unobservable inputs being used in the fair valuation.** |
| <sup>(1)</sup> | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. | Notional Amount represents the number of contracts. |
| <sup>(2)</sup> | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. | If the Fund is a seller of protection and a credit event occurs, as defined under the terms of that particular swap agreement, the Fund will either (i) pay to the buyer of protection an amount equal to the notional amount of the swap and take delivery of the referenced obligation or underlying securities comprising the referenced index or (ii) pay a net settlement amount in the form of cash, securities or other deliverable obligations equal to the notional amount of the swap less the recovery value of the referenced obligation or underlying securities comprising the referenced index. |
| <sup>(3)</sup> | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | Implied credit spreads, represented in absolute terms, utilized in determining the market value of credit default swap agreements on corporate or sovereign issues as of period end serve as indicators of the current status of the payment/performance risk and represent the likelihood or risk of default for the credit derivative. The implied credit spread of a particular referenced entity reflects the cost of buying/selling protection and may include upfront payments required to be made to enter into the agreement. Wider credit spreads represent a deterioration of the referenced entity's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |

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<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

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| | | | | | |
|:---|:---|:---|:---|:---|:---|
| <sup>(4)</sup> | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. | The maximum potential amount the Fund could be required to pay as a seller of credit protection or receive as a buyer of credit protection if a credit event occurs as defined under the terms of that particular swap agreement. |
| <sup>(5)</sup> | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. | The prices and resulting values for credit default swap agreements serve as indicators of the current status of the payment/performance risk and represent the likelihood of an expected liability (or profit) for the credit derivative should the notional amount of the swap agreement be closed/sold as of the period end. Increasing market values, in absolute terms when compared to the notional amount of the swap, represent a deterioration of the underlying referenced instrument's credit soundness and a greater likelihood or risk of default or other credit event occurring as defined under the terms of the agreement. |
| <sup>(6)</sup> | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. | Receive represents that the Fund receives payments for any positive net return on the underlying reference. The Fund makes payments for any negative net return on such underlying reference. Pay represents that the Fund receives payments for any negative net return on the underlying reference. The Fund makes payments for any positive net return on such underlying reference. |
| **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** | **FAIR VALUE MEASUREMENTS** |
| **The following is a summary of the fair valuations according to the inputs used as of March 31, 2026 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of March 31, 2026 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of March 31, 2026 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of March 31, 2026 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of March 31, 2026 in valuing the Fund's assets and liabilities**: | **The following is a summary of the fair valuations according to the inputs used as of March 31, 2026 in valuing the Fund's assets and liabilities**: |
| Category and Subcategory | Category and Subcategory | Level 1 | Level 2 | Level 3 | Fair Value<br>at 03/31/2026 |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Loan Participations and Assignments | Loan Participations and Assignments | $0 | $1517581 | $1067218 | $2584799 |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |
| Banking & Finance | Banking & Finance | 0 | 354163 | 0 | 354163 |
| Industrials | Industrials | 0 | 1255030 | 155789 | 1410819 |
| Utilities | Utilities | 0 | 127263 | 3045 | 130308 |
| Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes | Convertible Bonds & Notes |
| Banking & Finance | Banking & Finance | 0 | 1691 | 0 | 1691 |
| Industrials | Industrials | 0 | 12915 | 0 | 12915 |
| Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes | Municipal Bonds & Notes |
| Michigan | Michigan | 0 | 3127 | 0 | 3127 |
| West Virginia | West Virginia | 0 | 33030 | 0 | 33030 |
| U.S. Government Agencies | U.S. Government Agencies | 0 | 102144 | 0 | 102144 |
| U.S. Treasury Obligations | U.S. Treasury Obligations | 0 | 10667 | 0 | 10667 |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | 0 | 2649462 | 113999 | 2763461 |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities |
| Automobile ABS Other | Automobile ABS Other | 0 | 7170 | 405 | 7575 |
| Automobile Sequential | Automobile Sequential | 0 | 0 | 16763 | 16763 |
| Home Equity Other | Home Equity Other | 0 | 631475 | 0 | 631475 |
| Home Equity Sequential | Home Equity Sequential | 0 | 1465 | 0 | 1465 |
| Manufacturing House ABS Other | Manufacturing House ABS Other | 0 | 17506 | 0 | 17506 |
| Manufacturing House Sequential | Manufacturing House Sequential | 0 | 4768 | 0 | 4768 |
| Whole Loan Collateral | Whole Loan Collateral | 0 | 113524 | 0 | 113524 |
| Other ABS | Other ABS | 0 | 251031 | 120654 | 371685 |
| Sovereign Issues | Sovereign Issues | 0 | 604713 | 0 | 604713 |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| Communication Services | Communication Services | 26403 | 1417 | 26330 | 54150 |
| Consumer Discretionary | Consumer Discretionary | 0 | 0 | 272 | 272 |
| Financials | Financials | 24 | 54047 | 0 | 54071 |
| Industrials | Industrials | 116 | 0 | 17170 | 17286 |
| Real Estate | Real Estate | 0 | 25 | 1590 | 1615 |
| Warrants | Warrants | Warrants | Warrants | Warrants | Warrants |
| Communication Services | Communication Services | 0 | 6906 | 0 | 6906 |
| Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities |
| Banking & Finance | Banking & Finance | 0 | 40248 | 42453 | 82701 |
| Industrials | Industrials | 0 | 27305 | 291378 | 318683 |
| Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts | Real Estate Investment Trusts |
| Real Estate | Real Estate | 19432 | 0 | 0 | 19432 |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Egypt Treasury Bills | Egypt Treasury Bills | 0 | 25766 | 0 | 25766 |
| Nigeria Treasury Bills | Nigeria Treasury Bills | 0 | 157264 | 0 | 157264 |
| Turkey Treasury Bills | Turkey Treasury Bills | 0 | 1563 | 0 | 1563 |
| U.S. Treasury Bills | U.S. Treasury Bills | 0 | 65446 | 0 | 65446 |
|  |  | $45975 | $8078712 | $1857066 | $9981753 |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| Affiliated Investments | Affiliated Investments | 0 | 35489 | 288971 | 324460 |
| Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments | Short-Term Instruments |
| Central Funds Used for Cash Management Purposes | Central Funds Used for Cash Management Purposes | 822023 | 0 | 0 | 822023 |
|  |  | $822023 | $35489 | $288971 | $1146483 |
| Total Investments | Total Investments | $867998 | $8114201 | $2146037 | $11128236 |
| **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  | **Financial Derivative Instruments - Assets**  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | 0 | 6314 | 0 | 6314 |
| Over the counter | Over the counter | 0 | 33475 | 957 | 34432 |
|  |  | $0 | $39789 | $957 | $40746 |
| **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  | **Financial Derivative Instruments - Liabilities**  |
| Exchange-traded or centrally cleared | Exchange-traded or centrally cleared | (1) | (2943) | 0 | (2944) |
| Over the counter | Over the counter | 0 | (20790) | (5099) | (25889) |
|  |  | $(1) | $(23733) | $(5099) | $(28833) |
| Total Financial Derivative Instruments | Total Financial Derivative Instruments | $(1) | $16056 | $(4142) | $11913 |
| Totals | Totals | $867997 | $8130257 | $2141895 | $11140149 |

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<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

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| | | | | | | | | | | | | | | | | | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 1 | 10 | 13 | 22 | 24 | 35 | 46 | 50 | 55 | 78 | 85 | 93 | 104 | 111 | 118 | 120 | 121 | 145 | 147 | 168 | 182 | 196 | 207 | 213 | 220 |
| **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** | **The following is a reconciliation of the fair valuations using significant unobservable inputs (Level 3) for the Fund during the period ended March 31, 2026:** |
| Category and Subcategory | Beginning<br>Balance<br>at 06/30/2025 | Beginning<br>Balance<br>at 06/30/2025 | Net<br>Purchases<sup>(1)</sup> | Net<br>Purchases<sup>(1)</sup> | Net<br>Purchases<sup>(1)</sup> | Net<br>Sales/Settlements<sup>(1)</sup> | Net<br>Sales/Settlements<sup>(1)</sup> | Net<br>Sales/Settlements<sup>(1)</sup> | Accrued<br>Discounts/<br>(Premiums) | Accrued<br>Discounts/<br>(Premiums) | Realized<br>Gain/(Loss) | Realized<br>Gain/(Loss) | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<sup>(2)</sup> | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<sup>(2)</sup> | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<sup>(2)</sup> | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<sup>(2)</sup> | Transfers into<br>Level 3 | Transfers into<br>Level 3 | Transfers out<br>of Level 3 | Transfers out<br>of Level 3 | Ending<br>Balance<br>at 03/31/2026 | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<br>on Investments<br>Held at<br>03/31/2026<sup>(2)</sup> | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<br>on Investments<br>Held at<br>03/31/2026<sup>(2)</sup> | Net Change in<br>Unrealized<br>Appreciation/<br>(Depreciation)<br>on Investments<br>Held at<br>03/31/2026<sup>(2)</sup> |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Loan Participations and Assignments | $ | $694936 | 694936 | $ | 160781 | 160781 | $ | $(217936) | (217936) | $3339 | 3339 | $1985 | 1985 | $ | $6498 | 6498 | $417615 | 417615 | 0 | 0 | 1067218 | $ | $ | (3272) |
| Corporate Bonds & Notes |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Banking & Finance | Banking & Finance | 2009 | 2009 |  | 74 | 74 |  | (594) | (594) | 0 | 0 | 33 | 33 |  | 549 | 549 | 0 | 0 | (2071) | (2071) | 0 |  |  | 0 |
| Industrials | Industrials | 169595 | 169595 |  | 9971 | 9971 |  | (44569) | (44569) | 647 | 647 | 0 | 0 |  | 20145 | 20145 | 0 | 0 | 0 | 0 | 155789 |  |  | 7940 |
| Utilities | Utilities | 0 | 0 |  | 13556 | 13556 |  | 0 | 0 | (14) | (14) | 0 | 0 |  | (10497) | (10497) | 0 | 0 | 0 | 0 | 3045 |  |  | (10497) |
| Non-Agency Mortgage-Backed Securities |  | 195225 | 195225 |  | 112282 | 112282 |  | (455) | (455) | 301 | 301 | (1307) | (1307) |  | 2205 | 2205 | 0 | 0 | (194252) | (194252) | 113999 |  |  | 1082 |
| Asset-Backed Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Automobile ABS Other | Automobile ABS Other | 15176 | 15176 |  | 0 | 0 |  | (8996) | (8996) | 0 | 0 | (51903) | (51903) |  | 47102 | 47102 | 0 | 0 | (974) | (974) | 405 |  |  | 21 |
| Automobile Sequential | Automobile Sequential | 17379 | 17379 |  | 0 | 0 |  | (576) | (576) | 0 | 0 | 0 | 0 |  | (40) | (40) | 0 | 0 | 0 | 0 | 16763 |  |  | (31) |
| Other ABS | Other ABS | 169669 | 169669 |  | 0 | 0 |  | (4637) | (4637) | 44 | 44 | (16998) | (16998) |  | 7132 | 7132 | 0 | 0 | (34556) | (34556) | 120654 |  |  | (4613) |
| Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Communication Services | Communication Services | 61862 | 61862 |  | 0 | 0 |  | (55754) | (55754) | 0 | 0 | 30645 | 30645 |  | (10423) | (10423) | 0 | 0 | 0 | 0 | 26330 |  |  | 26330 |
| Consumer Discretionary | Consumer Discretionary | 272 | 272 |  | 0 | 0 |  | 0 | 0 | 0 | 0 | 0 | 0 |  | 0 | 0 | 0 | 0 | 0 | 0 | 272 |  |  | 0 |
| Financials | Financials | 60554 | 60554 |  | 0 | 0 |  | (62046) | (62046) | 0 | 0 | (52010) | (52010) |  | 53502 | 53502 | 0 | 0 | 0 | 0 | 0 |  |  | 0 |
| Industrials | Industrials | 6117 | 6117 |  | 31678 | 31678 |  | (22585) | (22585) | 0 | 0 | 366 | 366 |  | 1594 | 1594 | 0 | 0 | 0 | 0 | 17170 |  |  | 1594 |
| Real Estate | Real Estate | 103 | 103 |  | 0 | 0 |  | 0 | 0 | 0 | 0 | 0 | 0 |  | 1487 | 1487 | 0 | 0 | 0 | 0 | 1590 |  |  | 1487 |
| Warrants |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Communication Services | Communication Services | 12301 | 12301 |  | 0 | 0 |  | (11087) | (11087) | 0 | 0 | 2929 | 2929 |  | (4143) | (4143) | 0 | 0 | 0 | 0 | 0 |  |  | 0 |
| Financials | Financials | 28 | 28 |  | 0 | 0 |  | (160) | (160) | 0 | 0 | (43339) | (43339) |  | 43471 | 43471 | 0 | 0 | 0 | 0 | 0 |  |  | 0 |
| Preferred Securities |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Banking & Finance | Banking & Finance | 0 | 0 |  | 40904 | 40904 |  | 0 | 0 | 0 | 0 | 0 | 0 |  | 1549 | 1549 | 0 | 0 | 0 | 0 | 42453 |  |  | 1549 |
| Industrials | Industrials | 77463 | 77463 |  | 215938 | 215938 |  | 0 | 0 | 0 | 0 | 0 | 0 |  | (2023) | (2023) | 0 | 0 | 0 | 0 | 291378 |  |  | (2023) |
|  | $ | $1482689 | 1482689 | $ | 585184 | 585184 | $ | $(429395) | (429395) | $4317 | 4317 | $(129599) | (129599) | $ | $158108 | 158108 | $417615 | 417615 | (231853) | (231853) | 1857066 | $ | $ | 19567 |
| **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** | **Investments in Affiliates, at Value** |
| Common Stocks |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
| Affiliated Investments |  | 314038 |  |  | 0 |  |  | (36332) |  | 0 |  | 0 |  |  |  | 11265 |  | 0 | 0 | 0 | 288971 | 288971 |  | 10697 |
| **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** |
| Over the counter | $ | $1334 | 1334 | $ | 0 | 0 | $ | $(10) | (10) | $0 | 0 | $0 | 0 | $ | $(367) | (367) | $0 | 0 | 0 | 0 | 957 | $ | $ | (371) |
| **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** |
| Over the counter | $ | $(5442) | (5442) | $ | 340 | 340 | $ | $(264) | (264) | $0 | 0 | $(24) | (24) | $ | $291 | 291 | $0 | 0 | 0 | 0 | (5099) | $ | $ | 225 |
| Totals | $ | $1792619 | 1792619 | $ | 585524 | 585524 | $ | $(466001) | (466001) | $4317 | 4317 | $(129623) | (129623) | $ | $169297 | 169297 | $417615 | 417615 | (231853) | (231853) | 2141895 | $ | $ | 30118 |
| <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** | <br>**The following is a summary of significant unobservable inputs used in the fair valuations of assets and liabilities categorized within Level 3 of the fair value hierarchy:** |
|  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | (% Unless Noted Otherwise) | (% Unless Noted Otherwise) | (% Unless Noted Otherwise) | (% Unless Noted Otherwise) | (% Unless Noted Otherwise) |
| Category and Subcategory | Category and Subcategory | Category and Subcategory | Category and Subcategory | Ending<br>Balance<br>at 03/31/2026 | Ending<br>Balance<br>at 03/31/2026 | Ending<br>Balance<br>at 03/31/2026 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Valuation Technique | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | &nbsp;&nbsp;&nbsp;&nbsp; Unobservable Inputs | Input Value(s) | Input Value(s) | Input Value(s) | Weighted Average | Weighted Average |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Loan Participations and Assignments | Loan Participations and Assignments | Loan Participations and Assignments | Loan Participations and Assignments | $ | 139285 | 139285 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | 16.360 | 16.360 | 16.360 |  |  |
|  |  |  |  |  | 438707 | 438707 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | 6.312 - 22.746 | 6.312 - 22.746 | 6.312 - 22.746 | 9.244 | 9.244 |
|  |  |  |  |  | 33925 | 33925 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | 101.250 | 101.250 | 101.250 |  |  |
|  |  |  |  |  | 30933 | 30933 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | 96.000 -100.000 | 96.000 -100.000 | 96.000 -100.000 | 99.417 | 99.417 |
|  |  |  |  |  | 424368 | 424368 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Third Party Vendor | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | 43.500 – 122.000 | 43.500 – 122.000 | 43.500 – 122.000 | 102.877 | 102.877 |
| Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes | Corporate Bonds & Notes |
| Industrials | Industrials | Industrials | Industrials | Industrials | 155789 | 155789 | 155789 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | - | - | - | - |  |
| Utilities | Utilities | Utilities | Utilities | Utilities | 1970 | 1970 | 1970 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | 450.000 | 450.000 | 450.000 | 450.000 |  |
|  |  |  |  |  | 1075 | 1075 | 1075 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | 12.000 | 12.000 | 12.000 | 12.000 |  |
| Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities | Non-Agency Mortgage-Backed Securities |  | 71502 | 71502 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | 6.600 | 6.600 | 6.600 |  |  |
|  |  |  |  |  | 42497 | 42497 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent Transaction | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | &nbsp;&nbsp;&nbsp;&nbsp; Purchase Price | 61.100 - 100.000 | 61.100 - 100.000 | 61.100 - 100.000 |  |  |
| Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities | Asset-Backed Securities |
| Automobile ABS Other | Automobile ABS Other | Automobile ABS Other | Automobile ABS Other | Automobile ABS Other | 405 | 405 | 405 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate | 160.000 | 160.000 | 160.000 | 160.000 |  |

---

------

<br> Consolidated Schedule of Investments PIMCO Dynamic Income Fund (Cont.) March 31, 2026 (Unaudited)

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| 1 | 3 | 50 | 51 | 116 | 119 | 176 | 182 | 216 |
| Automobile Sequential | Automobile Sequential | 16763 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate |  | 10.420 |  |
| Other ABS | Other ABS | 120654 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate |  | 6.454 - 20.000 | 12.059 |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| Communication Services | Communication Services | 26330 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | $ | $- |  |
| Consumer Discretionary | Consumer Discretionary | 272 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Revenue Multiple / Discount Rate | X /% | 0.500/20.750 |  |
| Industrials | Industrials | 9942 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | EU<br> R | - |  |
|  |  | 7228 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | $ | $- |  |
| Real Estate | Real Estate | 1590 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; - |  | - |  |
| Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities | Preferred Securities |
| Banking & Finance | Banking & Finance | 25685 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate |  | 11.900 |  |
|  |  | 16768 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent transaction | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Recent transaction | &nbsp;&nbsp;&nbsp;&nbsp; Purchase price | $ | $- |  |
| Industrials | Industrials | 2984 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp; Revenue/ EBITDA Multiple | X | - |  |
|  |  | 143537 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate |  | 3.734 – 19.155 | 13.333 |
|  |  | 144857 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Other Valuation Techniques<sup>(3)</sup> | &nbsp;&nbsp;&nbsp;&nbsp; - |  | - |  |
| **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** | **Investments in Securities, at Value** |
| Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks | Common Stocks |
| Affiliated Investments | Affiliated Investments | 154671 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple | X | 16.360 |  |
|  |  | 87729 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Comparable Companies / Discounted Cash Flow | &nbsp;&nbsp;&nbsp;&nbsp; EBITDA Multiple/Discount Rate | X/% | - |  |
|  |  | 3 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expected Recovery | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Expected Recovery | &nbsp;&nbsp;&nbsp;&nbsp; Price | $ | $- |  |
|  |  | 46569 | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sum of the Parts | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Sum of the Parts | &nbsp;&nbsp;&nbsp;&nbsp; Discount Rate/Mortality Assumption |  | - |  |
| **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** | **Financial Derivative Instruments** **- Assets** |
| Over the counter | Over the counter | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Indicative Market Quotation | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote |  | 0.192- 4.267 | 4.235 |
| **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** | **Financial Derivative Instruments** **- Liabilities** |
| Over the counter | Over the counter | (5099) | (5099) | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote | &nbsp;&nbsp;&nbsp;&nbsp; Broker Quote |  |  | 49.444 |
| Total | Total | 2141895 | 2141895 |  |  |  |  |  |
| <sup>(1)</sup> | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. | Net Purchases and Settlements for Financial Derivative Instruments may include payments made or received upon entering into swap agreements to compensate for differences between the stated terms of the swap agreement and prevailing market conditions. |
| <sup>(3)</sup> | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. | Any difference between Net Change in Unrealized Appreciation/(Depreciation) and Net Change in Unrealized Appreciation/(Depreciation) on Investments Held at March 31, 2026 may be due to an investment no longer held or categorized as Level 3 at period end. |
| <sup>(3)</sup> | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. | Includes valuation techniques not defined in the Notes to Financial Statements as securities valued using such techniques are not considered significant to the Fund. |

---

------

Notes to Financial Statements

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**1. BASIS FOR CONSOLIDATION**

Each of the Funds' subsidiaries was formed as a wholly owned subsidiary acting as an investment vehicle for the Fund in order to effect certain investments for the Fund consistent with the Fund's investment objectives and policies in effect from time to time. Each Fund's investment portfolio has been consolidated and includes the portfolio holdings of the Fund and its subsidiaries. Accordingly, the consolidated financial statements include the accounts of each Fund and its subsidiaries. All inter-company transactions and balances have been eliminated. This structure was established so that certain investments could be held by a separate legal entity from the Fund. See the table below for details regarding the structure, incorporation and relationship as of period end of the subsidiaries.

---

| | | |
|:---|:---|:---|
| &nbsp;&nbsp; **Subsidiary** | &nbsp;&nbsp; **Date of Formation** | &nbsp;&nbsp; **Subsidiary % of Consolidated Fund Net Assets**<sup>†</sup> |
| &nbsp;&nbsp;&nbsp; PCILS I LLC | &nbsp;&nbsp;&nbsp; 03/07/2013 | &nbsp;&nbsp;&nbsp; 0.0% |
| &nbsp;&nbsp;&nbsp; PDILS I LLC | &nbsp;&nbsp;&nbsp; 03/12/2013 | &nbsp;&nbsp;&nbsp; 0.0% |

---

<sup>†</sup> A zero balance may reflect actual amounts rounding to less than 0.01%.

**2. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS**

**(a) Investment Valuation Policies** The net asset value ("NAV") of the Fund's shares, or each of its share classes, as applicable, is determined by dividing the total value of portfolio investments and other assets attributable to the Fund or class, less any liabilities, as applicable, by the total number of shares outstanding.

On each day that the New York Stock Exchange ("NYSE") is open, the Fund's shares are ordinarily valued as of the close of regular trading (normally 4:00 p.m., Eastern time) ("NYSE Close"). Information that becomes known to the Fund or its agents after the time as of which NAV has been calculated on a particular day will not generally be used to retroactively adjust the price of a security or the NAV determined earlier that day. If regular trading on the NYSE closes earlier than scheduled, the Fund may calculate its NAV as of the earlier closing time or calculate its NAV as of the NYSE Close for that day. The Fund generally does not calculate its NAV on days on which the NYSE is not open for business. If the NYSE is closed on a day it would normally be open for business, the Fund may calculate its NAV as of the NYSE Close for such day or such other time that the Fund may determine.

For purposes of calculating NAV, portfolio securities and other assets for which market quotations are readily available are valued at market value. A market quotation is readily available only when that quotation is a quoted price (unadjusted) in active markets for identical investments that the Fund can access at the measurement date, provided that a quotation will not be readily available if it is not reliable. Market value is generally determined on the basis of official closing prices or the last reported sales prices. The Fund will normally use pricing data for domestic equity securities received shortly after the NYSE Close and do not normally take into account trading, clearances or settlements that take place after the NYSE Close. A foreign (non-U.S.) equity security traded on a foreign exchange or on more than one exchange is typically valued using pricing information from the exchange considered by Pacific Investment Management Company LLC ("PIMCO") to be the primary exchange. If market value pricing is used, a foreign (non-U.S.) equity security will be valued as of the close of trading on the foreign exchange, or the NYSE Close if the NYSE Close occurs before the end of trading on the foreign exchange.

Investments for which market quotations are not readily available are valued at fair value as determined in good faith pursuant to Rule 2a-5 under the Investment Company Act. As a general principle, the fair value of a security or other asset is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. Pursuant to Rule 2a-5, the Board of Trustees has designated PIMCO as the valuation designee ("Valuation Designee") for the Fund to perform the fair value determination relating to all Fund investments. PIMCO may carry out its designated responsibilities as Valuation Designee through various teams and committees. The Valuation Designee's policies and procedures govern the Valuation Designee's selection and application of methodologies for determining and calculating the fair value of Fund portfolio investments. The Valuation Designee may value Fund portfolio securities for which market quotations are not readily available and other Fund assets utilizing inputs from pricing services, quotation reporting systems, valuation agents and other third-party sources (together, "Pricing Sources").

Domestic and foreign (non-U.S.) fixed income securities, non-exchange traded derivatives and equity options are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources using data reflecting the earlier closing of the principal markets for those securities. Prices obtained from Pricing Sources may be based on, among other things, information provided by market makers or estimates of market values obtained from yield data relating to investments or securities with similar characteristics. Certain fixed income securities purchased on a delayed-delivery basis are marked to market daily until settlement at the forward settlement date. Common stocks, exchange-traded funds ("ETFs"), exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. Exchange-traded options, except equity options, futures and options on futures, are valued at the settlement price determined by the relevant exchange. Swap agreements and swaptions are valued on the basis of bid quotes obtained from brokers and dealers or market-based prices supplied by Pricing Sources. With respect to any portion of the Fund's assets that are invested in one or more open-end management investment companies (other thanETFs), the Fund's NAV will be calculated based on the NAVs of such investments.Open-end management investment companies may include affiliated funds.

If a foreign (non-U.S.) equity security's value has materially changed after the close of the security's primary exchange or principal market but before the NYSE Close, the security may be valued at fair value. Foreign (non-U.S.) equity securities that do not trade when the NYSE is open are also valued at fair value. With respect to foreign (non-U.S.) equity securities, the Fund may determine the fair value of investments based on information provided by Pricing Sources, which may recommend fair value or adjustments with reference to other securities, indexes or assets. In considering whether fair valuation is required and in determining fair values, the Valuation Designee may, among other things, consider significant events (which may be considered to include changes in the value of U.S. securities or securities indexes) that occur after the close of the relevant market and before the NYSE Close. The Fund may utilize modeling tools provided by third-party vendors to determine fair values of foreign (non-U.S.) securities. For these purposes, unless otherwise determined by the Valuation Designee, any movement in the applicable reference index or instrument ("zero trigger") between the earlier close of the applicable foreign market and the NYSE Close may be deemed to be a significant event, prompting the application of the pricing model (effectively resulting in daily fair valuations). Foreign exchanges may permit trading in foreign (non-U.S.) equity securities on days when the Fund is not open for business, which may result in the Fund's portfolio investments being affected when shareholders are unable to buy or sell shares.

Investments valued in currencies other than the U.S. dollar are converted to the U.S. dollar using exchange rates obtained from Pricing Sources. As a result, the value of such investments and, in turn, the NAV of the Fund's shares may be affected by changes in the value of currencies in relation to the U.S. dollar. The value of investments traded in markets outside the United States or denominated in currencies other than the U.S. dollar may be affected significantly on a day that the Fund is not open for business. As a result, to the extent that the Fund holds foreign (non-U.S.) investments, the value of those investments may change at times when shareholders are unable to buy or sell shares and the value of such investments will be reflected in the Fund's next calculated NAV. An alternative exchange rate may be obtained from a Pricing Source or an exchange rate may otherwise be determined if believed to be more reflective of the rates at which the Fund may transact.

------

Notes to Financial Statements(Cont.)

Fair valuation may require subjective determinations about the value of a security. While the Fund's and Valuation Designee's policies and procedures are intended to result in a calculation of the Fund's NAV that fairly reflects security values as of the time of pricing, the Fund cannot ensure that fair values accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold.

**(b) Fair Value Hierarchy** U.S. GAAP describes fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2 or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2 and 3 of the fair value hierarchy are defined as follows:

• Level 1 — Quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

• Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

• Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Valuation Designee that are used in determining the fair value of investments.

Assets or liabilities categorized as Level 2 or 3 as of period end have been transferred between Levels 2 and 3 since the prior period due to changes in the method utilized in valuing the investments. Transfers from Level 2 to Level 3 are a result of a change, in the normal course of business, from the use of methods used by Pricing Sources (Level 2) to the use of a Broker Quote or valuation technique which utilizes significant unobservable inputs due to an absence of current or reliable market-based data (Level 3). Transfers from Level 3 to Level 2 are a result of the availability of current and reliable market-based data provided by Pricing Sources or other valuation techniques which utilize significant observable inputs. In accordance with the requirements of U.S. GAAP, the amounts of transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for the Fund.

For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums), and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between fair value Levels of the Fund's assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy and, if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for the Fund.

**(c) Valuation Techniques and the Fair Value Hierarchy**

**Level 1, Level 2 and Level 3 trading assets and trading liabilities, at fair value** The valuation methods (or "techniques") and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1, Level 2 and Level 3 of the fair value hierarchy are as follows:

Common stocks, ETFs, exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy.

Investments in registered open-end investment companies (other than ETFs) will be valued based upon the NAVs of such investments and are categorized as Level 1 of the fair value hierarchy. Investments in unregistered open-end investment companies will be calculated based upon the NAVs of such investments and are considered Level 1 provided that the NAVs are observable, calculated daily and are the value at which both purchases and sales will be conducted.

Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities, non-U.S. bonds and short-term debt instruments (such as commercial paper, time deposits and certificates of deposit) are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Sources that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Sources' internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy.

Mortgage-related and asset-backed securities are usually issued as separate tranches, or classes, of securities within each deal. These securities are also normally valued by Pricing Sources that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The pricing models for these securities usually consider tranche-level attributes, current market data, estimated cash flows and market-based yield spreads for each tranche, and incorporate deal collateral performance, as available. Mortgage-related and asset-backed securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Sources that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

------

Notes to Financial Statements(Cont.)

Valuation adjustments may be applied to certain exchange traded futures and options to account for market movement between the exchange settlement and the NYSE Close. These securities are valued using quotes obtained from a quotation reporting system, established market makers or Pricing Sources. Financial derivatives using these valuation adjustments are categorized as Level 2 of the fair value hierarchy.

Equity exchange-traded options and over the counter financial derivative instruments, such as forward foreign currency contracts and options contracts derive their value from underlying asset prices, indexes, reference rates and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Sources (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Sources using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indexes, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy.

Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indexes, reference rates and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Sources (normally determined as of the NYSE Close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Sources using a series of techniques, including simulation pricing models. The pricing models may use inputs that are observed from actively quoted markets such as the overnight index swap rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy.

Proxy pricing procedures set the base price of a fixed income security and subsequently adjust the price proportionally to market value changes of a pre-determined security deemed to be comparable in duration, generally a U.S. Treasury or sovereign note based on country of issuance. The base price may be a broker-dealer quote, transaction price or an internal value as derived by analysis of market data. The base price of the security may be reset on a periodic basis based on the availability of market data and procedures approved by the Valuation Oversight Committee. Significant changes in the unobservable inputs of the proxy pricing process (the base price) would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

If third-party evaluated vendor pricing is not available or not deemed to be indicative of fair value, the Manager may elect to obtain Broker Quotes directly from the broker-dealer or passed through from a third-party vendor. In the event that fair value is based upon a single sourced Broker Quote, these securities are categorized as Level 3 of the fair value hierarchy. Broker Quotes are typically received from established market participants. Although independently received, the Manager does not have the transparency to view the underlying inputs which support the market quotation. Significant changes in the Broker Quote would have direct and proportional changes in the fair value of the security.

Expected recovery valuation estimates that the fair value of an existing asset can be recovered, net of any liability. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

The Discounted Cash Flow model is based on future cash flows generated by the investment and may be normalized based on expected investment performance. Future cash flows are discounted to present value using an appropriate rate of return, typically calibrated to the initial transaction date and adjusted based on Capital Asset Pricing Model and/or other market-based inputs. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

The Comparable Companies model is based on application of valuation multiples from publicly traded comparable companies to the financials of the subject company. Adjustments may be made to the market-derived valuation multiples based on differences between the comparable companies and the subject company. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

The Sum-of-the-Parts model is typically used when an investment or subject company has two or more separate and distinct assets that would each require its own valuation methodology, typically an income or market approach. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

Securities may be valued based on purchase prices of privately negotiated transactions. Significant changes in the unobservable inputs would result in direct and proportional changes in the fair value of the security. These securities are categorized as Level 3 of the fair value hierarchy.

Short-term debt instruments (such as commercial paper, time deposits and certificates of deposit) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost value of such short-term debt instruments is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. These securities are categorized as Level 2 or Level 3 of the fair value hierarchy depending on the source of the base price.

When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Valuation Designee believes reflects fair value and are categorized as Level 3 of the fair value hierarchy.

**3. FEDERAL INCOME TAX MATTERS**

The Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code (the "Code") and distribute all of its taxable income and net realized gains, if applicable, to shareholders. Accordingly, no provision for Federal income taxes has been made.

The Fund may be subject to local withholding taxes, including those imposed on realized capital gains. Any applicable foreign capital gains tax is accrued daily based upon net unrealized gains, and may be payable following the sale of any applicable investments.

In accordance with U.S. GAAP, the Manager has reviewed the Fund's tax positions for all open tax years. As of March 31, 2026, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns.

The Fund files U.S. federal, state and local tax returns as required. The Fund's tax returns are subject to examination by relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return but which can be extended to six years in certain circumstances. Tax returns for open years have incorporated no uncertain tax positions that require a provision for income taxes.

------

Notes to Financial Statements(Cont.)

&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;

**4. INVESTMENTS IN AFFILIATES**

The Fund may invest in the PIMCO Short Asset Portfolio and the PIMCO Short-Term Floating NAV Portfolio III ("Central Funds") to the extent permitted by the Act, rules thereunder or exemptive relief therefrom. The Central Funds are registered investment companies created for use solely by the series of the Trust and other series of registered investment companies advised by the Adviser, in connection with their cash management activities. The main investments of the Central Funds are money market and short maturity fixed income instruments. The Central Funds may incur expenses related to their investment activities, but do not pay Investment Advisory Fees or Supervisory and Administrative Fees to the Adviser. The Central Funds are considered to be affiliated with the Fund.A copy of each affiliate fund's shareholder report is available at the U.S Securities and Exchange Commission ("SEC") website at www.sec.gov, on the Fund's website at www.pimco.com, or upon request, as applicable.The table below shows the Fund's transactions in and earnings from investments in the affiliated funds for the period endedMarch 31, 2026 (amounts in thousands<sup>†</sup>):

**Investment in PIMCO Short-Term Floating NAV Portfolio III**

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| | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|
| **Market Value<br>06/30/2025** | **Purchases at<br>Cost** | **Proceeds from<br>Sales** | **Net<br>Realized<br>Gain (Loss)** | **Change in<br>Unrealized<br>Appreciation<br>(Depreciation)** | **Market Value<br>03/31/2026** | **Dividend<br>Income**<sup>(1)</sup> | **Realized Net<br>Capital<br>Gain<br>Distributions**<sup>(1)</sup> |
| $634957 | $3690116 | $(3503200) | $23 | $127 | $822023 | $22790 | $0 |

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<sup>†</sup> A zero balance may reflect actual amounts rounding to less than one thousand.

<sup>(1)</sup> The tax characterization of distributions is determined in accordance with Federal income tax regulations and may contain a return of capital. The actual tax characterization of distributions received is determined at the end of the fiscal year of the affiliated fund.

An affiliate includes any company in which a Fund owns 5% or more of the company's outstanding voting shares. The table below represents transactions in and earnings from these affiliated issuers for the period ended March 31, 2026 (amounts in thousands<sup>†</sup>, except number of shares).

**PIMCO Dynamic Income Fund**

---

| | | | | | | | | |
|:---|:---|:---|:---|:---|:---|:---|:---|:---|
| &nbsp;&nbsp; **Security Name** | &nbsp;&nbsp; **Market Value at 06/30/2025** | &nbsp;&nbsp; **Purchases at cost** | &nbsp;&nbsp; **Proceeds from Sale** | &nbsp;&nbsp; **Net Realized Gain/(Loss)** | &nbsp;&nbsp; **Change in Unrealized Appreciation (Depreciation)** | &nbsp;&nbsp; **Market Value at 03/31/2026** | &nbsp;&nbsp; **Dividend Income** | &nbsp;&nbsp; **Shares Held at 03/31/2026** |
| &nbsp;&nbsp; Amsurg Equity | $&nbsp;&nbsp; 158792 | $&nbsp;&nbsp; 0 | $&nbsp;&nbsp; 0 | $&nbsp;&nbsp; 0 | $&nbsp;&nbsp; (4122) | $&nbsp;&nbsp; 154670 | $&nbsp;&nbsp; 0 | &nbsp;&nbsp; 3517243 |
| &nbsp;&nbsp; Incora New Equity | &nbsp;&nbsp; 78258 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 9471 | &nbsp;&nbsp; 87729 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 2316329 |
| &nbsp;&nbsp; Market Garden Dogwood LLC | &nbsp;&nbsp; 76985 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; (36333) | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 5917 | &nbsp;&nbsp; 46569 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 41876606 |
| &nbsp;&nbsp; Oi SA | &nbsp;&nbsp; 2853 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; (469) | &nbsp;&nbsp; 469 | &nbsp;&nbsp; (2853) | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 |
| &nbsp;&nbsp; Sierra Hamilton Holder LLC | &nbsp;&nbsp; 3 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 3 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 30337712 |
| &nbsp;&nbsp; Windstream Services LLC | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 23081 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 12408 | &nbsp;&nbsp; 35489 | &nbsp;&nbsp; 0 | &nbsp;&nbsp; 3783475 |

---

<sup>†</sup> A zero balance may reflect actual amounts rounding to less than one thousand.

------

---

| | | | | | |
|:---|:---|:---|:---|:---|:---|
| **Glossary: (abbreviations that may be used in the preceding statements)** | **Glossary: (abbreviations that may be used in the preceding statements)** | **Glossary: (abbreviations that may be used in the preceding statements)** | **Glossary: (abbreviations that may be used in the preceding statements)** |  | (Unaudited) |
| **Counterparty Abbreviations:** | **Counterparty Abbreviations:** |  |  |  |  |
| **AZD** | Australia and New Zealand Banking Group | **DUB** | Deutsche Bank AG | **NGF** | Nomura Global Financial Products, Inc. |
| **BMO** | BMO Capital Markets Corporation | **FAR** | Wells Fargo Bank National Association | **NOM** | Nomura Securities International, Inc. |
| **BNY** | Bank of New York Mellon | **GLM** | Goldman Sachs Bank USA | **RBC** | Royal Bank of Canada |
| **BOA** | Bank of America N.A. | **GST** | Goldman Sachs International | **RCE** | Royal Bank of Canada Europe Limited |
| **BOS** | BofA Securities, Inc. | **IND** | Crédit Agricole Corporate and Investment Bank <br> S.A. | **RCY** | Royal Bank of Canada |
| **BPS** | BNP Paribas S.A. | **JML** | JP Morgan Securities Plc | **RDR** | RBC Capital Markets LLC |
| **BRC** | Barclays Bank PLC | **JPM** | JP Morgan Chase Bank N.A. | **RTA** | RBC (Barbados) Trading Bank Corp. |
| **BSH** | Banco Santander S.A. - New York Branch | **MBC** | HSBC Bank Plc | **SBI** | Citigroup Global Markets Ltd. |
| **BYR** | The Bank of Nova Scotia - Toronto | **MEI** | Merrill Lynch International | **SCX** | Standard Chartered Bank, London |
| **CBK** | Citibank N.A. | **MSB** | Morgan Stanley Bank, N.A | **SOG** | Societe Generale Paris |
| **CDC** | Natixis Securities Americas LLC | **MSC** | Morgan Stanley & Co. LLC. | **SSB** | State Street Bank and Trust Co. |
| **CEW** | Canadian Imperial Bank of Commerce World Markets | **MYC** | Morgan Stanley Bank, N.A. | **UAG** | UBS AG Stamford |
| **DBL** | Deutsche Bank AG London | **MYI** | Morgan Stanley & Co. International PLC | **UBS** | UBS Securities LLC |
| **DEU** | Deutsche Bank Securities, Inc. | **MZF** | Mizuho Securities USA LLC | **WFS** | Wells Fargo Securities, LLC |
| **Currency Abbreviations:** | **Currency Abbreviations:** |  |  |  |  |
| **AUD** | Australian Dollar | **EGP** | Egyptian Pound | **MXN** | Mexican Peso |
| **BRL** | Brazilian Real | **EUR** | Euro | **NGN** | Nigerian Naira |
| **CAD** | Canadian Dollar | **GBP** | British Pound | **PEN** | Peruvian New Sol |
| **CNH** | Chinese Renminbi (Offshore) | **HKD** | Hong Kong Dollar | **PLN** | Polish Zloty |
| **CNY** | Chinese Renminbi (Mainland) | **IDR** | Indonesian Rupiah | **TRY** | Turkish New Lira |
| **COP** | Colombian Peso | **JPY** | Japanese Yen | **USD (or $)** | United States Dollar |
| **CZK** | Czech Koruna | **KWD** | Kuwaiti Dinar | **ZAR** | South African Rand |
| **DOP** | Dominican Peso | **KZT** | Kazakhstani Tenge |  |  |
| **Exchange Abbreviations:** | **Exchange Abbreviations:** |  |  |  |  |
| **OTC** | Over the Counter |  |  |  |  |
| **Index/Spread Abbreviations:** | **Index/Spread Abbreviations:** |  |  |  |  |
| **ABX.HE** | Asset-Backed Securities Index - Home Equity | **FHMMUSTF** | Federated Hermes US Treasury Cash Reserves <br> Fund Yield | **PENAAA** | Penultimate AAA Sub-Index |
| **BISTREFI** | Turkish Lira Overnight Reference Rate | **GSMMUSTF** | Goldman Sachs Money Market US Treasury Fund <br> Index | **SOFR** | Secured Overnight Financing Rate |
| **BNMMDTSC** | Dreyfus Treasury Securites Cash Management Fund Yield | **GSMMUSTI** | Goldman Sachs Money Market US Treasury <br> Instrument Index | **SONIO** | Sterling Overnight Interbank Average Rate |
| **BRMMUSDF** | BlackRock Money Market US Treasury Fund Index | **HSMMUSTF** | HSBC UST Money Market Yield | **TSFR1M** | Term SOFR 1-Month |
| **EUR001M** | 1 Month EUR Swap Rate | **JMMMUSTF** | JP Morgan Money Market US Treasury Fund Index | **TSFR3M** | Term SOFR 3-Month |
| **EUR003M** | 3 Month EUR Swap Rate | **JY0003M** | 3 Month JPY-LIBOR | **TSFR6M** | Term SOFR 6-Month |
| **EUR006M** | 6 Month EUR Swap Rate | **MSMMUSTF** | MSILF Money Market US Treasury Fund Index | **US0003M** | ICE 3-Month USD LIBOR |
| **EUR012M** | 12 Month EUR Swap Rate |  |  |  |  |
| **Municipal Bond or Agency Abbreviations:** | **Municipal Bond or Agency Abbreviations:** |  |  |  |  |
| **ACA** | American Capital Access Holding Ltd. |  |  |  |  |
| **Other Abbreviations:** | **Other Abbreviations:** |  |  |  |  |
| **ABS** | Asset-Backed Security | **DAC** | Designated Activity Company | **PIK** | Payment-in-Kind |
| **ALT** | Alternate Loan Trust | **EBITDA** | Earnings before Interest, Taxes, Depreciation and Amoritization | **REMIC** | Real Estate Mortgage Investment Conduit |
| **BRL-CDI** | Brazil Interbank Deposit Rate | **EURIBOR** | Euro Interbank Offered Rate | **TBA** | To-Be-Announced |
| **CBO** | Collateralized Bond Obligation | **JSC** | Joint Stock Company | **TBD** | To-Be-Determined |
| **CDO** | Collateralized Debt Obligation | **OIS** | Overnight Index Swap | **TBD%** | Interest rate to be determined when loan <br> settles or at the time of funding |
| **CLO** | Collateralized Loan Obligation |  |  |  |  |

---

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Dynamic Income Fund

- **b. Investment Company Act file number:** 811-22673

- **c. CIK number of Registrant:** 0001510599

- **d. LEI of Registrant:** F0MWMXS5YG3P711FB044

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

  - **Street Address 1:** 1633 Broadway

  - **City:** New York

  - **State:** NY

  - **Foreign country:** US

  - **Zip / Postal Code:** 10019

  - **Telephone number:** (844) 337-4626

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

- **a. Name of Series:** N/A

- **c. LEI of Series:** N/A

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

- **a. Date of fiscal year-end:** 2026-06-30

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $11802998351.54

**Total Liabilities:** $4480140108.12

**Net Assets:** $7322858243.42

**Delayed Delivery Securities:** $92850749.97

**Cash Not Reported:** $207308741.75

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 40073.744000 | **1-Year:** 49672.952200 | **5-Year:** 192670.874500 | **10-Year:** 52962.655400 | **30-Year:** -40799.269500

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

- **3-Month:** 761404.460700 | **1-Year:** 450924.629200 | **5-Year:** 982835.728000 | **10-Year:** 409626.172100 | **30-Year:** 37424.260400

**Monthly Return Information**

| Class        | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID N/A | 4.35%                | -0.15%               | -3.62%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $9666154.86              | $6929021.00                                |
| Month 2  | $16132416.24             | $-126308654.96                             |
| Month 3  | $-42029385.59            | $-140838201.99                             |

### Schedule of Portfolio Investments

| Name                                                                       | Title                                                         | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |      Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                        | BOUGHT PLN SOLD USD 20260422                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-10366.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-J1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A3              | CUSIP: 02149MAR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2428260 | PA      | $895219.39     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES CORP 2021-NYAH              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 NYAH E 144A         | CUSIP: 46654EAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1712094.00    | 0.02%             | 2038-06-15      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $22308386.06   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| JOINT STOCK COMPANY DEVELOPMENT BANK OF KAZAKHSTAN                         | DEVELOPMENT BANK OF KAZA SR UNSECURED 144A 10/28 18.4         | CUSIP: 48129VAF3<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | CORP              | KZ        |   1026000000 | PA      | $2205936.58    | 0.03%             | 2028-10-16      | Fixed         | 18.40%                | No            |                  2 | On Loan: No      |
| MERLIN ENTERTAINMENTS (MOTION FINCO SARL)                                  | MOTION FINCO SARL SR SECURED 144A 02/32 8.375                 | CUSIP: 61980LAB5<br>LEI: 2549002L1LBQZKA7UN30 | Long             | DBT              | CORP              | LU        |      1200000 | PA      | $992873.88     | 0.01%             | 2032-02-15      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260528                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-2890.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                               | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 0.0000            | CUSIP: ACI1Q6QQ6<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     10260000 | PA      | $8600445.00    | 0.12%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VERDE CDO LTD 2005-1A                                                      | VERDE CDO LTD VERDE 2005 1A A1 144A                           | CUSIP: 923367AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    240688457 | PA      | $44737244.92   | 0.61%             | 2045-10-05      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| IVANTI SECURITY HOLDINGS LLC                                               | IVANTI SOFTWARE INC 2025 NEWCO TERM LOAN                      | CUSIP: 46583VAB5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     11823522 | PA      | $11838301.63   | 0.16%             | 2029-06-01      | Floating      | 9.41%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM2                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2024 NQM2 XS 144A          | CUSIP: 64832BAK1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465841189 | PA      | $17778130.20   | 0.24%             | 2064-09-25      | Variable      | 2.34%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-BC1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC1 M6                | CUSIP: 126673YP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       430349 | PA      | $427126.97     | 0.01%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260521                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-298827.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN TRUST 2011-RR1                                   | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2011 RR1 A3 144A         | CUSIP: 94987TAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2028130 | PA      | $1882403.08    | 0.03%             | 2036-04-27      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2014-150E                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2014 150E A 144A           | CUSIP: 61764BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25312000 | PA      | $23468375.17   | 0.32%             | 2032-09-09      | Fixed         | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -10902192 | PA      | $-10909218.12  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 1 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TERM LOAN RESTRUC      | CUSIP: 948FWJII8<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     50217880 | PA      | $7446219.16    | 0.10%             | 2028-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -19381150 | PA      | $-19546665.03  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTAGE SEC INC 2004-R3                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R3 M2                | CUSIP: 03072SQD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       110094 | PA      | $109626.39     | 0.00%             | 2034-05-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                            | BEAR STEARNS ALT A TRUST BALTA 2005 9 25A1                    | CUSIP: 07386HYF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18547 | PA      | $11517.46      | 0.00%             | 2035-11-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2007-FLX1                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 FLX1 A3              | CUSIP: 45668WAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1770046 | PA      | $1170858.31    | 0.02%             | 2037-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA4 A2              | CUSIP: 02150DAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3026941 | PA      | $2405409.80    | 0.03%             | 2047-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A15             | CUSIP: 74922EAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        58677 | PA      | $48202.57      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                            | COSTA RICA GOVERNMENT BONDS 144A 01/36 6.001                  | CUSIP: ACI3859N0<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |      1000000 | PA      | $1191173.00    | 0.02%             | 2036-01-16      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $18525.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260916                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-19335.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-6                                                   | FANNIE MAE FNR 2013 6 JS                                      | CUSIP: 3136ABN25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1111978 | PA      | $123195.21     | 0.00%             | 2043-02-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2                   | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A4             | CUSIP: 46628TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2460786 | PA      | $1159023.75    | 0.02%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                       | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    276200000 | PA      | $6193547.51    | 0.08%             | 2028-05-17      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OC1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC1 1A1             | CUSIP: 12668BJD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5844445 | PA      | $5653522.96    | 0.08%             | 2036-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD KWD BOUGHT USD 20300509                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $118282.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC SERIES 2015-8R                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 8R 3A2 144A            | CUSIP: 12650NAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5274070 | PA      | $4466320.52    | 0.06%             | 2037-11-25      | Floating      | 35.04%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -20826714 | PA      | $-20861783.47  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2007-HE1                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 HE1 AF4             | CUSIP: 46630KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2256257 | PA      | $1463706.66    | 0.02%             | 2047-03-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2026-NQM1                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2026 NQM1 B3 144A          | CUSIP: 64832LAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2320000 | PA      | $2064428.57    | 0.03%             | 2065-11-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NOMURA                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6440052 | PA      | $-6465096.94   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 B 144A         | CUSIP: 46649JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9983671 | PA      | $9740942.88    | 0.13%             | 2035-02-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-3                                              | COUNTRYWIDE HOME LOANS CWHL 2006 3 2A2                        | CUSIP: 126694YN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11524 | PA      | $10679.79      | 0.00%             | 2036-03-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PEMEX SNR LA SP CBK                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1006676.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260504                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-646.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP E 144A            | CUSIP: 12651QAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7454000 | PA      | $7415195.97    | 0.10%             | 2032-07-15      | Floating      | 6.99%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                            | 20 TSQ GROUNDCO LLC TSQ 2018 20TS A 144A                      | CUSIP: 90137LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       141877 | PA      | $136698.21     | 0.00%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                             | HOMEBANC MORTGAGE TRUST HMBT 2005 1 A1                        | CUSIP: 43739EAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2619043 | PA      | $2158806.28    | 0.03%             | 2035-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RE-REMIC TRUST 2010-R4                                      | MORGAN STANLEY REREMIC TRUST MSRR 2010 R4 4B 144A             | CUSIP: 61759FAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1497372 | PA      | $1435035.51    | 0.02%             | 2037-02-26      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-22                                             | COUNTRYWIDE HOME LOANS CWHL 2005 22 2A1                       | CUSIP: 126694LU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       596383 | PA      | $497592.93     | 0.01%             | 2035-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERTS 2005-WF1                                        | ASSET BACKED FUNDING CERTIFICA ABFC 2005 WF1 M5               | CUSIP: 04542BMC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       185372 | PA      | $186901.75     | 0.00%             | 2034-07-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                      | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 A F 144A            | CUSIP: 80290CCN2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1691870 | PA      | $1738384.33    | 0.02%             | 2032-06-15      | Fixed         | 10.17%                | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC)                                            | CENTRAL PARENT INC 2024 TERM LOAN B                           | CUSIP: 15477BAE7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     93399165 | PA      | $66905557.93   | 0.91%             | 2029-07-06      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -20865384 | PA      | $-27640282.23  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX B1A REGS                         | CUSIP: G329A0AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     15554164 | PA      | $19387247.06   | 0.26%             | 2045-09-13      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2            | CUSIP: 12668AKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1108707 | PA      | $613190.83     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260916                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-225912.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CASSINI SAS                                                                | COMEXPOSIUM 2019 EUR 1ST LIEN TLB                             | CUSIP: 945AYZII4<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |     18769557 | PA      | $26467652.34   | 0.36%             | 2031-03-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6897585 | PA      | $-6916342.14   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN ALTERNATIVE LN TRUST 2005-S1                                   | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2005 S1 2A12             | CUSIP: 46627MAX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       463761 | PA      | $301529.96     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HOLDINGS CO COMMON STOCK HKD.1                 | CUSIP: B1VKYN902<br>LEI: 549300MGHLPT1EFHGF84 | Long             | EC               | CORP              | KY        |       602894 | NS      | $24677.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MICHIGAN TOBACCO SETTLEMENT FINANCE AUTHORITY                              | MICHIGAN ST TOBACCO SETTLEMENT MISGEN 06/46 ZEROCPNOID 0      | CUSIP: 594751AL3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     23000000 | PA      | $3127374.40    | 0.04%             | 2046-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-AON            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 AON B 144A          | CUSIP: 46649XAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13293000 | PA      | $8839712.07    | 0.12%             | 2031-07-05      | Variable      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -16175322 | PA      | $-16202482.73  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                             | DATABRICKS INC 2025 DELAYED DRAW TERM LOAN                    | CUSIP: 23803RAF8<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |      2808952 | PA      | $2794907.21    | 0.04%             | 2032-01-05      | Floating      | 1.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2005-D                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2005 D M2                | CUSIP: 456606JQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1025611 | PA      | $804861.85     | 0.01%             | 2036-03-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MORTGAGE LOAN 2011-RR3 TRUST                                   | WELLS FARGO MORTGAGE LOAN TRUS WFMLT 2011 RR3 A5 144A         | CUSIP: 94987VAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2807503 | PA      | $1452615.33    | 0.02%             | 2037-03-27      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR                  | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     17260470 | PA      | $11581775.37   | 0.16%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL3                                       | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL3 M2              | CUSIP: 542514PS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47323964 | PA      | $47144350.15   | 0.64%             | 2035-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                      | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2C                  | CUSIP: 617526AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11445218 | PA      | $6751911.66    | 0.09%             | 2036-11-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCIAL SECURITIZATIONS 2000-1                                   | CONSECO FINANCE SECURITIZATION CNF 2000 1 A5                  | CUSIP: 20846QBP2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2914061 | PA      | $333636.04     | 0.00%             | 2029-09-01      | Fixed         | 8.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PETROLEOS MEXICANOS (PEMEX) LA SP MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-2864.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.75 12/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1803177.62    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260429                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $11423.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-2                                              | SEQUOIA MORTGAGE TRUST SEMT 2007 2 2AA1                       | CUSIP: 81744LAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        67952 | PA      | $54924.22      | 0.00%             | 2038-01-20      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-1                                              | SEQUOIA MORTGAGE TRUST SEMT 2004 1 A                          | CUSIP: 81744FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        68173 | PA      | $61562.58      | 0.00%             | 2034-02-20      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5051                                                    | FREDDIE MAC FHR 5051 SX                                       | CUSIP: 3137F83L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     26979876 | PA      | $1042877.43    | 0.01%             | 2048-11-15      | Floating      | 0.58%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-6                                            | BEAR STEARNS ALT A TRUST BALTA 2006 6 2A1                     | CUSIP: 073868AM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1401211 | PA      | $590329.42     | 0.01%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-485L                                | GS MORTGAGE SECURITIES TRUST GSMS 2017 485L B 144A            | CUSIP: 36252CAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1501000 | PA      | $1429894.03    | 0.02%             | 2037-02-10      | Fixed         | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2578632 | PA      | $-2596739.96   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SREIT TRUST 2021-MFP2                                                      | SREIT TRUST SREIT 2021 MFP2 A 144A                            | CUSIP: 85236WCE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       160000 | PA      | $159925.39     | 0.00%             | 2036-11-15      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM B 144A            | CUSIP: 04965JAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2949000.00    | 0.04%             | 2036-12-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3250638 | PA      | $-3258951.51   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -22701063 | PA      | $-22874789.13  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 12A3             | CUSIP: 161630BZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       747576 | PA      | $729796.14     | 0.01%             | 2037-03-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL2                                       | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M4              | CUSIP: 542514NE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3400000 | PA      | $3160867.80    | 0.04%             | 2035-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OC1                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OC1 A1              | CUSIP: 93936FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6195334 | PA      | $5696696.03    | 0.08%             | 2047-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260403                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $18991.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                                    | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1                | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2257763 | PA      | $2247245.69    | 0.03%             | 2036-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT INC/CENTRAL MERGER SUB INC)                     | CNTRL PARENT/CDK GLB INC SR SECURED 144A 06/29 7.25           | CUSIP: 15477CAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     18470000 | PA      | $13312767.81   | 0.18%             | 2029-06-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2002-10                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2002 10 2A1               | CUSIP: 22540VQ47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       512101 | PA      | $516002.25     | 0.01%             | 2032-05-25      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                           | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1                      | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       222980 | PA      | $211683.76     | 0.00%             | 2036-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625              | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |      7200000 | PA      | $5040000.00    | 0.07%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 1A1                | CUSIP: 05951VAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14251 | PA      | $14113.11      | 0.00%             | 2036-12-20      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | HSBC REVERSE REPO GBP ZCP                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -6921123 | PA      | $-9183467.33   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | JPM CHASE REVERSE REPO GBP ZCP                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -11604904 | PA      | $-15411769.89  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-669.50       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/29 VAR                     | CUSIP: 45870GAH9<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $300000.00     | 0.00%             | 2029-06-07      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF D 144A           | CUSIP: 61691KAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10059000 | PA      | $9947203.27    | 0.14%             | 2034-11-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                     | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 C 144A             | CUSIP: 78432WAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1760000 | PA      | $1751185.74    | 0.02%             | 2038-05-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR15                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR15 1A1             | CUSIP: 45660LBE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       178313 | PA      | $164466.86     | 0.00%             | 2035-02-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3384                                                           | FREDDIE MAC FHR 3384 SM                                       | CUSIP: 31397PCY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       564001 | PA      | $46299.69      | 0.00%             | 2037-05-15      | Floating      | 2.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260406                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-17206.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260421                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-37761.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-11R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 11R 2A2 144A           | CUSIP: 12646QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2578688 | PA      | $1282604.45    | 0.02%             | 2037-12-29      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 31750SDX0 PIMCO FXVAN CALL USD TRY 49.65000000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -3300000 | NC      | $-11299.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.7* 12/16/15-30Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $402551.10     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 2A1                  | CUSIP: 22942JAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       405669 | PA      | $55154.44      | 0.00%             | 2036-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                       | GSAMP TRUST GSAMP 2006 FM1 A2D                                | CUSIP: 362334PK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13444654 | PA      | $8814065.09    | 0.12%             | 2036-04-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-2NU              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 2NU A 144A          | CUSIP: 46592FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8530000 | PA      | $7917296.92    | 0.11%             | 2040-01-05      | Fixed         | 1.97%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 B 144A           | CUSIP: 69544PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       302272 | PA      | $302467.43     | 0.00%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  3 | On Loan: No      |
| KRONOS FUNDING                                                             | KRONOS CLASS X PLACEHODER 144A 4537829K2                      | CUSIP: 990ADDMV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17071000 | PA      | $17418626.90   | 0.24%             | 2026-04-15      | Floating      | 7.98%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -7911534 | PA      | $-7972717.04   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| PERATON CORP                                                               | PERATON CORP TERM LOAN B                                      | CUSIP: 71360HAB3<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |    179825738 | PA      | $153901160.55  | 2.10%             | 2028-02-01      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                      | BBCCRE TRUST BBCCR 2015 GTP A 144A                            | CUSIP: 05490TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28700000 | PA      | $26834299.10   | 0.37%             | 2033-08-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG             | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |       200000 | PA      | $70000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4549384 | PA      | $-4606377.25   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                           | PROJECT CASHMERE CLASS M 144A                                 | CUSIP: 990ABJSM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     13260000 | PA      | $9148739.46    | 0.12%             | 2057-12-30      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | RBC DOMINION REVERSE REPO CAD REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | CA        |     -1334518 | PA      | $-961917.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-9                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 9 2A1A              | CUSIP: 41161XAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       418933 | PA      | $399555.23     | 0.01%             | 2036-11-19      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $682.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CIBC                                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2795298 | PA      | $-2822973.24   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260504                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-37729.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A3               | CUSIP: 761119AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6249467 | PA      | $1507475.28    | 0.02%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 2A3             | CUSIP: 021455AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5866890 | PA      | $5222851.03    | 0.07%             | 2036-07-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                         | ALTICE FRANCE SA 2025 TERM LOAN B12                           | CUSIP: BA000QFP8<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |     22797011 | PA      | $22732950.92   | 0.31%             | 2028-10-30      | Floating      | 8.74%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                     | VENTURE GLOBAL LNG INC JR SUBORDINA 144A 12/99 VAR            | CUSIP: 92332YAF8<br>LEI: 54930011XLBUWMQUC829 | Long             | EP               | CORP              | US        |     13530000 | NS      | $13481156.70   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -36824316 | PA      | $-36829205.34  | -0.50%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-86743.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                    | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC A 144A           | CUSIP: 05591UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6135265 | PA      | $5837765.42    | 0.08%             | 2038-08-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CLOVER HOLDINGS 2 LLC                                                      | CLOVER HOLDINGS 2 LLC REVOLVER                                | CUSIP: 18914DAD0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      6574791 | PA      | $6061003.96    | 0.08%             | 2029-12-10      | Floating      | 0.24%                 | No            |                  2 | On Loan: No      |
| MRCD 2019-PARK MORTGAGE TRUST                                              | MRCD MORTGAGE TRUST MRCD 2019 PARK A 144A                     | CUSIP: 55348UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $895500.00     | 0.01%             | 2036-12-15      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 2A              | CUSIP: 761118CW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       435054 | PA      | $387424.79     | 0.01%             | 2035-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A23            | CUSIP: 02146TAY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       209019 | PA      | $104778.95     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                      | BBCCRE TRUST BBCCR 2015 GTP B 144A                            | CUSIP: 05490TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12400000 | PA      | $11141820.36   | 0.15%             | 2033-08-10      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2026-NQM1                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2026 NQM1 AIOS 144A        | CUSIP: 64832LAN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167417109 | PA      | $685815.81     | 0.01%             | 2065-11-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260415                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-4975.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M5              | CUSIP: 76110W7H3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1812674 | PA      | $1530609.67    | 0.02%             | 2035-12-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X D1A REGS                           | CUSIP: G3299TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      8666547 | PA      | $9405694.14    | 0.13%             | 2045-06-13      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4687                                                    | FREDDIE MAC FHR 4687 SG                                       | CUSIP: 3137BY4V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       195359 | PA      | $22757.72      | 0.00%             | 2047-01-15      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A SUB 144A         | CUSIP: 03290BAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5100000 | PA      | $2967732.84    | 0.04%             | 2039-07-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR11                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR11 1A              | CUSIP: 93363TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1982852 | PA      | $1685056.98    | 0.02%             | 2046-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-1                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 1 3A22               | CUSIP: 007037BP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1052279 | PA      | $995498.43     | 0.01%             | 2037-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                       | COLLEGE AVE STUDENT LOANS CASL 2024 A D 144A                  | CUSIP: 19424RAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3811000 | PA      | $4026224.70    | 0.05%             | 2054-06-25      | Fixed         | 8.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-12252.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 3A                | CUSIP: 07384MW81<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         9727 | PA      | $9478.27       | 0.00%             | 2034-09-25      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE MTGE SEC INC 2004-1                                               | DEUTSCHE MORTGAGE SECURITIES, DMSI 2004 1 1A1                 | CUSIP: 251563CG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48195 | PA      | $48899.24      | 0.00%             | 2033-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CORONADO CDO LTD 1A                                                        | CORONADO CDO LTD CORON 1A B2 144A                             | CUSIP: 21976RAE6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3417659 | PA      | $1125206.25    | 0.02%             | 2038-09-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | FWD0M1442 COLOMBIA GOVT                                       | CUSIP: 990ADDTQ0<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        |    398700000 | PA      | $83567.25      | 0.00%             | 2031-03-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -9862420 | PA      | $-11413814.84  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-AC1                        | BEAR STEARNS ASSET BACKED SECU BSABS 2006 AC1 22A2            | CUSIP: 07387UCY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       220087 | PA      | $117157.62     | 0.00%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2013-M1                                             | SLM STUDENT LOAN TRUST SLMA 2013 M1 M1R 144A                  | CUSIP: 78447T103<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        36440 | PA      | $11203689.65   | 0.15%             | 2029-10-28      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE1                        | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE1 2M1             | CUSIP: 07389UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6479231 | PA      | $6320535.15    | 0.09%             | 2037-01-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                     | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M5                | CUSIP: 57643LJJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        59176 | PA      | $67068.08      | 0.00%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV6                 | CUSIP: 126673B92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       469389 | PA      | $466753.43     | 0.01%             | 2035-08-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| PRIME HEALTHCARE SERVICES INC                                              | PRIME HEALTHCARE SERVICE SR SECURED 144A 09/29 9.375          | CUSIP: 74165HAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1100000 | PA      | $1141464.50    | 0.02%             | 2029-09-01      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDA MTGE LOAN TRUST 2006-AR3                                      | INDYMAC INDA MORTGAGE LOAN TRU INDA 2006 AR3 1A1              | CUSIP: 45662FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       343522 | PA      | $263033.88     | 0.00%             | 2036-12-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| BAUSCH HEALTH COS (1261229 BC LTD)                                         | BAUSCH HEALTH COMPANIES INC 2025 TERM LOAN B                  | CUSIP: C6903HAB0<br>LEI: N/A                  | Long             | LON              | CORP              | CA        |     29162088 | PA      | $28222339.44   | 0.39%             | 2030-10-08      | Floating      | 9.92%                 | No            |                  2 | On Loan: No      |
| BWAY MORTGAGE TRUST 2021-1450                                              | BWAY MORTGAGE TRUST BWAY 2021 1450 C 144A                     | CUSIP: 12430YAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4709408.50    | 0.06%             | 2036-09-15      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -67909696 | PA      | $-67964429.75  | -0.93%            |  |  |  | No            |                  2 | On Loan: No      |
| IPL SCHOELLER (TOUCAN FINCO LTD/TOUCAN FINCO CAN INC/TOUCAN FINCO US LLC)  | TOUCAN FINCO LTD/CAN/US SR SECURED 144A 05/30 8.25            | CUSIP: ACI2WX839<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |     62718000 | PA      | $62835504.73   | 0.86%             | 2030-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3                 | ACE SECURITIES CORP. ACE 2005 HE3 M5                          | CUSIP: 004421NG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       891710 | PA      | $732650.28     | 0.01%             | 2035-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| BSREP COMMERCIAL MORTGAGE TRUST 2021-DC                                    | BSREP COMMERCIAL MORTGAGE TRUS BSREP 2021 DC B 144A           | CUSIP: 05591UAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       426060 | PA      | $395969.58     | 0.01%             | 2038-08-15      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4020                                                    | FREDDIE MAC FHR 4020 PI                                       | CUSIP: 3137AMLU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         3338 | PA      | $23.18         | 0.00%             | 2027-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 06/15/22-30Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $27676723.42   | 0.38%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | NISSAN MOTOR CO LTD SNR JP SP MYC                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | JP        |            1 | NC      | $-484777.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMDB COMMERCIAL MORTGAGE SECURITIES TRUST  2019-COR6                      | JPMDB COMMERCIAL MORTGAGE SECU JPMDB 2019 COR6 A4             | CUSIP: 48129RAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1028210 | PA      | $937432.73     | 0.01%             | 2052-11-13      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                     | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/32 7.507          | CUSIP: 126650BS8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1261410 | PA      | $1332299.84    | 0.02%             | 2032-01-10      | Fixed         | 7.51%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 B5 144A          | CUSIP: 64828XAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8300000 | PA      | $4877000.32    | 0.07%             | 2059-11-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $3413.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260409                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $490.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-2                                                   | FANNIE MAE FNR 2020 2 S                                       | CUSIP: 3136B8JL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5205265 | PA      | $578915.02     | 0.01%             | 2059-07-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2C                  | CUSIP: 61750FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6142482 | PA      | $2108250.40    | 0.03%             | 2036-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -13130364 | PA      | $-13178465.07  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260504                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $20854.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-53                                                         | FANNIE MAE FNR 2007 53 SL                                     | CUSIP: 31396WCX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       127611 | PA      | $7948.60       | 0.00%             | 2037-06-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | YAHOO (AKA: AP CORE HOLDI TL TRS BKL BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $162364.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-49493.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95                 | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |         4000 | PA      | $1246.67       | 0.00%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET CERT2005-FF8                                   | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF8 M3                | CUSIP: 362341QT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5632998 | PA      | $5313056.76    | 0.07%             | 2035-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP LLC / COGENT FINANCE INC                       | COGENT COMMS GRP / FIN COMPANY GUAR 144A 06/27 7              | CUSIP: 19240CAE3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1300000 | PA      | $1286808.38    | 0.02%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR10-I                                                 | BCAP LLC TRUST BCAP 2012 RR10 1A2 144A                        | CUSIP: 05541HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6589911 | PA      | $5375708.99    | 0.07%             | 2037-02-26      | Floating      | 2.30%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                            | HOUT BAY HOUT 2006 1A A2 144A                                 | CUSIP: 442451AB6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4870530 | PA      | $6180.70       | 0.00%             | 2041-07-05      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -7611650 | PA      | $-8814231.42   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTERNATIVE LOAN TRUST 2006-27CB                                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 27CB A7             | CUSIP: 02147YAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       203841 | PA      | $103983.60     | 0.00%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUND TRUST 2006-OH1                                    | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1               | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       397683 | PA      | $372467.33     | 0.01%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO GBP ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -3216938 | PA      | $-4267834.05   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1                          | FREDDIE MAC   SCRT SCRT 2022 1 M 144A                         | CUSIP: 35563PC80<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3900000 | PA      | $3636945.00    | 0.05%             | 2061-11-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | WORLDLINE SNR SE ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |            1 | NC      | $-335145.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2848654 | PA      | $-2859542.88   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2005-HE3               | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE3 M5              | CUSIP: 04541GQY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        38593 | PA      | $45577.08      | 0.00%             | 2035-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| ANTHRACITE LTD 2004-HY1A                                                   | ANTHRACITE LTD SER 2004 HY1 CL D 144A                         | CUSIP: 03702YAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2020690 | PA      | $20.21         | 0.00%             | 2041-06-20      | Fixed         | 5.68%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                               | ALAMO RE LTD UNSECURED 144A 06/27 VAR                         | CUSIP: 011395AP5<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |      1250000 | PA      | $1295625.00    | 0.02%             | 2027-06-07      | Floating      | 11.94%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 1A                | CUSIP: 126670KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11875749 | PA      | $11016339.32   | 0.15%             | 2036-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                           | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 1A1                      | CUSIP: 362341WX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       115096 | PA      | $55502.42      | 0.00%             | 2035-11-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A            | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2744258 | PA      | $2673144.63    | 0.04%             | 2046-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-3                                               | BEAR STEARNS ALT A TRUST BALTA 2005 3 1A1                     | CUSIP: 07386HRU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        94699 | PA      | $89453.66      | 0.00%             | 2035-04-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| ANGOLA GOVT                                                                | REPUBLIC OF ANGOLA SR UNSECURED REGS 11/29 8                  | CUSIP: ACI1H0020<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |      7400000 | PA      | $7327385.58    | 0.10%             | 2029-11-26      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GATEWAY CASINOS & ENTERTAINMENT LIMITED                                    | GATEWY CSINS + ENTRTINMNT LTD 2024 TERM LOAN B                | CUSIP: BA000DCX3<br>LEI: 549300JSKBQMMD1B3U44 | Long             | LON              | CORP              | CA        |     67138015 | PA      | $67305859.68   | 0.92%             | 2030-12-18      | Floating      | 9.94%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-OA1                                     | DEUTSCHE ALT A SECURITIES INC DBALT 2007 OA1 A1               | CUSIP: 25151VAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       271589 | PA      | $151824.70     | 0.00%             | 2047-02-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| OCADO GROUP PLC                                                            | OCADO GROUP PLC COMPANY GUAR REGS 08/29 10.5                  | CUSIP: ACI2QDHC0<br>LEI: 213800LO8F61YB8MBC74 | Long             | DBT              | CORP              | GB        |     47950000 | PA      | $62764030.69   | 0.86%             | 2029-08-08      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| MARBLE POINT CLO XXIII LTD                                                 | MARBLE POINT CLO XXIII LTD. MP23 2021 4A SUB 144A             | CUSIP: 566068AC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     17150000 | PA      | $4725520.78    | 0.06%             | 2052-01-22      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY4                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY4 3A1             | CUSIP: 02150QAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        64099 | PA      | $59903.81      | 0.00%             | 2037-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260415                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-5467.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ESKOM GG LOAN SNR EM SP DUB                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $948679.04     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                             | WORLDWIDE PLAZA TRUST WPT 2017 WWP E 144A                     | CUSIP: 98162JAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8000000 | PA      | $84504.00      | 0.00%             | 2036-11-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2D                  | CUSIP: 61750SAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3217793 | PA      | $1404265.58    | 0.02%             | 2036-10-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2005-HE2                                      | MASTR ASSET BACKED SECURITIES MABS 2005 HE2 M4                | CUSIP: 57643LKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1553000 | PA      | $1460875.26    | 0.02%             | 2035-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES A COMMON STOCK EUR.1               | CUSIP: BXC8GV902<br>LEI: 959800U3NGPXSCQHQW54 | Long             | EC               | CORP              | ES        |      4079279 | NS      | $1416585.27    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -828844 | PA      | $-829330.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2008-10                                                         | FANNIE MAE FNR 2008 10 LI                                     | CUSIP: 31396YKY7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       536043 | PA      | $60766.80      | 0.00%             | 2038-03-25      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                     | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 FAME E 144A          | CUSIP: 63873VAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       900000 | PA      | $344957.49     | 0.00%             | 2036-08-15      | Variable      | 4.40%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2007-2                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2007 2 A6                | CUSIP: 05952FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       462941 | PA      | $342027.19     | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2006-3                                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A9               | CUSIP: 05950LAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       394538 | PA      | $333842.30     | 0.00%             | 2036-10-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 08/29 11                           | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  34125300000 | PA      | $8604036.28    | 0.12%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                            | HOUT BAY HOUT 2006 1A A1 144A                                 | CUSIP: 442451AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    109166463 | PA      | $17084442.32   | 0.23%             | 2041-07-05      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR1                                          | SECURITIZED ASSET BACKED RECEI SABR 2006 FR1 M1               | CUSIP: 81375WJU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8321309 | PA      | $7273829.56    | 0.10%             | 2035-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                       | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4                 | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4020499 | PA      | $718879.64     | 0.01%             | 2036-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| SG COMMERCIAL MORTGAGE SECURITIES TRUST 2020-COVE                          | SG COMMERCIAL MORTGAGE SECURIT SGCMS 2020 COVE A 144A         | CUSIP: 78397FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3660000 | PA      | $3509276.44    | 0.05%             | 2037-03-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6165241 | PA      | $-6195082.30   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CZK BOUGHT USD 20260415                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $-528.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-6                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 6 1A1               | CUSIP: 07384MW40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12790 | PA      | $12620.66      | 0.00%             | 2034-09-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 07/36 6.25                         | CUSIP: ACI1V3D81<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  89924100000 | PA      | $15555609.90   | 0.21%             | 2036-07-09      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                           | BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1                   | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2452237 | PA      | $2403403.56    | 0.03%             | 2036-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3868                                                    | FREDDIE MAC FHR 3868 SA                                       | CUSIP: 3137AAEG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       473615 | PA      | $41248.53      | 0.00%             | 2041-05-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE9                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE9 M2              | CUSIP: 073879R59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       411587 | PA      | $413421.18     | 0.01%             | 2035-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 31750SE92 PIMCO FXVAN CALL USD TRY 49.65000000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -3400000 | NC      | $-15888.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                     | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 FAME A 144A          | CUSIP: 63873VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28190000 | PA      | $25929934.41   | 0.35%             | 2036-08-15      | Fixed         | 3.05%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR23                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR23 6A1             | CUSIP: 45660LF95<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1829073 | PA      | $1774750.34    | 0.02%             | 2035-11-25      | Floating      | 3.71%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 B2 144A           | CUSIP: 12657GAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7566748 | PA      | $5500775.34    | 0.08%             | 2060-10-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -18840840 | PA      | $-18873078.77  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R4                                      | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R4 1A2 144A          | CUSIP: 05958SAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4070660 | PA      | $3560530.15    | 0.05%             | 2036-05-26      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING PLC STRA 2024 2A Z 144A             | CUSIP: ACI2S8TP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3433000 | PA      | $3754391.49    | 0.05%             | 2050-06-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING 06/50 0                             | CUSIP: ACI2S8Z13<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          145 | PA      | $374137.77     | 0.01%             | 2050-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LN TRUST 2005-1CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 1CB 2A1             | CUSIP: 12667F2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       281718 | PA      | $121379.46     | 0.00%             | 2035-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-39CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 39CB 1A20           | CUSIP: 02148JAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       505388 | PA      | $411319.99     | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2005-HE2                                        | MORGAN STANLEY CAPITAL INC MSAC 2005 HE2 M6                   | CUSIP: 61744CNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       926731 | PA      | $831158.72     | 0.01%             | 2035-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                       | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   1484300000 | PA      | $33267451.36   | 0.45%             | 2028-09-06      | Fixed         | 39.28%                | No            |                  2 | On Loan: No      |
| GLACIER FUNDING CDO III LTD 2005-3A                                        | GLACIER FUNDING CDO GLCR 2005 3A A1 144A                      | CUSIP: 37638XAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     31282418 | PA      | $1983899.66    | 0.03%             | 2035-08-04      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| CHEPLAPHARM ARZNEIMITTEL GMBH                                              | CHEPLAPHARM ARZNEIMITTEL SR SECURED REGS 05/30 7.5            | CUSIP: ACI2FPJG4<br>LEI: 529900ONXKBELT7EW052 | Long             | DBT              | CORP              | DE        |      4243000 | PA      | $4954706.95    | 0.07%             | 2030-05-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| VOUSSOIR RE LTD                                                            | WAFC VOUSSOIR WAFC VOUSSOIR                                   | CUSIP: 957IQY903<br>LEI: 549300XW5WDY1508DB60 | Long             | EP               | CORP              | US        |     16767702 | NS      | $16767702.00   | 0.23%             |  |  |  | No            |                  3 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-3                                    | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 3 3A1                | CUSIP: 86363GAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       990275 | PA      | $372653.91     | 0.01%             | 2047-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                   | SOFTBANK VISION FUND II TRANCHE B1 TERM LOAN                  | CUSIP: BA000KP88<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     25164876 | PA      | $25585129.64   | 0.35%             | 2029-04-25      | Floating      | 7.35%                 | No            |                  3 | On Loan: No      |
| START IRELAND 2019-1                                                       | START LTD. STARR 2019 1 A 144A                                | CUSIP: 85573LAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | BM        |       350185 | PA      | $350450.14     | 0.00%             | 2044-03-15      | Fixed         | 4.09%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-3                                              | ROCKFORD TOWER CLO LTD ROCKT 2017 3A SUB 144A                 | CUSIP: 77341TAC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4966667 | PA      | $26694.10      | 0.00%             | 2030-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -6891720 | PA      | $-7985905.04   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/0.75000 09/21/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $23459563.44   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-10R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 10R 3A2 144A           | CUSIP: 12646NAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1867910 | PA      | $1645272.47    | 0.02%             | 2036-05-26      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR TRUST 2022-DNA1                                          | FREDDIE MAC   STACR STACR 2022 DNA1 B2 144A                   | CUSIP: 35564KQZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3800000 | PA      | $3943937.92    | 0.05%             | 2042-01-25      | Floating      | 10.76%                | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2025 TERM LOAN                             | CUSIP: BA000SL02<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |     69950000 | PA      | $71263807.90   | 0.97%             | 2030-09-25      | Floating      | 9.67%                 | No            |                  3 | On Loan: No      |
| DENALI INTERMEDIATE HOLDINGS INC                                           | DUN + BRADSTREET CORPOR THE 2025 TERM LOAN                    | CUSIP: BA000K739<br>LEI: 2549003M8H6SW81O1D67 | Long             | LON              | CORP              | US        |     13607961 | PA      | $13340289.29   | 0.18%             | 2032-08-26      | Floating      | 9.18%                 | No            |                  3 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A1                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A1 2A1               | CUSIP: 59020U5W1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4876744 | PA      | $2235249.71    | 0.03%             | 2036-03-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M3               | CUSIP: 59020UUY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       179687 | PA      | $178130.73     | 0.00%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                              | BSST MORTGAGE TRUST BSST 2021 1818 B 144A                     | CUSIP: 07403PAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1330000 | PA      | $617428.83     | 0.01%             | 2036-03-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| SBNA AUTO RECEIVABLES TRUST 2025-SF1                                       | SBNA AUTO RECEIVABLES TRUST SBAT 2025 SF1 F 144A              | CUSIP: 78437XAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       900000 | PA      | $909425.97     | 0.01%             | 2033-06-15      | Fixed         | 8.71%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-1                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 1 5A1                | CUSIP: 007037AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       497451 | PA      | $657249.07     | 0.01%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 25-NPL14                              | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL14 A1 144A        | CUSIP: 69393CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5422992 | PA      | $5390375.70    | 0.07%             | 2055-12-25      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                    | ION PLAT FIN US/SARL SR SECURED 144A 05/29 8.75               | CUSIP: 46206AAD4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     13938000 | PA      | $12976630.21   | 0.18%             | 2029-05-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -16063300 | PA      | $-16119811.95  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260610                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-805.35       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260420                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $12383.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B3 144A               | CUSIP: 59981TAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1532000 | PA      | $1093026.08    | 0.01%             | 2059-08-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| ASG RESECURITIZATION TRUST 2010-2                                          | ASG RESECURITIZATION TRUST ASG 2010 2 M30 144A                | CUSIP: 001990BM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6569163 | PA      | $5575441.39    | 0.08%             | 2037-01-28      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-20908.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-10                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 10 1A2                | CUSIP: 61748HRT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       138265 | PA      | $85847.87      | 0.00%             | 2035-12-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-IRON                                     | BX TRUST BX 2021 IRON E 144A                                  | CUSIP: 05608JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1738057 | PA      | $1731146.21    | 0.02%             | 2038-02-15      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260401                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $37761.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                      | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2B                  | CUSIP: 617526AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1049921 | PA      | $618733.12     | 0.01%             | 2036-11-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                    | REACH FINANCIAL LLC REACH 2025 1A D 144A                      | CUSIP: 75525PAD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       500000 | PA      | $521072.70     | 0.01%             | 2032-08-16      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| GSMBS 2025-NQM3                                                            | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM3 X 144A          | CUSIP: 36274TAH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    302023292 | PA      | $12533966.60   | 0.17%             | 2065-11-25      | Variable      | 2.18%                 | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                       | SOHO TRUST 2021 SOHO SOHO 2021 SOHO C 144A                    | CUSIP: 83410JAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3500000 | PA      | $2724737.40    | 0.04%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR5                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR5 2A2A             | CUSIP: 17311LAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       229107 | PA      | $207033.87     | 0.00%             | 2037-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260420                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $31736.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -9701781 | PA      | $-9725792.79   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 2A1              | CUSIP: 93362FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       762543 | PA      | $715022.75     | 0.01%             | 2036-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-WMC1                                      | JP MORGAN MORTGAGE ACQUISITION JPMAC 2005 WMC1 M4             | CUSIP: 46626LBL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2300000 | PA      | $2136369.49    | 0.03%             | 2035-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-ACNT                                     | BX TRUST BX 2021 ACNT D 144A                                  | CUSIP: 05609QAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16715315 | PA      | $16710106.78   | 0.23%             | 2038-11-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO SAS)                                    | POSEIDON BIDCO SASU 2023 EUR TERM LOAN B                      | CUSIP: 953RGXII1<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |     93660000 | PA      | $32477079.49   | 0.44%             | 2030-11-30      | Floating      | 7.50%                 | No            |                  2 | On Loan: No      |
| PEOPLE'S CHOICE HOME LN SEC TR 2005-2                                      | PEOPLE S CHOICE HOME LOAN SECU PCHLT 2005 2 M5                | CUSIP: 71085PCE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       900000 | PA      | $651032.28     | 0.01%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 B5 144A                 | CUSIP: 89178BAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12186125 | PA      | $7426899.56    | 0.10%             | 2059-10-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                            | REPUBLIC OF VENEZUELA SR UNSECURED REGS 08/31 11.95           | CUSIP: P17625AD9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      4500000 | PA      | $2317500.00    | 0.03%             | 2031-08-05      | Fixed         | 11.95%                | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/27 VAR                     | CUSIP: 45870GAF3<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      1400000 | PA      | $1538460.00    | 0.02%             | 2027-06-06      | Floating      | 29.01%                | No            |                  2 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 11/31 4.625                         | CUSIP: 279158AP4<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |      1300000 | PA      | $1156161.24    | 0.02%             | 2031-11-02      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR                | CUSIP: 903724CE0<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      2262170 | PA      | $974995.27     | 0.01%             | 2034-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT BFL 144A        | CUSIP: 46645WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $2629414.50    | 0.04%             | 2033-07-05      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.245 03/25/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-67943.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2006-AB3                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB3 A1               | CUSIP: 25151EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        29669 | PA      | $25863.38      | 0.00%             | 2036-07-25      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                         | FORESEA HLDG S A COMMON STOCK                                 | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |        26354 | NS      | $606142.00     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | DEUTSCHE REVERSE REPO EUR ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -15744148 | PA      | $-18271967.51  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/27 VAR                     | CUSIP: 45870GAC0<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |       250000 | PA      | $255625.00     | 0.00%             | 2027-06-06      | Floating      | 13.26%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -841725 | PA      | $-842322.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-4Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $420838.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                          | NEXSTAR MEDIA INC SR SECURED 144A 09/33 6.5                   | CUSIP: 65346UAB5<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |      3700000 | PA      | $3730428.80    | 0.05%             | 2033-09-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GATEWAY RE LTD                                                             | GATEWAY RE LTD UNSECURED 144A 07/29 VAR                       | CUSIP: 36779CAV8<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |       250000 | PA      | $250000.00     | 0.00%             | 2029-07-06      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -33211640 | PA      | $-33314061.01  | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A5                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A5 1O 144A        | CUSIP: 63546CAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41315094 | PA      | $6315755.84    | 0.09%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| MNSN HOLDINGS INC                                                          | MNSN HOLDINGS INC COMMON STOCK                                | CUSIP: 55339C109<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        25645 | NS      | $1589990.00    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 01/35 11.75                        | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 159863900000 | PA      | $39636012.15   | 0.54%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.50 9/20/23-25Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $870513.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R5                                       | MORGAN STANLEY REREMIC TRUST MSRR 2010 R5 3B 144A             | CUSIP: 61759HAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       910601 | PA      | $960980.96     | 0.01%             | 2037-03-26      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2014-8R                                      | NOMURA RESECURITIZATION TRUST NMRR 2014 8R 2A4 144A           | CUSIP: 65540QAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2777125 | PA      | $2408696.44    | 0.03%             | 2035-09-26      | Variable      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260424                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-31277.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -190092 | PA      | $-190683.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQ CORP 2005-RM1                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 RM1 A2              | CUSIP: 46629NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5195 | PA      | $2287.26       | 0.00%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-2                                              | MARLETTE FUNDING TRUST MFT 2019 2A CERT 144A                  | CUSIP: 57109H102<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        16400 | PA      | $0.00          | 0.00%             | 2029-07-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| COHESITY INC                                                               | CLOVER 2024 HOLDINGS INC VERITAS G PREFERRED                  | CUSIP: 955EHZ901<br>LEI: 254900JU2GC36CXYYG09 | Long             | EP               | CORP              | US        |        93325 | NS      | $1765084.84    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-2 PLC  24-2A                                | STRATTON MORTGAGE FUNDING 06/50 0                             | CUSIP: ACI2S8XL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          145 | PA      | $0.00          | 0.00%             | 2050-06-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                    | ION PLAT FIN US/SARL SR SECURED 144A 05/29 9.5                | CUSIP: 46206AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     33640000 | PA      | $31703298.10   | 0.43%             | 2029-05-30      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-11                                                    | LEHMAN XS TRUST LXS 2006 11 2A4                               | CUSIP: 52522WAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123182 | PA      | $134608.05     | 0.00%             | 2046-06-24      | Variable      | 6.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260505                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $810104.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1844425 | PA      | $-1851723.85   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                  | STEENBOK LUX FINCO 2 SARL EUR 2ND LIEN PIK TERM LOAN A2       | CUSIP: 948FWKII5<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |    174266410 | PA      | $61737028.70   | 0.84%             | 2028-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ASG RESECURITIZATION TRUST 2009-4                                          | ASG RESECURITIZATION TRUST ASG 2009 4 M40 144A                | CUSIP: 00212MBP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24580953 | PA      | $10937983.27   | 0.15%             | 2037-06-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SABESP (NOVA SECURITISATION SARL)                                          | NOVA SECURITISATION SARL SR SECURED 144A 02/31 5.75           | CUSIP: 66984FAA5<br>LEI: 636700QG9R13IDZO4Y16 | Long             | DBT              | CORP              | LU        |      8400000 | PA      | $8137337.04    | 0.11%             | 2031-02-03      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/28 8              | CUSIP: ACI0Z2W07<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |      2521086 | PA      | $1515279.15    | 0.02%             | 2028-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD KWD BOUGHT USD 20290702                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $20999.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TDA FTA 28                                                                 | TITULIZACION DE ACTIVOS TDA 28 A REGS                         | CUSIP: B241Q4II4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |      6489362 | PA      | $4108276.04    | 0.06%             | 2050-10-28      | Floating      | 2.24%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE SA RL                                                 | ION PLATFORM FINANCE SAR SR SECURED REGS 09/30 6.5            | CUSIP: ACI30SMJ2<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | DBT              | CORP              | LU        |      7500000 | PA      | $7240978.05    | 0.10%             | 2030-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                        | SAXON ASSET SECURITIES TRUST SAST 2005 3 M5                   | CUSIP: 805564SW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5547000 | PA      | $3945632.13    | 0.05%             | 2035-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SG COMMERCIAL MORTGAGE SECURITIES TRUST 2020-COVE                          | SG COMMERCIAL MORTGAGE SECURIT SGCMS 2020 COVE B 144A         | CUSIP: 78397FAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2735500 | PA      | $2612557.06    | 0.04%             | 2037-03-15      | Fixed         | 2.94%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-R1                                           | BEAR STEARNS ALT A TRUST BALTA 2006 R1 4E22                   | CUSIP: 073866BH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     44535317 | PA      | $18308179.38   | 0.25%             | 2036-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260421                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $4435.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-2                          | FREDDIE MAC   SCRT SCRT 2018 2 BX                             | CUSIP: 35563PFX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       846305 | PA      | $320918.01     | 0.00%             | 2057-11-25      | Variable      | 1.61%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-10F                                           | GSR MORTGAGE LOAN TRUST GSR 2004 10F 8A3                      | CUSIP: 36242DFC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       205042 | PA      | $208822.63     | 0.00%             | 2034-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -743750 | PA      | $-749002.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2025-NPL6 LLC                                                         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL6 A1 144A         | CUSIP: 740936AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1348546 | PA      | $1351632.68    | 0.02%             | 2055-06-25      | Fixed         | 5.74%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A2             | CUSIP: 83612NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6599994 | PA      | $1744627.19    | 0.02%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | BONOS DE TESORERIA SR UNSECURED 08/32 6.15                    | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |         5000 | PA      | $1502.60       | 0.00%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2002-AR1                                           | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 AR1 M2               | CUSIP: 03072SDC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1147647 | PA      | $1054058.54    | 0.01%             | 2032-09-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-3Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $640725.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2009-R6                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2009 R6 4A2 144A          | CUSIP: 05955DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8008875 | PA      | $2250702.93    | 0.03%             | 2036-07-26      | Variable      | 6.62%                 | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                             | WINSTON RE LTD UNSECURED 144A 02/28 VAR                       | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $306960.00     | 0.00%             | 2028-02-21      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                        | CAPE LOOKOUT RE LTD UNSECURED 144A 04/27 VAR                  | CUSIP: 13947LAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      6500000 | PA      | $6601725.00    | 0.09%             | 2027-04-05      | Floating      | 12.23%                | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF E 144A               | CUSIP: 04410RAN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10939000 | PA      | $10793033.27   | 0.15%             | 2035-04-15      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A1A             | CUSIP: 17311WAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       142625 | PA      | $145719.30     | 0.00%             | 2037-03-25      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| GATEWAY RE LTD                                                             | GATEWAY RE LTD UNSECURED 144A 07/29 VAR                       | CUSIP: 36779CBA3<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |      7400000 | PA      | $7400000.00    | 0.10%             | 2029-07-06      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NOMURA                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -749969 | PA      | $-750574.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| URSA RE II LTD                                                             | URSA RE II LTD UNSECURED 144A 06/28 VAR                       | CUSIP: 91734PAK2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      2300000 | PA      | $2322195.00    | 0.03%             | 2028-06-07      | Floating      | 11.41%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD HKD BOUGHT USD 20260420                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $2387.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | 31750SDE2 PIMCO FXVAN CALL USD TRY 49.65000000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -6700000 | NC      | $-22940.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESECURITIZATION TRUST 2015-R7                              | MORGAN STANLEY REREMIC TRUST MSRR 2015 R7 2B 144A             | CUSIP: 61765PAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8670640 | PA      | $6341624.62    | 0.09%             | 2035-06-26      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-5A                                      | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1AD 144A          | CUSIP: 87331BAB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6514971 | PA      | $6124072.56    | 0.08%             | 2036-08-05      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2007-3    | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 3 A6                | CUSIP: 93936JAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       959706 | PA      | $849501.60     | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                    | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      3711077 | PA      | $3265284.14    | 0.04%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| IPL SCHOELLER (TOUCAN FINCO LTD/TOUCAN FINCO CAN INC/TOUCAN FINCO US LLC)  | TOUCAN FINCO LTD/CAN/US SR SECURED REGS 05/30 8.25            | CUSIP: ACI2WX3R1<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |     12000000 | PA      | $12022482.49   | 0.16%             | 2030-05-15      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -563370 | PA      | $-569023.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATIONS CORP.                                      | CONSECO FINANCE SECURITIZATION CNF 2000 6 A5                  | CUSIP: 20846QFQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       135643 | PA      | $137666.09     | 0.00%             | 2031-09-01      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2006-3                                       | WELLS FARGO HOME EQUITY TRUST WFHET 2006 3 M2                 | CUSIP: 9497EBAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9675487 | PA      | $10175891.72   | 0.14%             | 2037-01-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3577858 | PA      | $-3586581.63   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP F 144A            | CUSIP: 12651QAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15000000 | PA      | $14970924.00   | 0.20%             | 2032-07-15      | Floating      | 8.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260422                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-47124.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -7346641 | PA      | $-7370517.58   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-10H                                                   | LEHMAN XS TRUST LXS 2007 10H 1A3                              | CUSIP: 525237AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22508605 | PA      | $16721545.71   | 0.23%             | 2037-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -558612 | PA      | $-558971.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/17/25-10Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $694748.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MRCD 2019-PRKC MORTGAGE TRUST                                              | MRCD 2019 PRKC MORTGAGE TRUST MRCD 2019 PRKC A 144A           | CUSIP: 55348UAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1500000 | PA      | $198593.40     | 0.00%             | 2036-12-15      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1365.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2002-2                                          | CONSECO FINANCE SECURITIZATION CNF 2002 2 M2                  | CUSIP: 20846QJZ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6940067 | PA      | $7148278.90    | 0.10%             | 2033-03-01      | Variable      | 9.16%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                       | AP CORE HOLDINGS II LLC HIGH YIELD TERM LOAN B2               | CUSIP: 00187GAD1<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |      2351000 | PA      | $2297738.10    | 0.03%             | 2027-09-01      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-121                                                        | FANNIE MAE FNR 2006 121 SD                                    | CUSIP: 31396LR85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       784898 | PA      | $76312.16      | 0.00%             | 2036-12-25      | Floating      | 2.86%                 | No            |                  2 | On Loan: No      |
| PUTNAM STRUCTURED PRODUCT FUNDING 2003-1A LTD                              | PUTNAM STRUCTURED PRODUCT FUND PTNM 2003 1A B 144A            | CUSIP: 74686PAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       676095 | PA      | $348846.93     | 0.00%             | 2038-10-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3638744 | PA      | $-3649926.05   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| INTERNET BRANDS INC (MH SUB I LLC)                                         | MH SUB I LLC 2024 TERM LOAN B4                                | CUSIP: 45567YAP0<br>LEI: 2549005VFKP807SR8N49 | Long             | LON              | CORP              | US        |      4937500 | PA      | $3314296.88    | 0.05%             | 2031-12-31      | Floating      | 7.92%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2024-2                          | FREDDIE MAC   SCRT SCRT 2024 2 BXS 144A                       | CUSIP: 35563PYJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3959820 | PA      | $1978159.14    | 0.03%             | 2064-05-25      | Variable      | 2.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -5609407 | PA      | $-5622936.95   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | YI4360503 NIGERIA OMO BILL                                    | CUSIP: 990ACHTR0<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  79741800000 | PA      | $50118949.86   | 0.68%             | 2027-01-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1                        | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 22A1            | CUSIP: 07389QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2323022 | PA      | $990565.54     | 0.01%             | 2036-10-25      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 1A5             | CUSIP: 12668BSA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       654659 | PA      | $530991.20     | 0.01%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-BXMF                                                         | BX TRUST BX 2021 BXMF E 144A                                  | CUSIP: 05609RAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1074339 | PA      | $1073379.13    | 0.01%             | 2026-10-15      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                         | ECAF LTD ECAF 2015 1A A2 144A                                 | CUSIP: 26827EAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |      2794668 | PA      | $2601761.43    | 0.04%             | 2040-06-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                        | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M3                  | CUSIP: 126673VR0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       270095 | PA      | $257027.94     | 0.00%             | 2035-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                              | HESTIA RE LTD UNSECURED 144A 03/32 VAR                        | CUSIP: 42815KAD4<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |       500000 | PA      | $511025.00     | 0.01%             | 2032-03-13      | Floating      | 11.77%                | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA4                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA4 A1B              | CUSIP: 74923YAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       530831 | PA      | $486478.20     | 0.01%             | 2037-06-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A4             | CUSIP: 83612TAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4757392 | PA      | $3210957.76    | 0.04%             | 2037-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-8                                                        | IMPAC CMB TRUST IMM 2004 8 1A                                 | CUSIP: 45254NKQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11278 | PA      | $11221.55      | 0.00%             | 2034-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV A 144A             | CUSIP: 12660WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $888345.00     | 0.01%             | 2038-07-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -19464207 | PA      | $-19529276.93  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE LUX 3 / ALTICE HOLDINGS 1                                    | ALTICE FRAN LUX 3/HOLD 1 SR UNSECURED 144A 01/33 10           | CUSIP: 020956AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | LU        |     16738324 | PA      | $15231672.31   | 0.21%             | 2033-01-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| JP MORGAN REREMIC 2009-4                                                   | JP MORGAN REREMIC JPMRR 2009 4 4A2 144A                       | CUSIP: 46633JBD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3825408 | PA      | $1086840.16    | 0.01%             | 2036-04-26      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD NGN BOUGHT USD 20260818                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |            1 | NC      | $-2539.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260406                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-6609.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J7                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J7 1A6              | CUSIP: 12667GF73<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       702432 | PA      | $342214.16     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES SA 2025 EUR 1ST LIEN TERM LOAN     | CUSIP: BA000KZZ7<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |    147517284 | PA      | $166671458.36  | 2.28%             | 2029-12-31      | Floating      | 7.50%                 | No            |                  3 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-OA5                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A1B             | CUSIP: 93364BAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1118717 | PA      | $1074893.50    | 0.01%             | 2047-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 G 144A                     | CUSIP: 20048FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3360000 | PA      | $3095808.58    | 0.04%             | 2038-12-15      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-2A                                                         | RCKT TRUST RCKTL 2025 2A E 144A                               | CUSIP: 74939HAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       700000 | PA      | $687188.18     | 0.01%             | 2034-11-27      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260413                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-61787.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE1                                        | MASTR ASSET BACKED SECURITIES MABS 2006 FRE1 M1               | CUSIP: 57643LPQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13098460 | PA      | $11058120.91   | 0.15%             | 2035-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                       | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 E 144A            | CUSIP: 55284DAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       475000 | PA      | $471702.17     | 0.01%             | 2034-12-15      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                      | INCORA TOP HOLDCO LLC CONV PIK PRE COMP                       | CUSIP: 955PRK007<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     52753148 | PA      | $79895749.98   | 1.09%             | 2033-01-30      | Fixed         | 6.00%                 | Yes           |                  3 | On Loan: No      |
| UNITI GROUP INC                                                            | NEW UNITY COMMON STOCKK                                       | CUSIP: 958WDX907<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |      3783475 | NS      | $35488995.50   | 0.48%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                           | WESTMORELAND MINING HOLDINGS L COMMON                         | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       238883 | NS      | $141836.67     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ENCINA SPV                                                                 | ENCINA PRIVATE CREDIT LLC NOTE                                | CUSIP: 938DREII2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       123688 | PA      | $102270.90     | 0.00%             | 2026-11-30      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |      -609756 | PA      | $-705681.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                              | BSST MORTGAGE TRUST BSST 2021 1818 E 144A                     | CUSIP: 07403PAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6000000 | PA      | $971662.80     | 0.01%             | 2036-03-15      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                        | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M2                  | CUSIP: 126673VQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       208007 | PA      | $205411.01     | 0.00%             | 2035-07-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -19180966 | PA      | $-19183539.25  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -10716111 | PA      | $-10749931.94  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                            | BEAR STEARNS ALT A TRUST BALTA 2005 7 26A1                    | CUSIP: 07386HVX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7189010 | PA      | $2336425.40    | 0.03%             | 2035-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 AIOS 144A       | CUSIP: 36260AAP1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     98110283 | PA      | $406201.10     | 0.01%             | 2059-07-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA21                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA21 A1             | CUSIP: 23245QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       303743 | PA      | $266500.05     | 0.00%             | 2047-03-20      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | HSBC REVERSE REPO GBP ZCP                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -10578710 | PA      | $-14036244.00  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 05/26 0.00000                                   | CUSIP: 912797TS6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     11206000 | PA      | $11151837.70   | 0.15%             | 2026-05-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FAB UK LTD 2004-1                                                          | FAB FAB 2004 1 S2 REGS                                        | CUSIP: ACI0MWFN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     16148400 | PA      | $4838274.58    | 0.07%             | 2045-12-06      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.26 03/25/22-01/04/27 CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-67368.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC 2000-C                                      | OAKWOOD MORTGAGE INVESTORS INC OAK 2000 C M1                  | CUSIP: 67087TBP5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1131411 | PA      | $1100995.45    | 0.02%             | 2030-10-15      | Fixed         | 8.49%                 | No            |                  2 | On Loan: No      |
| ALLY BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                           | ALLY BANK AUTO CREDIT LINKED N ABCLN 2024 B G 144A            | CUSIP: 02007G4H3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       459211 | PA      | $468076.12     | 0.01%             | 2032-09-15      | Fixed         | 11.39%                | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MC                                       | BX TRUST BX 2021 MC F 144A                                    | CUSIP: 05608GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6000000 | PA      | $5898000.00    | 0.08%             | 2034-04-15      | Floating      | 6.14%                 | No            |                  2 | On Loan: No      |
| TRANSNET                                                                   | TRANSNET SOC LTD 2015 ZAR TERM LOAN                           | CUSIP: BA000FR04<br>LEI: 378900B07CD6F01EA796 | Long             | LON              | CORP              | ZA        |    117771429 | PA      | $6869135.39    | 0.09%             | 2028-03-02      | Floating      | 10.66%                | No            |                  3 | On Loan: No      |
| QUERCUS II RE DESIGNATED ACTIVITY COMPANY                                  | QUERCUS II RE DAC UNSECURED 144A 01/31 VAR                    | CUSIP: ACI37KKF2<br>LEI: 635400PTO1PTKKKHEA32 | Long             | DBT              | CORP              | IE        |      1700000 | PA      | $1964748.88    | 0.03%             | 2031-01-07      | Floating      | 13.07%                | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                          | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A3              | CUSIP: 44328BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11413715 | PA      | $2592779.51    | 0.04%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR                | CUSIP: 903724CG5<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      1593077 | PA      | $737594.65     | 0.01%             | 2036-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                               | BAYOU RE LTD UNSECURED 144A 04/31 VAR                         | CUSIP: 07304LAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       250000 | PA      | $259750.00     | 0.00%             | 2031-04-30      | Floating      | 11.85%                | No            |                  2 | On Loan: No      |
| OPTEUM MORTGAGE ACCEPTANCE CORP 2005-2                                     | OPTEUM MORTGAGE ACCEPTANCE COR OPMAC 2005 2 M6                | CUSIP: 68383NBB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       324397 | PA      | $324242.15     | 0.00%             | 2035-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                          | NEXSTAR BROADCASTING INC 2026 TERM LOAN B7                    | CUSIP: 65336RBF4<br>LEI: 5493006PK6I4I2OOT688 | Long             | LON              | CORP              | US        |      1600000 | PA      | $1584000.00    | 0.02%             | 2033-03-18      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2017-111                                                 | FANNIE MAE FNR 2017 111 AI                                    | CUSIP: 3136B0KK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3322893 | PA      | $727403.85     | 0.01%             | 2048-01-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3                | CUSIP: 64352VKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       524839 | PA      | $525111.94     | 0.01%             | 2035-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-5CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 5CB 1A31            | CUSIP: 02150EBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1421359 | PA      | $620673.51     | 0.01%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-12905.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1                                   | NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 2A1A            | CUSIP: 66988UAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        74927 | PA      | $70148.87      | 0.00%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 11/40 12.75                        | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  45292800000 | PA      | $12004845.14   | 0.16%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST2                            | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST2 CERT 144A        | CUSIP: 52607QAB6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1700000 | PA      | $160275.86     | 0.00%             | 2028-04-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 1A7            | CUSIP: 02146XAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       495877 | PA      | $196640.35     | 0.00%             | 2036-12-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -2682472 | PA      | $-3585718.63   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-AA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA6 2A1             | CUSIP: 32052MAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       337474 | PA      | $228197.10     | 0.00%             | 2036-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-BU1                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 BU1 2A1A            | CUSIP: 41161PG72<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       483047 | PA      | $456143.50     | 0.01%             | 2046-02-19      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X C1A REGS                           | CUSIP: G3299TAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     14072062 | PA      | $17234324.02   | 0.24%             | 2045-06-13      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| CVR ENERGY INC                                                             | CVR ENERGY INC COMPANY GUAR 144A 02/31 7.5                    | CUSIP: 12662PAH1<br>LEI: 529900SOYZIXZBTXB558 | Long             | DBT              | CORP              | US        |      3000000 | PA      | $3024951.00    | 0.04%             | 2031-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A2              | CUSIP: 93364FAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       414252 | PA      | $384392.00     | 0.01%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R11                                    | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R11 M5               | CUSIP: 03072SV51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3900000 | PA      | $3501579.51    | 0.05%             | 2036-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-5T2                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 5T2 A4              | CUSIP: 12668BMX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       435503 | PA      | $184266.16     | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-14                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 14 M5                 | CUSIP: 126670LT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3926247 | PA      | $3578685.02    | 0.05%             | 2036-04-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A12                 | CUSIP: 22942JBG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       121595 | PA      | $51950.79      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2017                                                            | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CALI E 144A            | CUSIP: 12652FAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2500000 | PA      | $401835.00     | 0.01%             | 2032-11-10      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| MADISON PARK FUNDING XXIII LTD 2017-23A                                    | MADISON PARK FUNDING LTD MDPK 2017 23A SUB 144A               | CUSIP: 55820UAC9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      5600000 | PA      | $328628.61     | 0.00%             | 2047-07-27      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2008-IND2                                                   | BCAP LLC TRUST BCAP 2008 IND2 A2                              | CUSIP: 05531EAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12869327 | PA      | $9913390.49    | 0.14%             | 2038-04-25      | Variable      | 3.64%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                            | BEAR STEARNS ALT A TRUST BALTA 2006 2 24A1                    | CUSIP: 07386HG39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       894516 | PA      | $484042.88     | 0.01%             | 2036-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PEMEX SNR LA SP JPM                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1552670.84   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 04/26 0.00000                                   | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4597000 | PA      | $4590982.39    | 0.06%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CALI MORTGAGE TRUST 2019-101C                                              | CALI MORTGAGE TRUST 2019 101C CALI 2019 101C A 144A           | CUSIP: 129890AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14900000 | PA      | $14351016.95   | 0.20%             | 2039-03-10      | Fixed         | 3.96%                 | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/26 0.0000              | CUSIP: 374422AL7<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |        91112 | PA      | $89570.40      | 0.00%             | 2026-07-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -4998400 | PA      | $-6677667.90   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A              | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5691620 | PA      | $5362250.56    | 0.07%             | 2036-03-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                    | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 B 144A            | CUSIP: 62955HAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2200000 | PA      | $2191824.36    | 0.03%             | 2038-12-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                    | COUNTRY GARDEN HLDGS SR UNSECURED 12/31 0.00000               | CUSIP: ACI37QDK6<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |      1284799 | PA      | $143769.01     | 0.00%             | 2031-12-31      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PRODS INC 2005-SL1                                   | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 SL1 A7               | CUSIP: 76112BMS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       170645 | PA      | $108365.73     | 0.00%             | 2032-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B5 144A                 | CUSIP: 59980YAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2905605 | PA      | $1563125.34    | 0.02%             | 2066-04-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -5298359 | PA      | $-5350886.76   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| VALE SA                                                                    | VALE SA SUBORDINATED 12/49 VAR                                | CUSIP: B011X9II2<br>LEI: 254900SMTWBX7RU2SR20 | Long             | DBT              | CORP              | BR        |    830470000 | PA      | $70263323.74   | 0.96%             | 2049-12-29      | Variable      | 1.96%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-88                                                  | FANNIE MAE FNR 2007 88 MI                                     | CUSIP: 31396XUW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       180640 | PA      | $12334.96      | 0.00%             | 2037-09-25      | Floating      | 2.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-10                                             | COUNTRYWIDE HOME LOANS CWHL 2007 10 A18                       | CUSIP: 12545CAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       140472 | PA      | $59481.32      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -17627505 | PA      | $-23544063.74  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $20478.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE5                                               | ACE SECURITIES CORP. ACE 2005 HE5 M5                          | CUSIP: 004421RJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5108810 | PA      | $4441997.13    | 0.06%             | 2035-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR SECURED 12/26 10                    | CUSIP: ACI2J0DM8<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |       296810 | PA      | $317334.98     | 0.00%             | 2026-12-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| ANGOLA GOVT                                                                | REPUBLIC OF ANGOLA SR UNSECURED 144A 03/37 9.875              | CUSIP: 035198AL4<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |      9500000 | PA      | $9412064.01    | 0.13%             | 2037-03-31      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3311                                                           | FREDDIE MAC FHR 3311 EI                                       | CUSIP: 31397H6H6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        34281 | PA      | $2527.32       | 0.00%             | 2037-05-15      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-16R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 10A3 144A          | CUSIP: 12642YGQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4504289 | PA      | $4127154.31    | 0.06%             | 2037-07-26      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 1A1               | CUSIP: 61749CAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       136760 | PA      | $24018.14      | 0.00%             | 2036-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -12178625 | PA      | $-12276875.52  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2020-70                                                  | FANNIE MAE FNR 2020 70 MI                                     | CUSIP: 3136BB3N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11884941 | PA      | $1055714.34    | 0.01%             | 2060-10-25      | Variable      | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/0.50000 09/16/20-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $5969559.12    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                         | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300A 144A             | CUSIP: 08163DBR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1196000 | PA      | $888786.71     | 0.01%             | 2054-04-15      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-96                           | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 96 KI                 | CUSIP: 38378HFV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       134247 | PA      | $11953.98      | 0.00%             | 2042-06-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TRUST 2006-1                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 6A1                | CUSIP: 225470B93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2763659 | PA      | $1630276.87    | 0.02%             | 2036-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                              | PURPLE RE LTD UNSECURED 144A 06/27 VAR                        | CUSIP: 74639NAC7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       700000 | PA      | $722120.00     | 0.01%             | 2027-06-07      | Floating      | 12.68%                | No            |                  2 | On Loan: No      |
| STRATTON HAWKSMOOR 2022-1 PLC 22-1A                                        | STRATTON HAWKSMOOR PLC HWKSM 2022 1A F 144A                   | CUSIP: ACI27FLY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      4300000 | PA      | $5681667.58    | 0.08%             | 2053-02-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-13                                             | COUNTRYWIDE HOME LOANS CWHL 2007 13 A14                       | CUSIP: 17025JAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1341 | PA      | $584.97        | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1              | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        39359 | PA      | $37790.27      | 0.00%             | 2045-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-6AR                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 6AR 3A4               | CUSIP: 61749CAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1232907 | PA      | $447294.68     | 0.01%             | 2036-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4000500 | PA      | $-4014668.44   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-7                                        | RBSSP RESECURITIZATION TRUST RBSSP 2009 7 3A2 144A            | CUSIP: 75524MAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3284499 | PA      | $1567122.95    | 0.02%             | 2036-03-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 B3 144A           | CUSIP: 12657GAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11267947 | PA      | $6739485.30    | 0.09%             | 2060-10-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A13             | CUSIP: 74922EAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        54577 | PA      | $44834.93      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO GBP ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -1565732 | PA      | $-2077549.62   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LN TRUST 2004-AR5                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR5 2A1B             | CUSIP: 45660NS48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        90236 | PA      | $83795.59      | 0.00%             | 2034-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -1578525 | PA      | $-1836967.33   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| KRONOS FUNDING                                                             | KRONOS CLASS E PLACEHODER 144A 5928379A8                      | CUSIP: 990ADDMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17071000 | PA      | $20855354.29   | 0.28%             | 2026-04-15      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -39705461 | PA      | $-40184683.45  | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC                                                | ION PLATFORM FINANCE US SR SECURED 144A 09/32 7.875           | CUSIP: 46205QAB4<br>LEI: 213800FKHT3BRRKMCC89 | Long             | DBT              | CORP              | US        |      1800000 | PA      | $1395496.37    | 0.02%             | 2032-09-30      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -22374184 | PA      | $-22428739.72  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -12437156 | PA      | $-12470107.55  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2022-2                                          | FLAGSHIP CREDIT AUTO TRUST FCAT 2022 2 R                      | CUSIP: 33844X108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         3330 | PA      | $0.00          | 0.00%             | 2029-06-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -673801 | PA      | $-675923.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4036292 | PA      | $-4065952.78   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                            | BEAR STEARNS ALT A TRUST BALTA 2006 8 2A1                     | CUSIP: 07387QAM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3571763 | PA      | $2417303.11    | 0.03%             | 2046-08-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 SN                                       | CUSIP: 3137FUYG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5519943 | PA      | $658140.56     | 0.01%             | 2050-05-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS12                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 1A4             | CUSIP: 751151AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2663850 | PA      | $947898.90     | 0.01%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                                   | BCAP LLC TRUST BCAP 2009 RR14 2A2 144A                        | CUSIP: 05532LAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       328821 | PA      | $296695.94     | 0.00%             | 2036-07-26      | Floating      | 3.78%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-101                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 101 SD                | CUSIP: 38375GTB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1088368 | PA      | $111986.20     | 0.00%             | 2042-08-20      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP D 144A         | CUSIP: 46651WAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1712000 | PA      | $371460.00     | 0.01%             | 2038-12-05      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| C-BASS CBO XVI CORP 16A                                                    | C BASS LTD CBCL 16A A 144A                                    | CUSIP: 12498YAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     98372552 | PA      | $474254.07     | 0.01%             | 2041-09-06      | Floating      | 7.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 X 144A                  | CUSIP: 59980YAS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63447482 | PA      | $16775.51      | 0.00%             | 2066-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| WESTMET GROUP HOLDINGS LLC                                                 | EQTYWM927 WESTMORELAND MINING                                 | CUSIP: 952XGJII0<br>LEI: N/A                  | Long             | EC               | CORP              | US        |       240987 | NS      | $1024192.92    | 0.01%             |  |  |  | Yes           |                  3 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-6                                        | RBSSP RESECURITIZATION TRUST RBSSP 2009 6 17A3 144A           | CUSIP: 74928XDE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       198671 | PA      | $185720.98     | 0.00%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260406                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $3457.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC HM EQ LN ASSET BACKED TR 2000-C                                    | INDYMAC HOME EQUITY LOAN ASSET INHEL 2000 C MF1               | CUSIP: 456606BJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       447042 | PA      | $287298.64     | 0.00%             | 2031-12-25      | Variable      | 8.74%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-OPT1                                      | MASTR ASSET BACKED SECURITIES MABS 2005 OPT1 M6               | CUSIP: 57643LHU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       763116 | PA      | $623395.18     | 0.01%             | 2035-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -62387195 | PA      | $-62797130.54  | -0.86%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP E 144A         | CUSIP: 46651WAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5740000 | PA      | $1076676.48    | 0.01%             | 2038-12-05      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $567573.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260506                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1079.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-312666.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 2A1                | CUSIP: 059475AF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        75418 | PA      | $64635.39      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FAIRFAX INDIA HOLDINGS CORPORATION                                         | FAIRFAX INDIA HOLDINGS SR UNSECURED 144A 02/28 5              | CUSIP: 303897AA0<br>LEI: 549300K2JHXU7AX7CV78 | Long             | DBT              | CORP              | CA        |     12350000 | PA      | $11789751.14   | 0.16%             | 2028-02-26      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TOLL ROAD INVESTORS PARTNERSHIP II LP                                      | TOLL ROAD INV PART II INSURED 144A 02/43 0.00000              | CUSIP: 88948ABM8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     15299321 | PA      | $5412134.66    | 0.07%             | 2043-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $222559.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA12                                       | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA12 1A1            | CUSIP: 32051GQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        24247 | PA      | $17144.81      | 0.00%             | 2036-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING TRUST 2014-R2                                      | BANC OF AMERICA FUNDING CORPOR BAFC 2014 R2 1C 144A           | CUSIP: 05968KAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24037828 | PA      | $8351926.62    | 0.11%             | 2036-11-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-40199.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 06/26 0.00000                                   | CUSIP: 912797TZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     11825000 | PA      | $11743699.81   | 0.16%             | 2026-06-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 04/26 0.00000                                   | CUSIP: 912797QD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       100000 | PA      | $99849.13      | 0.00%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2009-13                                       | RBSSP RESECURITIZATION TRUST RBSSP 2009 13 11A4 144A          | CUSIP: 74928GBN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2873766 | PA      | $1489820.32    | 0.02%             | 2035-09-26      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                            | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                      | CUSIP: 73110JAE2<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |       400000 | PA      | $399960.00     | 0.01%             | 2029-01-08      | Floating      | 12.66%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA16                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA16 A4C            | CUSIP: 23242GAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        77020 | PA      | $67104.73      | 0.00%             | 2046-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | PETERSEN CLAIM UNITS                                          | CUSIP: 958CFGII7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | CORP              | US        |       437699 | PA      | $1969645.50    | 0.03%             | 2099-12-31      | None          | 0.00%                 | Yes           |                  3 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M3                | CUSIP: 03072SQ57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1200000 | PA      | $1071497.28    | 0.01%             | 2035-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS (OAK-EAGLE ACQUIRECO INC)                                  | OAK EAGLE ACQUIRECO INC SR SECURED 144A 07/33 7.25            | CUSIP: 67124CAA1<br>LEI: 6488ICS9P20290MA1H31 | Long             | DBT              | CORP              | US        |      2900000 | PA      | $3006558.85    | 0.04%             | 2033-07-01      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-J8                                             | COUNTRYWIDE HOME LOANS CWHL 2004 J8 3A8                       | CUSIP: 12669GDX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33530 | PA      | $33679.86      | 0.00%             | 2034-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC1                                     | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC1 M4                  | CUSIP: 61744CLX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6378689 | PA      | $6112900.06    | 0.08%             | 2035-01-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| RCO X MORTGAGE LLC 2025-5                                                  | RCO MORTGAGE LLC RCO 2025 5 A1 144A                           | CUSIP: 75523YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3941182 | PA      | $3933657.56    | 0.05%             | 2030-10-25      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-36                                                         | FANNIE MAE FNR 2020 36 NI                                     | CUSIP: 3136B95E3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13897079 | PA      | $2957426.21    | 0.04%             | 2050-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A X2 144A            | CUSIP: ACI2S8TR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       378000 | PA      | $563751.22     | 0.01%             | 2060-06-20      | Floating      | 8.73%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2011-4R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 4R 6A2 144A            | CUSIP: 12645KES6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1016018 | PA      | $882823.79     | 0.01%             | 2036-05-27      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTER MTGE SEC 2006-AA2                                      | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA2 2A1             | CUSIP: 32051GW76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       330487 | PA      | $272959.63     | 0.00%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                                | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                    | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     14345000 | PA      | $14051074.97   | 0.19%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE5                                      | MORGAN STANLEY CAPITAL INC MSAC 2005 HE5 M4                   | CUSIP: 61744CUV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1209452 | PA      | $1021914.21    | 0.01%             | 2035-09-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS (OAK-EAGLE ACQUIRECO INC)                                  | ELECTRONIC ARTS INC USD TERM LOAN B                           | CUSIP: 67123SAB5<br>LEI: 6488ICS9P20290MA1H31 | Long             | LON              | CORP              | US        |     10000000 | PA      | $9950000.00    | 0.14%             | 2033-03-24      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 2A3            | CUSIP: 12668AV51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       119181 | PA      | $54520.78      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INCORA TOP HOLDCO LLC                                                      | INCORA NEW EQUITY                                             | CUSIP: 955PRF008<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2316329 | NS      | $87728598.22   | 1.20%             |  |  |  | Yes           |                  3 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                          | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3               | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13517404 | PA      | $7254401.52    | 0.10%             | 2036-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR7                                                    | BCAP LLC TRUST BCAP 2010 RR7 2A13 144A                        | CUSIP: 05533DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1661600 | PA      | $1632230.19    | 0.02%             | 2045-07-26      | Floating      | 6.83%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII1 144A        | CUSIP: 760985Y88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       723334 | PA      | $721911.86     | 0.01%             | 2034-04-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 2A1              | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        50342 | PA      | $45842.53      | 0.00%             | 2035-11-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                             | FREMONT HOME LOAN TRUST FHLT 2006 3 2A4                       | CUSIP: 35729MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1049424 | PA      | $313716.53     | 0.00%             | 2037-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS C 144A           | CUSIP: 61692AAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       453000 | PA      | $23972.76      | 0.00%             | 2036-12-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-6                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 6 4A1A              | CUSIP: 41161UAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        35846 | PA      | $30635.34      | 0.00%             | 2036-08-19      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -8517881 | PA      | $-8545464.30   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ABX.HE.AA.06-1 SP GST                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-318618.83    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X E1C REGS                           | CUSIP: G3299TAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3081600 | PA      | $3043683.43    | 0.04%             | 2045-06-13      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| PASTOR IM FTH/FTA 4                                                        | PASTOR IM FTH/FTA IMPAS 4 A REGS                              | CUSIP: B16Q8CII1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |     12300886 | PA      | $12813450.39   | 0.17%             | 2044-03-22      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                    | FREDDIE MAC FHR 4988 VI                                       | CUSIP: 3137FUZ64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      6741314 | PA      | $1223620.55    | 0.02%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COREWEAVE INC                                                              | COREWEAVE INC COMPANY GUAR 144A 02/31 9                       | CUSIP: 21873SAC2<br>LEI: 984500511DP2B6186053 | Long             | DBT              | CORP              | US        |      7800000 | PA      | $7431597.42    | 0.10%             | 2031-02-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2010-1A                                    | MORTGAGE EQUITY CONVERSION ASS MECA 2010 1A A 144A            | CUSIP: 61911BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       954252 | PA      | $915437.37     | 0.01%             | 2060-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE SA RL                                                 | ION PLATFORM FINANCE SAR SR SECURED REGS 09/32 6.875          | CUSIP: ACI30SM29<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | DBT              | CORP              | LU        |     18300000 | PA      | $16911529.35   | 0.23%             | 2032-09-30      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| DBWF MORTGAGE TRUST 2016-85T                                               | DBWF MORTGAGE TRUST DBWF 2016 85T A 144A                      | CUSIP: 23307CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22961000 | PA      | $22709737.78   | 0.31%             | 2036-12-10      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                         | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                     | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |      4853248 | NS      | $11502197.76   | 0.16%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB7                                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB7 6A1                     | CUSIP: 126694MH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3655480 | PA      | $3441715.22    | 0.05%             | 2035-11-20      | Variable      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -7576524 | PA      | $-10142112.09  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3136                                                           | FREDDIE MAC FHR 3136 NS                                       | CUSIP: 31396NH41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        84390 | PA      | $7544.28       | 0.00%             | 2036-04-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| COGENT COMMUNICATIONS GROUP LLC / COGENT FINANCE INC                       | COGENT COMMS GRP / FIN COMPANY GUAR 144A 06/27 7              | CUSIP: 19240WAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      5755000 | PA      | $5686647.87    | 0.08%             | 2027-06-15      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| CORONADO CDO LTD 1A                                                        | CORONADO CDO LTD CORON 1A B1 144A                             | CUSIP: 21976RAB2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     21570473 | PA      | $6139280.19    | 0.08%             | 2038-09-04      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A5             | CUSIP: 12668AFL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1298704 | PA      | $694900.12     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                         | SPRUCE BIDCO II INC TERM LOAN                                 | CUSIP: BA000FPP1<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |      9888906 | PA      | $9808807.52    | 0.13%             | 2032-01-30      | Fixed         | 8.45%                 | No            |                  3 | On Loan: No      |
| ACACIA CDO LTD 5A                                                          | ACACIA CDO LTD ACCDO 5A B 144A                                | CUSIP: 00388EAB7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8674291 | PA      | $1868745.84    | 0.03%             | 2039-11-08      | Floating      | 7.60%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                       | GSAMP TRUST GSAMP 2007 FM2 A2B                                | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       676071 | PA      | $416247.62     | 0.01%             | 2037-01-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-3                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 2A4               | CUSIP: 542514UL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7597921 | PA      | $2244258.68    | 0.03%             | 2046-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 1A1              | CUSIP: 93364FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       652661 | PA      | $530571.13     | 0.01%             | 2037-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| BCP TRUST 2021-330N                                                        | BCP TRUST BCP 2021 330N E 144A                                | CUSIP: 05553BAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11849964 | PA      | $893712.43     | 0.01%             | 2038-06-15      | Floating      | 7.43%                 | No            |                  2 | On Loan: No      |
| JPMCC COMMERCIAL MORTGAGE SECURITIES TRUST 2021-410T                       | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 410T A 144A         | CUSIP: 46652WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14331000 | PA      | $13474764.31   | 0.18%             | 2042-03-05      | Fixed         | 2.29%                 | No            |                  2 | On Loan: No      |
| ARM MUSTANG EXPRESS HOLDCO LLC                                             | MUSTANG EXPRESS SERIES A PFD U MUSTANG EXPRESS SERIES A PFD U | CUSIP: 958LNU906<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       144857 | NS      | $144856950.00  | 1.98%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260420                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $6746.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |      -190366 | PA      | $-220466.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX C1A REGS                         | CUSIP: G329A0AF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     11113345 | PA      | $13238666.18   | 0.18%             | 2045-09-13      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| SMRT 2022-MINI                                                             | SMRT SMRT 2022 MINI E 144A                                    | CUSIP: 78457JAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30200000 | PA      | $30104507.60   | 0.41%             | 2039-01-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/0.50 9/16/23-5Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-47325.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                         | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A38               | CUSIP: 94985JBP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19612 | PA      | $18349.87      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260618                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-9132.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -7587995 | PA      | $-7604308.71   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP SR SECURED 144A 12/28 5.75                      | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     91806000 | PA      | $88849620.96   | 1.21%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 X 144A                | CUSIP: 59981TBG9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     27722166 | PA      | $525427.92     | 0.01%             | 2059-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5062                                                    | FREDDIE MAC FHR 5062 BS                                       | CUSIP: 3137F8TX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5324018 | PA      | $864699.89     | 0.01%             | 2051-01-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-34299.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2020-37                                                         | FANNIE MAE FNR 2020 37 IA                                     | CUSIP: 3136B9T56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1715344 | PA      | $323686.09     | 0.00%             | 2050-06-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ANGOLA GOVT                                                                | REPUBLIC OF ANGOLA SR UNSECURED 03/33 9.375                   | CUSIP: 035198AK6<br>LEI: 549300QHR2R3J8JSGK83 | Long             | DBT              | NUSS              | AO        |      9500000 | PA      | $9410035.86    | 0.13%             | 2033-03-31      | Fixed         | 9.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP BPS                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1763.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-41                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 41 2A2              | CUSIP: 12667GS20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2239944 | PA      | $1543540.10    | 0.02%             | 2035-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-6                                                     | LEHMAN XS TRUST LXS 2007 6 3A6                                | CUSIP: 52524PAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5265037 | PA      | $4506773.61    | 0.06%             | 2037-05-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD HKD BOUGHT USD 20260420                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $22965.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPRINGLEAF FINANCE (AGFC CAPITAL TRUST I)                                  | AGFC CAPITAL TRUST I COMPANY GUAR 144A 01/67 VAR              | CUSIP: 00846NAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     35500000 | PA      | $22231875.00   | 0.30%             | 2067-01-15      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1793003 | PA      | $-1803696.75   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                    | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 B6 144A              | CUSIP: 59982HBE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3865285 | PA      | $2102282.90    | 0.03%             | 2060-11-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260415                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-5116.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2019-3                          | FREDDIE MAC   SCRT SCRT 2019 3 BXS                            | CUSIP: 35563PMB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2118425 | PA      | $964986.49     | 0.01%             | 2058-10-25      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| RZD CAPITAL PUBLIC LIMITED COMPANY                                         | RUSSIAN RAIL(RZD CAP) SR UNSECURED REGS 03/31 7.487           | CUSIP: B3SXQ5II3<br>LEI: 635400VKMH1VQDFMW392 | Long             | DBT              | CORP              | IE        |       200000 | PA      | $185304.06     | 0.00%             | 2031-03-25      | Fixed         | 7.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1552168 | PA      | $-1552363.31   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| WINDMILL III RE DESIGNATED ACTIVITY COMPANY                                | WINDMILL III RE DAC UNSECURED 144A 07/28 VAR                  | CUSIP: ACI2PJTV3<br>LEI: 635400PB5AXUZ6R7CT68 | Long             | DBT              | CORP              | IE        |       250000 | PA      | $299394.10     | 0.00%             | 2028-07-05      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR13                                       | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR13 A2             | CUSIP: 94984DAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2186 | PA      | $2152.77       | 0.00%             | 2036-09-25      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                        | NISSAN MOTOR CO SR UNSECURED 144A 07/30 7.5                   | CUSIP: 654922AB9<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |      3600000 | PA      | $3630766.90    | 0.05%             | 2030-07-17      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 1A1                | CUSIP: 05950PAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       403235 | PA      | $400680.27     | 0.01%             | 2046-09-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE FIRST BOSTON MORTGAGE SECURITIES CORP 2001-HE8               | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE8 M1               | CUSIP: 22540AB64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       610320 | PA      | $599954.37     | 0.01%             | 2031-02-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-S2                                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 S2 1A4              | CUSIP: 16163EAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       493230 | PA      | $250435.89     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1A              | CUSIP: 86361HAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       604569 | PA      | $510082.06     | 0.01%             | 2036-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/29 VAR                     | CUSIP: 45870GAJ5<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |       250000 | PA      | $250000.00     | 0.00%             | 2029-06-07      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP BRC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $22047.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2E              | CUSIP: 17309BAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1961271 | PA      | $686200.35     | 0.01%             | 2036-05-25      | Variable      | 6.85%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                            | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                      | CUSIP: 73110JAD4<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |       400000 | PA      | $400960.00     | 0.01%             | 2029-01-08      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                         | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300D 144A             | CUSIP: 08163DBX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3200000 | PA      | $1909707.20    | 0.03%             | 2054-04-15      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2015-5                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 5 3A2 144A           | CUSIP: 17323XAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4068062 | PA      | $3855621.30    | 0.05%             | 2034-08-25      | Variable      | 4.85%                 | No            |                  2 | On Loan: No      |
| PROMOTORA DE INFORMACIONES SA (PRISA)                                      | PROMOTORA DE INFORMACIONES SA 2025 EUR TERM LOAN              | CUSIP: BA000KZY0<br>LEI: 959800U3NGPXSCQHQW54 | Long             | LON              | CORP              | ES        |      9801770 | PA      | $11386024.90   | 0.16%             | 2029-06-29      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-WMC1                                        | MASTR ASSET BACKED SECURITIES MABS 2005 WMC1 M6               | CUSIP: 57643LHB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1707123 | PA      | $1637373.84    | 0.02%             | 2035-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20260610                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-2417.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.25000 06/18/25-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-39311315.99  | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A1              | CUSIP: 75115BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7570533 | PA      | $2364710.36    | 0.03%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -28177201 | PA      | $-28215334.15  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-4CB                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 4CB 1A5             | CUSIP: 02148FAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       760282 | PA      | $630031.02     | 0.01%             | 2037-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | REPUBLIC OF COLOMBIA SR UNSECURED 01/31 6.125                 | CUSIP: 195325EU5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      1400000 | PA      | $1379000.00    | 0.02%             | 2031-01-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 A 144A         | CUSIP: 46653DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2600000 | PA      | $2419065.48    | 0.03%             | 2036-03-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 1A1              | CUSIP: 12668AGN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6222260 | PA      | $5912877.42    | 0.08%             | 2035-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 B4 144A           | CUSIP: 12657GAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11268446 | PA      | $5604331.19    | 0.08%             | 2060-10-25      | Variable      | 3.77%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR D 144A             | CUSIP: 12564NAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8005000 | PA      | $7673793.13    | 0.10%             | 2038-11-15      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-10                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 10 AF6                | CUSIP: 126670AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          228 | PA      | $226.37        | 0.00%             | 2036-02-25      | Fixed         | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PETROLEOS MEXICANOS (PEMEX) LA SP MYC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-157412.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-16278.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-11                                             | COUNTRYWIDE HOME LOANS CWHL 2007 11 A1                        | CUSIP: 12544LAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2933619 | PA      | $1210313.95    | 0.02%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                            | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25                 | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     12834000 | PA      | $6160320.00    | 0.08%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST B 144A         | CUSIP: 46652DAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7905000 | PA      | $373428.25     | 0.01%             | 2036-12-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260505                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-3082.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KGS-ALPHA SBA COOF TRUST SERIES 2012-5                                     | KGS ALPHA SBA COOF TRUST KSBA 2012 5 A 144A                   | CUSIP: 48248JAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       449782 | PA      | $9040.61       | 0.00%             | 2038-04-25      | Variable      | 1.09%                 | No            |                  3 | On Loan: No      |
| EVERGLADES RE II LTD                                                       | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR                 | CUSIP: 30014LAM6<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |      4260000 | PA      | $4317510.00    | 0.06%             | 2031-05-13      | Floating      | 14.03%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF MONTREAL REVERSE REPO.                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2085297 | PA      | $-2094427.11   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-5                                           | CONSECO FINANCIAL CORP GT 1999 5 A6                           | CUSIP: 3935053Q3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5861510 | PA      | $1372554.07    | 0.02%             | 2030-03-01      | Variable      | 7.50%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST  2021-B25                                         | BENCHMARK MORTGAGE TRUST BMARK 2021 B25 300B 144A             | CUSIP: 08163DBT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       200000 | PA      | $140445.50     | 0.00%             | 2054-04-15      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2007-AR1                                          | DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 2A1B                   | CUSIP: 23333YAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       179381 | PA      | $186644.62     | 0.00%             | 2047-04-19      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC STRIPS 259                                                     | FREDDIEMAC STRIP FHS 259 S17                                  | CUSIP: 31325TCC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       847609 | PA      | $90172.99      | 0.00%             | 2039-04-15      | Floating      | 2.16%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 XA 144A                 | CUSIP: 89178BBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4517905 | PA      | $3844144.96    | 0.05%             | 2059-10-25      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-1                                            | BEAR STEARNS ALT A TRUST BALTA 2005 1 M2                      | CUSIP: 07386HQJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       655078 | PA      | $632134.77     | 0.01%             | 2035-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                | URSA RE LTD UNSECURED 144A 12/28 VAR                          | CUSIP: 90323WAN0<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |      6800000 | PA      | $6992780.00    | 0.10%             | 2028-12-07      | Floating      | 12.80%                | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                        | DOLP TRUST DOLP 2021 NYC F 144A                               | CUSIP: 23345LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     23000000 | PA      | $17773475.40   | 0.24%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB2                                    | SPECIALTY UNDERWRITING + RESID SURF 2006 AB2 A2C              | CUSIP: 84751VAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2716733 | PA      | $1342626.44    | 0.02%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                         | FORESEA HOLDING SA SR SECURED 144A 06/30 7.5                  | CUSIP: 262051AA3<br>LEI: 254900BAD50AKYGIMV79 | Long             | DBT              | CORP              | LU        |      2710539 | PA      | $2663611.71    | 0.04%             | 2030-06-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MORTGAGE PASS-THROUGH 2006-4                             | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 4 3A3               | CUSIP: 939344AN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2845082 | PA      | $2509425.33    | 0.03%             | 2036-05-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-7                                                        | IMPAC CMB TRUST IMM 2005 7 A1                                 | CUSIP: 45254NQX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        64791 | PA      | $59558.63      | 0.00%             | 2035-11-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                              | ARAB REPUBLIC OF EGYPT SR UNSECURED 144A 02/33 9.45           | CUSIP: 03846JAG5<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |       900000 | PA      | $947706.45     | 0.01%             | 2033-02-04      | Fixed         | 9.45%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                            | BEAR STEARNS ALT A TRUST BALTA 2006 5 1A1                     | CUSIP: 073873AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11919706 | PA      | $10806190.52   | 0.15%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6719357 | PA      | $-6839009.97   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                       | GSAMP TRUST GSAMP 2007 FM1 A1                                 | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       717452 | PA      | $382981.55     | 0.01%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CZK BOUGHT USD 20260415                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $1112.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -418092 | PA      | $-419328.71    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                      | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS E 144A           | CUSIP: 78486DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9054518 | PA      | $8999900.20    | 0.12%             | 2034-04-15      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR11                                                   | BCAP LLC TRUST BCAP 2010 RR11 5A3 144A                        | CUSIP: 05533JBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3563805 | PA      | $3092937.70    | 0.04%             | 2037-03-27      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-3 LLC                                                            | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 3 A1 144A            | CUSIP: 74449DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       798284 | PA      | $796633.40     | 0.01%             | 2030-05-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2006-AM2                               | MASTR ASSET BACKED SECURITIES MABS 2006 AM2 A3                | CUSIP: 57645FAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3175066 | PA      | $2989963.09    | 0.04%             | 2036-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-3                                           | AEGIS ASSET BACKED SECURITIES AABST 2004 3 M3                 | CUSIP: 00764MCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       740219 | PA      | $740219.19     | 0.01%             | 2034-09-25      | Floating      | 5.89%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                                   | LEHMAN XS TRUST LXS 2007 15N 4A1                              | CUSIP: 52524VAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       177487 | PA      | $166186.54     | 0.00%             | 2047-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -15098696 | PA      | $-15212314.02  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -22764532 | PA      | $-22820640.32  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-7                                            | BEAR STEARNS ALT A TRUST BALTA 2006 7 1AE4 144A               | CUSIP: 073875BJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3059703 | PA      | $1479002.30    | 0.02%             | 2046-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-3                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 3 TA3A               | CUSIP: 059515AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       752367 | PA      | $629423.15     | 0.01%             | 2037-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2006-1                                    | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2006 1 AF2               | CUSIP: 69121PCH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3058371 | PA      | $1688977.68    | 0.02%             | 2035-10-25      | Variable      | 5.79%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B1 144A               | CUSIP: 59981TAP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3063000 | PA      | $2634650.17    | 0.04%             | 2059-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                      | ENVALIOR FINANCE GMBH EUR TERM LOAN B1                        | CUSIP: D255LZAB1<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |     16200000 | PA      | $16840686.85   | 0.23%             | 2030-03-29      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| TABERNA PREFERRED FUNDING LTD 2006-5A                                      | TABERNA PREFERED FUNDING LTD TBRNA 2006 5A A1A 144A           | CUSIP: 87331BAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1619622 | PA      | $1522444.56    | 0.02%             | 2036-08-05      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOLDINGS LIMITED                                      | ASTON MARTIN CAPITAL HOL SR SECURED REGS 03/29 10.375         | CUSIP: ACI2N9Q99<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |      9300000 | PA      | $9521683.47    | 0.13%             | 2029-03-31      | Fixed         | 10.38%                | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B6 144A                 | CUSIP: 59980YAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2296060 | PA      | $1328598.10    | 0.02%             | 2066-04-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4148682 | PA      | $-4148764.24   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FUTBOL CLUB BARCELONA SL                                                   | ESPAI BRCA FNDO DE TITULZACION EUR TERM LOAN                  | CUSIP: 948FVAII8<br>LEI: 95980020140005871781 | Long             | LON              | CORP              | ES        |     23363148 | PA      | $29577349.49   | 0.40%             | 2028-05-31      | Fixed         | 5.23%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES CORP 2006-EMX8                                | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX8 1A3             | CUSIP: 74924UAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1908597 | PA      | $1784366.95    | 0.02%             | 2036-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| BXP TRUST 2017-GM 2017-CC                                                  | BXP TRUST BXP 2017 CC B 144A                                  | CUSIP: 05607CAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2250000 | PA      | $2084245.65    | 0.03%             | 2037-08-13      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR                | CUSIP: 903724CB6<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      3878798 | PA      | $2040247.75    | 0.03%             | 2035-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2007-AC2                      | BEAR STEARNS ASSET BACKED SECU BSABS 2007 AC2 A2              | CUSIP: 073854AB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8808741 | PA      | $8059635.94    | 0.11%             | 2037-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS (OAK-EAGLE ACQUIRECO INC)                                  | OAK EAGLE ACQUIRECO INC SR SECURED 144A 07/33 6.25            | CUSIP: ACI395FW2<br>LEI: 6488ICS9P20290MA1H31 | Long             | DBT              | CORP              | US        |      1000000 | PA      | $1181360.81    | 0.02%             | 2033-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -62985555 | PA      | $-63472643.66  | -0.87%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $107593.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-8                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 8 M1                  | CUSIP: 045427AE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36011843 | PA      | $29693067.85   | 0.41%             | 2046-01-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2019-42                                                  | FANNIE MAE FNR 2019 42 SK                                     | CUSIP: 3136B5VS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       126029 | PA      | $13910.51      | 0.00%             | 2049-08-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | YAHOO (AKA: AP CORE HOLDI TL TRS BKL BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $79333.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMSURG (AMBULATORY TOPCO LLC)                                              | AMSURG EQUITY EQTYAS910                                       | CUSIP: 902RDL901<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      3517243 | NS      | $154670504.17  | 2.11%             |  |  |  | Yes           |                  3 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 5.75           | CUSIP: 553283AG7<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |     53205509 | PA      | $40761034.67   | 0.56%             | 2030-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-KEYS                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 KEYS E 144A               | CUSIP: 04410CAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24693652 | PA      | $24228282.85   | 0.33%             | 2035-06-15      | Floating      | 8.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.75000 12/21/22-30Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $18196421.94   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -322837 | PA      | $-326384.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -18994993 | PA      | $-19117404.71  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2005-HE3               | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE3 M6              | CUSIP: 04541GQZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       900000 | PA      | $839432.34     | 0.01%             | 2035-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTG PROD INC 2003-RS7                                    | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2003 RS7 MII1             | CUSIP: 760985YC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       244853 | PA      | $244240.72     | 0.00%             | 2033-08-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-2                                               | LEHMAN MORTGAGE TRUST LMT 2006 2 1A1                          | CUSIP: 52520MGG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       164246 | PA      | $99958.21      | 0.00%             | 2036-04-25      | Variable      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -836420 | PA      | $-838282.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A F 144A                                   | CUSIP: ACI2JTLG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      8564000 | PA      | $11306275.51   | 0.15%             | 2049-12-28      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -18011354 | PA      | $-18142756.83  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| LUX 2023-LION                                                              | LUX 2023 LION LUX 2023 LION A 144A                            | CUSIP: 55067LAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1136441 | PA      | $1143483.75    | 0.02%             | 2040-08-15      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                         | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     22814770 | PA      | $18584268.17   | 0.25%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  3 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                              | ARGENT SECURITIES INC. ARSI 2006 M2 A2C                       | CUSIP: 04013BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7164680 | PA      | $2317789.77    | 0.03%             | 2036-09-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD               | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2362777 | PA      | $-2367989.53   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SOLERA LLC (POLARIS NEWCO LLC)                                             | POLARIS NEWCO LLC EUR TERM LOAN B                             | CUSIP: 73108RAC2<br>LEI: 254900LEPDAG7EDOA064 | Long             | LON              | CORP              | US        |     52185204 | PA      | $51370967.33   | 0.70%             | 2028-06-02      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| CONGO GOVT                                                                 | REPUBLIC OF CONGO SR UNSECURED REGS 02/35 9.5                 | CUSIP: ACI38JJB5<br>LEI: 529900BXT90HR4QTB688 | Long             | DBT              | NUSS              | CG        |       900000 | PA      | $811142.45     | 0.01%             | 2035-02-17      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 1A1               | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       227639 | PA      | $148906.37     | 0.00%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| CITRUS RE LTD                                                              | CITRUS RE LTD UNSECURED 144A 06/33 VAR                        | CUSIP: 177510AT1<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |       400000 | PA      | $400000.00     | 0.01%             | 2033-06-07      | Floating      | 9.93%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A E 144A                                   | CUSIP: ACI2JTN85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     11241000 | PA      | $14886587.02   | 0.20%             | 2049-12-28      | Floating      | 7.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR -0.15000 03/18/20-10Y LCH                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $2651469.26    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W2                                             | ARGENT SECURITIES INC. ARSI 2006 W2 A2B                       | CUSIP: 040104RV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9476975 | PA      | $5360690.63    | 0.07%             | 2036-03-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| LENDINGPOINT 2022-B ASSET SECURITIZATION TRUST                             | LENDINGPOINT ASSET SECURITIZAT LDPT 2022 B B 144A             | CUSIP: 52606WAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        45108 | PA      | $45097.05      | 0.00%             | 2029-10-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-134                                                        | FANNIE MAE FNR 2010 134 BS                                    | CUSIP: 31398SPK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       994326 | PA      | $49722.38      | 0.00%             | 2040-10-25      | Floating      | 2.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A                | CUSIP: 12669QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15566047 | PA      | $15939127.49   | 0.22%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                     | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 3A                | CUSIP: 61745M4R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       362337 | PA      | $294482.49     | 0.00%             | 2035-07-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | BONOS DE TESORERIA SR UNSECURED 08/40 5.35                    | CUSIP: ACI1H2BH1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |       100000 | PA      | $24125.69      | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -8087374 | PA      | $-8112606.89   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS 2026-NPL4 LLC                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 NPL4 A1 144A         | CUSIP: 74144EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4400000 | PA      | $4403155.68    | 0.06%             | 2056-04-25      | Fixed         | 5.51%                 | No            |                  2 | On Loan: No      |
| EMC MORTGAGE LOAN TRUST 2004-AA                                            | EMC MORTGAGE LOAN TRUST EMCM 2004 AA M2 144A                  | CUSIP: 268668DE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1444968 | PA      | $1429361.99    | 0.02%             | 2042-04-25      | Floating      | 7.17%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-OP1                          | SECURITIZED ASSET BACKED RECEI SABR 2005 OP1 M2               | CUSIP: 81375WCT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4940 | PA      | $4538.41       | 0.00%             | 2035-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -3878300 | PA      | $-4484467.80   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                       | SOHO TRUST 2021 SOHO SOHO 2021 SOHO A 144A                    | CUSIP: 83410JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6940000 | PA      | $5755636.26    | 0.08%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1119516 | PA      | $-1121640.33   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| RIVERVIEW HECM TRUST-2007-1                                                | RIVERVIEW HECM TRUST RVMLT 2007 1 A 144A                      | CUSIP: 769422AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1706859 | PA      | $1482925.83    | 0.02%             | 2047-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                     | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3                | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3152205 | PA      | $766644.54     | 0.01%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2                             | AMERICAN HOME MORTGAGE INVESTM AHM 2007 2 12A1                | CUSIP: 02660CAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2373104 | PA      | $815842.25     | 0.01%             | 2037-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE CENTR BANK BILL BILLS 04/26 0.00000                   | CUSIP: ACI38VBK6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     70000000 | PA      | $1563483.75    | 0.02%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-1X                                                       | EUROSAIL PLC ESAIL 2007 1X D1A REGS                           | CUSIP: ACI05RDQ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      7067000 | PA      | $7228042.32    | 0.10%             | 2045-03-13      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260422                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-9008.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NGD HOLDINGS BV                                                            | NGD HOLDINGS BV SR SECURED 12/26 6.75                         | CUSIP: ACI1XVPP6<br>LEI: 984500ED2ABF0UF46690 | Long             | DBT              | CORP              | NL        |      4001856 | PA      | $3731730.72    | 0.05%             | 2026-12-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                        | NATURE COAST RE LTD UNSECURED 144A 12/30 VAR                  | CUSIP: 63901CAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       824000 | PA      | $838296.40     | 0.01%             | 2030-12-07      | Floating      | 13.54%                | No            |                  2 | On Loan: No      |
| GOLDEN BEAR RE LTD SERIES 2026-1                                           | GOLDEN BEAR RE LTD UNSECURED 144A 01/29 VAR                   | CUSIP: 38090EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      4300000 | PA      | $4378045.00    | 0.06%             | 2029-01-08      | Floating      | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-12372.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -21268643 | PA      | $-21360411.82  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC-2005-WCW1                                        | PARK PLACE SECURITIES INC PPSI 2005 WCW1 M4                   | CUSIP: 70069FKH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2200000 | PA      | $1993131.80    | 0.03%             | 2035-09-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -31046824 | PA      | $-31124984.85  | -0.43%            |  |  |  | No            |                  2 | On Loan: No      |
| BXP TRUST 2017-GM 2017-CC                                                  | BXP TRUST BXP 2017 CC D 144A                                  | CUSIP: 05607CAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6000000 | PA      | $5018287.20    | 0.07%             | 2037-08-13      | Variable      | 3.55%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-1A                                             | ROCKFORD TOWER CLO LTD ROCKT 2017 1A SUB 144A                 | CUSIP: 77340FAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     22000000 | PA      | $4877621.76    | 0.07%             | 2034-04-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 2A1              | CUSIP: 45670CAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       120649 | PA      | $99064.83      | 0.00%             | 2037-06-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-14H                                                   | LEHMAN XS TRUST LXS 2007 14H A12                              | CUSIP: 52525LAR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3348946 | PA      | $3201489.22    | 0.04%             | 2047-07-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| KRONOS FUNDING                                                             | KRONOS CLASS F PLACEHODER 144A 2938479A9                      | CUSIP: 990ADDMU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11381000 | PA      | $9204040.95    | 0.13%             | 2026-04-15      | Floating      | 7.98%                 | No            |                  3 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-5R                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 5R A5                  | CUSIP: 12640QAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11413557 | PA      | $2321362.21    | 0.03%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                               | UBS GROUP AG REG COMMON STOCK USD.1                           | CUSIP: ACI09N1W4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | EC               | CORP              | CH        |        12342 | NS      | $481256.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                        | MFRA TRUST MFRA 2020 NQM2 B1 144A                             | CUSIP: 552751AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14456000 | PA      | $14016787.69   | 0.19%             | 2065-04-25      | Variable      | 4.04%                 | No            |                  2 | On Loan: No      |
| DRYDEN 123 CLO LTD 2025-123A                                               | DRYDEN SENIOR LOAN FUND DRSLF 2025 123A SUB 144A              | CUSIP: 26253PAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      8400000 | PA      | $6407558.05    | 0.09%             | 2038-04-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                              | EGYPT TREASURY BILL BILLS 10/26 0.00000                       | CUSIP: ACI3187G8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     86400000 | PA      | $1389260.66    | 0.02%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OAKWOOD MORTGAGE INVESTORS INC 1999-D                                      | OAKWOOD MORTGAGE INVESTORS INC OAK 1999 D A1                  | CUSIP: 67087TAQ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       368770 | PA      | $373920.78     | 0.01%             | 2029-11-15      | Fixed         | 7.84%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                      | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 A E 144A            | CUSIP: 80290CCM4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       790857 | PA      | $803683.68     | 0.01%             | 2032-06-15      | Fixed         | 7.76%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-SHL1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 SHL1 M1 144A         | CUSIP: 17312WAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4267000 | PA      | $3672662.37    | 0.05%             | 2046-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| STWD 2021-HTS MORTGAGE TRUST 2021-HTS                                      | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 HTS F 144A           | CUSIP: 78486DAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6612000 | PA      | $6616554.35    | 0.09%             | 2034-04-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLDING COMMON STOCK                        | CUSIP: ACI2J2G58<br>LEI: 529900GNB86RB7HRX793 | Long             | EC               | CORP              | LU        |       843935 | NS      | $0.97          | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| BEAR STEARNS ALT-A TR 2005-2                                               | BEAR STEARNS ALT A TRUST BALTA 2005 2 1M2                     | CUSIP: 07386HQT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5237093 | PA      | $4602654.40    | 0.06%             | 2035-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A7                                         | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A7 A2                | CUSIP: 76114QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6160549 | PA      | $2195502.50    | 0.03%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -18144200 | PA      | $-24086082.90  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-3                          | FREDDIE MAC   SCRT SCRT 2020 3 BXS 144A                       | CUSIP: 35563PUB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1860341 | PA      | $1082444.71    | 0.01%             | 2060-05-25      | Variable      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -12030442 | PA      | $-12037921.78  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1920240 | PA      | $-1924993.13   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2020-1A                                             | MARLETTE FUNDING TRUST MFT 2020 1A CERT 144A                  | CUSIP: 57109J108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        33014 | PA      | $10804.33      | 0.00%             | 2030-03-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-AF1                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 1A10             | CUSIP: 59024KAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15934557 | PA      | $2566939.16    | 0.04%             | 2037-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -638958 | PA      | $-643302.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU LNG SRL                                                               | PERU LNG SRL SR UNSECURED REGS 03/30 5.375                    | CUSIP: P7721BAE1<br>LEI: 254900F70J1LOALV5K70 | Long             | DBT              | CORP              | PE        |     31373607 | PA      | $30475766.33   | 0.42%             | 2030-03-22      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| ASTON BIDCO (HOLDING) LIMITED                                              | ASTON XLN TOPCO LIMITED 2025 GBP TERM LOAN                    | CUSIP: BA000N1C9<br>LEI: 254900476AM2MRUEVQ86 | Long             | LON              | CORP              | JE        |     12657500 | PA      | $16236423.61   | 0.22%             | 2032-07-30      | Floating      | 9.85%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260429                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-29858.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                                             | ARGENT SECURITIES INC. ARSI 2006 W3 A2B                       | CUSIP: 040104SQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       969422 | PA      | $295489.71     | 0.00%             | 2036-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4068750 | PA      | $-4098117.33   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                             | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 1A1               | CUSIP: 93934NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2656211 | PA      | $1919210.50    | 0.03%             | 2036-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -1049580 | PA      | $-1225791.62   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3                                    | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M2                 | CUSIP: 00764MFS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        65925 | PA      | $65582.58      | 0.00%             | 2035-08-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B2 144A             | CUSIP: 85573RAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       400000 | PA      | $294541.76     | 0.00%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS SR SECURED 144A 12/30 11.5           | CUSIP: 553283AF9<br>LEI: 5493002WXOPRPTXWTU06 | Long             | DBT              | CORP              | US        |     14436423 | PA      | $13063991.82   | 0.18%             | 2030-12-31      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| STRATTON HAWKSMOOR 2022-1 PLC 22-1A                                        | STRATTON HAWKSMOOR PLC HWKSM 2022 1A E 144A                   | CUSIP: ACI27FLZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1967000 | PA      | $2599053.15    | 0.04%             | 2053-02-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| CSMC SERIES 2011-6R                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2011 6R 4A2 144A            | CUSIP: 12645QCY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1197418 | PA      | $1139584.50    | 0.02%             | 2037-04-28      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL INC 2006-HE2                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE2 A2C                  | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         8739 | PA      | $7290.06       | 0.00%             | 2036-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE3                                       | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE3 2A4                | CUSIP: 65536QAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3500000 | PA      | $3058625.50    | 0.04%             | 2036-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD JPY BOUGHT USD 20260507                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-395574.35    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                          | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 05/35 9.75         | CUSIP: P7807HAQ8<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     15800000 | PA      | $6601240.00    | 0.09%             | 2035-05-17      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-111                                                 | FANNIE MAE FNR 2011 111 PS                                    | CUSIP: 3136A2HD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       257607 | PA      | $3219.50       | 0.00%             | 2040-03-25      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR3                                                    | BCAP LLC TRUST BCAP 2010 RR3 7A6 144A                         | CUSIP: 05532WDF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1782862 | PA      | $1505469.07    | 0.02%             | 2035-11-26      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1129710 | PA      | $-1131077.19   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225401AX66 CREDIT SUISSE GROUP AG             | CUSIP: 952NPJ000<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |       200000 | PA      | $70000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB3                                           | COUNTRYWIDE HOME LOANS CWHL 2006 HYB3 4A1B                    | CUSIP: 1266944K1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       263597 | PA      | $247732.17     | 0.00%             | 2036-05-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT CNH SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $12756.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A1              | CUSIP: 466285AK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7352 | PA      | $3084.55       | 0.00%             | 2036-11-25      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                              | EGYPT TREASURY BILL BILLS 11/26 0.00000                       | CUSIP: ACI355705<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    580400000 | PA      | $9175386.39    | 0.13%             | 2026-11-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A9             | CUSIP: 12667G4Q3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       381855 | PA      | $215556.30     | 0.00%             | 2035-10-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 3A3              | CUSIP: 933634AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1225280 | PA      | $1103184.75    | 0.02%             | 2037-03-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 B3 144A         | CUSIP: 617941AJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       700000 | PA      | $656545.75     | 0.01%             | 2070-01-25      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -462899 | PA      | $-464162.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A8                | CUSIP: 761136AH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       359806 | PA      | $108855.05     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRETM 2025-RPL5 CERT TRUST                                                 | PRETM 2025 RPL5 TR 01/70 1                                    | CUSIP: 69383JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16544882 | PA      | $14015924.25   | 0.19%             | 2070-01-27      | Fixed         | 4.42%                 | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS LLC 2025 EXCHNG 1ST OUT TERM LOAN    | CUSIP: 55328HAP6<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |       999290 | PA      | $999040.34     | 0.01%             | 2030-12-31      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| HARP FINCO LIMITED                                                         | HARP FINCO LIMITED GBP TERM LOAN                              | CUSIP: BA0008GH5<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     19324286 | PA      | $25762659.71   | 0.35%             | 2032-03-27      | Floating      | 8.73%                 | No            |                  3 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-6                                      | DEUTSCHE ALT A SECURITIES INC DBALT 2005 6 2A3                | CUSIP: 251510KH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       355555 | PA      | $303798.57     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260911                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-38031.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-8                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 8 1A1                | CUSIP: 05953LAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2424849 | PA      | $2156147.83    | 0.03%             | 2037-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | REPUBLIC OF PERU SR UNSECURED 144A 08/34 5.4                  | CUSIP: 715638CZ3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |         1000 | PA      | $273.03        | 0.00%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260504                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-1353998.80   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR3                                                    | BCAP LLC TRUST BCAP 2010 RR3 14A6 144A                        | CUSIP: 05532WGU3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1960794 | PA      | $1578840.74    | 0.02%             | 2037-08-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 XS 144A                 | CUSIP: 59980XAR8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     43305225 | PA      | $186619.54     | 0.00%             | 2058-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | HSBC REVERSE REPO EUR ZCP                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |      -971980 | PA      | $-1123953.49   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MARINE ONE HOLDCO LLC                                                      | WEST MARINE NEW COMMON STOCK EQTYWM9A9                        | CUSIP: 902LVFII8<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        43000 | NS      | $271664.07     | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A G 144A                                   | CUSIP: ACI2JTMY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      2676000 | PA      | $3471054.10    | 0.05%             | 2049-12-28      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD JPY BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-89506.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                          | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 096003AD0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       300000 | PA      | $296745.00     | 0.00%             | 2029-01-08      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M5                | CUSIP: 64352VKX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1066993 | PA      | $1069158.87    | 0.01%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM1                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM1 B3 144A         | CUSIP: 61775UAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4006000 | PA      | $3951342.13    | 0.05%             | 2068-12-25      | Variable      | 7.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A4             | CUSIP: 02147DAU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4518831 | PA      | $4318770.97    | 0.06%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR5                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR5 2A1              | CUSIP: 45669EAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1328876 | PA      | $1080161.06    | 0.01%             | 2037-05-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                      | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875             | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     13118553 | PA      | $11872290.47   | 0.16%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B4                | CUSIP: 41161PSY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       659689 | PA      | $600851.85     | 0.01%             | 2035-06-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 B2                | CUSIP: 41161PSW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2858399 | PA      | $2652751.93    | 0.04%             | 2035-06-20      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-11                                             | COUNTRYWIDE HOME LOANS CWHL 2005 11 6A1                       | CUSIP: 12669GUX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       133533 | PA      | $62770.26      | 0.00%             | 2035-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-C                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 C M1                | CUSIP: 64352VNZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       859610 | PA      | $836862.44     | 0.01%             | 2035-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                       | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P D 144A          | CUSIP: 55375KAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5980000 | PA      | $5507347.98    | 0.08%             | 2039-09-13      | Fixed         | 3.74%                 | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 E 144A                     | CUSIP: 20048FAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10004200 | PA      | $9522646.83    | 0.13%             | 2038-12-15      | Floating      | 7.94%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE CORPORATION                                                      | SYNIVERSE PFD PIK PFDJJZ917                                   | CUSIP: 936UVD902<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     23556569 | NS      | $19819578.75   | 0.27%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3996123 | PA      | $-4043743.14   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3103296 | PA      | $-3105706.23   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| ALIGNED DATA CENTERS INTERNATIONAL LP                                      | ALIGNED DATA CENTERS INTER LP 2024 TERM LOAN                  | CUSIP: BA000JN59<br>LEI: 2549007PAQ06QVDCLR50 | Long             | LON              | CORP              | US        |     30300000 | PA      | $30496719.42   | 0.42%             | 2029-12-18      | Floating      | 7.22%                 | No            |                  3 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM D 144A            | CUSIP: 04965JAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9300000 | PA      | $8915212.50    | 0.12%             | 2036-12-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                             | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A                     | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21944000 | PA      | $17540938.59   | 0.24%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-3Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1633131.07    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA INVESTMENT HOLDINGS LIMITED                                   | VIRGIN MEDIA INV HLDGS LTD 2025 GBP TERM LOAN                 | CUSIP: BA000VZK6<br>LEI: 549300ZM1VNUHR0FX008 | Long             | LON              | CORP              | GB        |      1600000 | PA      | $2033050.30    | 0.03%             | 2030-08-01      | Floating      | 6.98%                 | No            |                  3 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA 2025 EUR TERM LOAN B11                       | CUSIP: BA000QF11<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |       151544 | PA      | $174443.15     | 0.00%             | 2028-04-30      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                            | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                      | CUSIP: 73110JAC6<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      2300000 | PA      | $2410860.00    | 0.03%             | 2028-01-07      | Floating      | 14.13%                | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                         | VERUS SECURITIZATION TRUST VERUS 2025 R1 AIOS 144A            | CUSIP: 92541AAJ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    381907113 | PA      | $2200682.45    | 0.03%             | 2065-05-25      | Variable      | 0.30%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS A 144A           | CUSIP: 61692AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6246000 | PA      | $4815978.30    | 0.07%             | 2036-12-15      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 26-NQM2                                | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2026 NQM2 XS 144A          | CUSIP: 64832MAM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170449431 | PA      | $6397137.58    | 0.09%             | 2065-12-25      | Variable      | 1.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -48274733 | PA      | $-48412181.89  | -0.66%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20270610                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-1815.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | NISSAN MOTOR CO LTD SNR JP SP BRC                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | JP        |            1 | NC      | $-104413.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORESEA HOLDING SA                                                         | DRILLCO HLDG LUX S A COMMON STOCK                             | CUSIP: 000000000<br>LEI: 254900BAD50AKYGIMV79 | Long             | EC               | CORP              | LU        |       237203 | NS      | $5455669.00    | 0.07%             |  |  |  | No            |                  3 | On Loan: No      |
| CDK GLOBAL (CENTRAL PARENT LLC / CDK GLOBAL II LLC / CDK FINANCING CO INC) | CNT PRNT/CDK GLO II/FIN SR SECURED 144A 06/29 8               | CUSIP: 154915AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     27220000 | PA      | $20258567.75   | 0.28%             | 2029-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 E 144A         | CUSIP: 46649JAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13987342 | PA      | $13381340.19   | 0.18%             | 2035-02-15      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS10                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS10 A15             | CUSIP: 751155AQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       171296 | PA      | $149315.46     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2016-ISQ                        | BANC OF AMERICA MERRILL LYNCH BAMLL 2016 ISQ D 144A           | CUSIP: 05523GAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8000000 | PA      | $1212540.00    | 0.02%             | 2034-08-14      | Variable      | 3.61%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                              | EGYPT GOVERNMENT BOND BONDS 10/30 19.698                      | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   5265900000 | PA      | $94856695.27   | 1.30%             | 2030-10-14      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-85                                                  | FANNIE MAE FNR 2012 85 PI                                     | CUSIP: 3136A7E73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       400313 | PA      | $28695.61      | 0.00%             | 2032-08-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-B                                             | FREMONT HOME LOAN TRUST FHLT 2005 B M6                        | CUSIP: 35729PKA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4300000 | PA      | $3840551.88    | 0.05%             | 2035-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1                    | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       202877 | PA      | $110748.94     | 0.00%             | 2036-10-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -14493785 | PA      | $-14516250.66  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -2286287 | PA      | $-3035497.02   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                               | LEHMAN MORTGAGE TRUST LMT 2007 8 2A1                          | CUSIP: 52521YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3133006 | PA      | $1153963.52    | 0.02%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.22 03/25/22-01/04/27 CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-137807.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD NGN BOUGHT USD 20261118                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |            1 | NC      | $-1624.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3567102 | PA      | $-3592571.10   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 3.00000 09/16/26-30Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $347716.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1721070 | PA      | $-1722312.07   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -443263 | PA      | $-444075.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                                               | AMS OSRAM AG SR UNSECURED REGS 03/29 10.5                     | CUSIP: ACI2L69P0<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |     57800000 | PA      | $70203378.64   | 0.96%             | 2029-03-30      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB4                                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB4 2A1                     | CUSIP: 12669GM24<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        16522 | PA      | $15708.42      | 0.00%             | 2035-08-20      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.50000 09/21/22-30Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $18987719.87   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR14                                                   | BCAP LLC TRUST BCAP 2009 RR14 11A2 144A                       | CUSIP: 05532LBX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5166061 | PA      | $4474067.45    | 0.06%             | 2037-04-26      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP G 144A            | CUSIP: 12651QAS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8500000 | PA      | $8345068.80    | 0.11%             | 2032-07-15      | Floating      | 9.04%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A RRC 144A               | CUSIP: ACI0YB0R4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          176 | PA      | $38523.83      | 0.00%             | 2049-12-21      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MIZUHO SECURITIES                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -54498967 | PA      | $-54556130.71  | -0.75%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260916                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-2594907.57   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO GBP ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |      -802000 | PA      | $-1064194.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -5598536 | PA      | $-5615027.19   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                            | IHEARTMEDIA INC   CLASS A COMMON STOCK                        | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      2021190 | NS      | $5901874.80    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR8                                         | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 2A              | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       222132 | PA      | $197766.24     | 0.00%             | 2046-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260508                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-139861.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF2                                         | STRUCTURED ASSET SECURITIES CO SASC 2007 WF2 A3               | CUSIP: 86364LAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1204 | PA      | $1203.79       | 0.00%             | 2037-08-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                | NEWGATE FUNDING PLC NGATE 2007 3X CB REGS                     | CUSIP: B2NDQJII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1605455 | PA      | $1790717.51    | 0.02%             | 2050-12-15      | Floating      | 3.65%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                 | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7          | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |      3500000 | PA      | $1070145.69    | 0.01%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED 144A 06/27 10                              | CUSIP: 67117EAE8<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |     88781465 | PA      | $43059010.53   | 0.59%             | 2027-06-30      | Fixed         | 13.50%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1             | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       241981 | PA      | $225362.90     | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -553581 | PA      | $-553902.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                                                   | FLORA FOOD MANAGEMENT BV SR SECURED 144A 10/30 7.5            | CUSIP: ACI386PJ9<br>LEI: 2549002VGA888UKFKS25 | Long             | DBT              | CORP              | NL        |      5300000 | PA      | $6071586.28    | 0.08%             | 2030-10-31      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                          | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/27 5.375        | CUSIP: P7807HAC9<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |       100000 | PA      | $33480.00      | 0.00%             | 2027-04-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GR SECURED 144A 04/29 11.75             | CUSIP: 650929AD4<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |     30439269 | PA      | $12411626.24   | 0.17%             | 2029-04-30      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTG SECURITIES 1999-2                                     | SALOMON BROTHERS MORTGAGE SECU SBM7 1999 2 A4                 | CUSIP: 79548KH35<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        72807 | PA      | $72267.32      | 0.00%             | 2029-02-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2790257 | PA      | $-2800586.86   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -68060683 | PA      | $-68527109.63  | -0.94%            |  |  |  | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                          | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 096003AE8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       250000 | PA      | $246350.00     | 0.00%             | 2029-01-08      | Floating      | 11.51%                | No            |                  2 | On Loan: No      |
| IHEARTCOMMUNICATIONS INC                                                   | IHEARTCOMMUNICATIONS INC 2024 TERM LOAN                       | CUSIP: 45174UAJ7<br>LEI: 54930076J6KDZL504O62 | Long             | LON              | CORP              | US        |     14971381 | PA      | $13167778.71   | 0.18%             | 2029-05-01      | Floating      | 9.56%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 26-NQM3                     | MORGAN STANLEY RESIDENTIAL MOR MSRM 2026 NQM3 B3 144A         | CUSIP: 617960AL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6428000 | PA      | $5936380.13    | 0.08%             | 2071-03-25      | Variable      | 6.69%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                         | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 3A1              | CUSIP: 16162WQH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2293809 | PA      | $2050481.16    | 0.03%             | 2036-01-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R2                                       | MORGAN STANLEY REREMIC TRUST MSRR 2010 R2 1B 144A             | CUSIP: 61758VAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       110602 | PA      | $108476.06     | 0.00%             | 2035-09-26      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| STRATEGIC GAMING MANAGEMENT LLC                                            | STRATEGIC GAMING COMMITMENT TERM LOAN                         | CUSIP: BA000QXN3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     21000000 | PA      | $21420774.90   | 0.29%             | 2030-10-15      | Fixed         | 10.67%                | No            |                  3 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2005-R10                                       | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R10 M5               | CUSIP: 03072ST21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3996000 | PA      | $3793097.51    | 0.05%             | 2036-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2005-12                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 12 6A1               | CUSIP: 225470RY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       235415 | PA      | $138398.35     | 0.00%             | 2036-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR F 144A             | CUSIP: 12564NAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24000000 | PA      | $20751000.00   | 0.28%             | 2038-11-15      | Floating      | 7.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -19114682 | PA      | $-19215140.65  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC SEASONED LOANS STRUCTURED TRANSACTION SERIES 2020-2            | FREDDIE MAC   SLST SLST 2020 2 MRR 144A                       | CUSIP: 35564CGL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    253168691 | PA      | $171758349.02  | 2.35%             | 2060-09-25      | Variable      | 6.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-294112.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-BC1                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 BC1 B1               | CUSIP: 86359AMC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3631418 | PA      | $3380580.89    | 0.05%             | 2032-05-25      | Floating      | 9.79%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                        | TORREY PINES RE LTD SR UNSECURED 144A 06/31 VAR               | CUSIP: 89141WAK8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       700000 | PA      | $706440.00     | 0.01%             | 2031-06-05      | Floating      | 12.92%                | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-3                                        | RBSSP RESECURITIZATION TRUST RBSSP 2010 3 12A2 144A           | CUSIP: 74929FCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2733456 | PA      | $1351014.40    | 0.02%             | 2037-05-26      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2005-FM1                                       | NOMURA HOME EQUITY LOAN INC NHELI 2005 FM1 M4                 | CUSIP: 65536HAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1926712 | PA      | $1555374.87    | 0.02%             | 2035-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 26-NPL3                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 NPL3 A1 144A         | CUSIP: 69383QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2870192 | PA      | $2848814.35    | 0.04%             | 2056-02-25      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| CAESARS ENTERTAINMENT INC                                                  | CAESARS ENTERTAINMENT INC COMMON STOCK                        | CUSIP: 12769G100<br>LEI: 549300FA4CTCW903Y781 | Long             | EC               | CORP              | US        |            2 | NS      | $52.86         | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 05/26 0.00000                                   | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       200000 | PA      | $199272.50     | 0.00%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2007-3                                       | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2007 3 2A1 144A           | CUSIP: 00703RAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       794099 | PA      | $499173.04     | 0.01%             | 2037-11-25      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| VIALTO PARTNERS (GALAXY US OPCO INC)                                       | GALAXY US OPCO INC. TERM LOAN                                 | CUSIP: 36321DAB3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     54868152 | PA      | $47617874.02   | 0.65%             | 2030-07-31      | Fixed         | 8.87%                 | No            |                  2 | On Loan: No      |
| DBGS MORTGAGE TRUST 2019-1735                                              | DBGS MORTGAGE TRUST DBGS 2019 1735 A 144A                     | CUSIP: 23307EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1715000 | PA      | $1615031.28    | 0.02%             | 2037-04-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM2                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2024 NQM2 AIOS 144A        | CUSIP: 64832BAL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    465841189 | PA      | $2652755.94    | 0.04%             | 2064-09-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A X 144A                   | CUSIP: ACI2C6PW7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     11991000 | PA      | $23156375.33   | 0.32%             | 2062-10-16      | Floating      | 12.74%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-48387.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                                | SES S A COMMON STOCK                                          | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |      1755353 | NS      | $26330295.00   | 0.36%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -10860216 | PA      | $-10893659.03  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | VENTURE GLOBAL LNG INC SNR S* ICE                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $8143150.63    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A4               | CUSIP: 761119AJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10265448 | PA      | $2680414.22    | 0.04%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD JPY BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-63822.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX9                                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX9 2A              | CUSIP: 74924VAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3536377 | PA      | $3322571.59    | 0.05%             | 2036-11-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                    | GSG BIDCO LTD SR SECURED 144A 06/31 4.7                       | CUSIP: ACI38RGT1<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |      3600000 | PA      | $4127793.11    | 0.06%             | 2031-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                         | SPRUCE BIDCO II INC CAD TERM LOAN                             | CUSIP: BA000FPR7<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |      1790387 | PA      | $1276420.44    | 0.02%             | 2032-01-30      | Floating      | 7.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260408                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-175039.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3316600 | PA      | $-3316666.07   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 2A1              | CUSIP: 86360UAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7067385 | PA      | $5038522.13    | 0.07%             | 2046-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NOMURA                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2994309 | PA      | $-3030906.34   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -31697610 | PA      | $-31980845.66  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/35 VAR                | CUSIP: 903724CF7<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      1911693 | PA      | $887025.55     | 0.01%             | 2035-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20270610                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-1808.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                    | DOMINICAN REPUBLIC SR UNSECURED 144A 03/37 10.5               | CUSIP: 25714PFD5<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |   2930600000 | PA      | $50318911.88   | 0.69%             | 2037-03-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| CMLTI 2005-HE4                                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M5               | CUSIP: 17307GQ27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2314345 | PA      | $1689315.80    | 0.02%             | 2035-10-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A9                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A9 A5                | CUSIP: 45660LTS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       516544 | PA      | $296201.57     | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM3                                                       | GSAMP TRUST GSAMP 2006 FM3 A2C                                | CUSIP: 36245TAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2991529 | PA      | $1382622.71    | 0.02%             | 2036-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MARGATE FUNDING LTD                                                        | MARGATE FUNDING LTD MGATE 2004 1A A1J 144A                    | CUSIP: 56659NAB1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14026000 | PA      | $0.14          | 0.00%             | 2044-12-04      | Floating      | 7.35%                 | No            |                  2 | On Loan: No      |
| INCORA INTERMEDIATE II LLC                                                 | INCORA INTERMEDIATE II SR SECURED 144A 01/30 VAR              | CUSIP: 45338XAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     75892700 | PA      | $75892700.00   | 1.04%             | 2030-01-31      | Fixed         | 11.68%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | WORLDLINE SNR SE ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |            1 | NC      | $-24176890.26  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -30754384 | PA      | $-30786061.02  | -0.42%            |  |  |  | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF C 144A               | CUSIP: 04410RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24610000 | PA      | $24491564.38   | 0.33%             | 2035-04-15      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-14                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 14 2A1A             | CUSIP: 41162NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3898830 | PA      | $3726061.40    | 0.05%             | 2047-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -1815360 | PA      | $-2102833.30   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1337572 | PA      | $-1343142.96   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/29 VAR                     | CUSIP: 45870GAK2<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |       250000 | PA      | $250000.00     | 0.00%             | 2029-06-07      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4076436 | PA      | $-4111543.95   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| COHESITY INC                                                               | CLOVER 2024 HOLDINGS INC VERITAS G 1 PREFERRED                | CUSIP: 955EKAII3<br>LEI: 254900JU2GC36CXYYG09 | Long             | EP               | CORP              | US        |        64475 | NS      | $1219435.79    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260504                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $3752.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 XS 144A           | CUSIP: 12656TAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    227185575 | PA      | $6786055.85    | 0.09%             | 2060-01-25      | Variable      | 1.10%                 | No            |                  2 | On Loan: No      |
| MEDIAPRO (SUBCALIDORA 2 SARL)                                              | SUBCALIDORA 2 2024 EUR TERM LOAN                              | CUSIP: BA0007DG2<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |     52304000 | PA      | $59091141.11   | 0.81%             | 2029-08-14      | Floating      | 7.88%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2006-7                                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 7 5A2                 | CUSIP: 61749JAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1636620 | PA      | $428911.62     | 0.01%             | 2036-06-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE8                                     | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE8 M4              | CUSIP: 04541GUR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2439000 | PA      | $2376892.08    | 0.03%             | 2035-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-B                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 B 1A1               | CUSIP: 05950TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14407 | PA      | $12962.93      | 0.00%             | 2046-10-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -12478759 | PA      | $-12505564.55  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-D                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2004 D 5A2                | CUSIP: 05946XNF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        68193 | PA      | $67086.70      | 0.00%             | 2035-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A1                | CUSIP: 059475AQ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       241197 | PA      | $27910.75      | 0.00%             | 2037-06-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-159920.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A PRC 144A               | CUSIP: ACI0YB0Q6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          176 | PA      | $1817120.75    | 0.02%             | 2049-12-21      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM1                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM1 XS 144A         | CUSIP: 61775UAJ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162139719 | PA      | $6008816.90    | 0.08%             | 2068-12-25      | Fixed         | 1.56%                 | No            |                  2 | On Loan: No      |
| BX-2021-SDMF                                                               | BX TRUST BX 2021 SDMF D 144A                                  | CUSIP: 12434CAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1043973 | PA      | $1042876.03    | 0.01%             | 2034-09-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI XCP 144A                            | CUSIP: 92943AAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    515000000 | PA      | $1134210.25    | 0.02%             | 2037-07-05      | Variable      | 0.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6176384 | PA      | $-6198510.98   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2009-R2                                       | MORGAN STANLEY REREMIC TRUST MSRR 2009 R2 1A1B 144A           | CUSIP: 61758MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5288980 | PA      | $5311873.71    | 0.07%             | 2036-04-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/30 VAR                | CUSIP: 903724CD2<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |       605369 | PA      | $356562.34     | 0.00%             | 2030-02-01      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                            | CERBA HEALTHCARE S A S 2022 EUR TERM LOAN D                   | CUSIP: 953BAHII7<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |      1100000 | PA      | $941504.15     | 0.01%             | 2029-02-16      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| HESTIA RE LTD                                                              | HESTIA RE LTD UNSECURED 144A 03/32 VAR                        | CUSIP: 42815KAC6<br>LEI: 549300QRKQ1ZKOXEMZ38 | Long             | DBT              | CORP              | BM        |       500000 | PA      | $508000.00     | 0.01%             | 2032-03-13      | Floating      | 10.27%                | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | YI4360438 NIGERIA OMO BILL                                    | CUSIP: 990ACHTT6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  82979600000 | PA      | $52312976.87   | 0.71%             | 2027-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $2525.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1066500 | PA      | $-1067970.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A2 144A                            | CUSIP: 83743YAC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     10259094 | PA      | $1025.91       | 0.00%             | 2041-01-06      | Floating      | 0.64%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A Z 144A                                   | CUSIP: ACI2JTLB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      5085000 | PA      | $6361931.90    | 0.09%             | 2049-12-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR12                                                   | BCAP LLC TRUST BCAP 2013 RR12 1A5 144A                        | CUSIP: 05490CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3543880 | PA      | $3172644.39    | 0.04%             | 2035-05-26      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A2              | CUSIP: 86363DAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       676134 | PA      | $36508.83      | 0.00%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                         | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     21344000 | PA      | $15135120.04   | 0.21%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                                            | GSR MORTGAGE LOAN TRUST GSR 2007 4F 4A1                       | CUSIP: 362669AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       225949 | PA      | $49935.85      | 0.00%             | 2037-07-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 D 144A           | CUSIP: 69546YAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       469687 | PA      | $469610.49     | 0.01%             | 2032-04-15      | Fixed         | 6.26%                 | No            |                  3 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A2             | CUSIP: 83613FAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3394064 | PA      | $2682493.00    | 0.04%             | 2037-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -124122502 | PA      | $-125192713.79 | -1.71%            |  |  |  | No            |                  2 | On Loan: No      |
| DESARROLLADORA HOMEX SA DE CV (AKA: HOMEX)                                 | DESARROLLADORA HOMEX SAB DE COMMON STOCK                      | CUSIP: B01RQ2907<br>LEI: N/A                  | Long             | EC               | CORP              | MX        |       719113 | NS      | $40.12         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| SEVITA (NATIONAL MENTOR HOLDINGS INC)                                      | NATIONAL MENTOR HOLDINGS SR SECURED 144A 12/30 10.5           | CUSIP: 63688RAF4<br>LEI: 5493004QULJVJP3CNZ62 | Long             | DBT              | CORP              | US        |      9400000 | PA      | $9709701.80    | 0.13%             | 2030-12-15      | Fixed         | 10.50%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2017-ASHF                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2017 ASHF C 144A           | CUSIP: 61691KAJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1976886 | PA      | $1954271.89    | 0.03%             | 2034-11-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A D 144A                 | CUSIP: ACI0Y9JX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       646000 | PA      | $848832.28     | 0.01%             | 2049-12-21      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVT TR 2007-A                                      | AMERICAN HOME MORTGAGE INVESTM AHM 2007 A 13A1 144A           | CUSIP: 026931AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4652680 | PA      | $627120.85     | 0.01%             | 2037-01-25      | Variable      | 6.60%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR 1A2A             | CUSIP: 61748HHB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       159983 | PA      | $153309.40     | 0.00%             | 2035-01-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| MASTR ALTERNATIVE LOANS TRUST 2007-HF1                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2007 HF1 4A1               | CUSIP: 55291YAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10521432 | PA      | $4101527.88    | 0.06%             | 2047-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| 20 TIMES SQUARE TRUST 2018-20TS                                            | 20 TSQ GROUNDCO LLC TSQ 2018 20TS B 144A                      | CUSIP: 90137LAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500000 | PA      | $473218.75     | 0.01%             | 2035-05-15      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                           | TOWD POINT MORTGAGE TRUST TPMT 2020 1 XA 144A                 | CUSIP: 89178WAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       340675 | PA      | $305136.26     | 0.00%             | 2060-01-25      | Variable      | 4.00%                 | No            |                  2 | On Loan: No      |
| CBA COMMERCIAL SMALL BALANCE CMM 2006-2A                                   | CBS COMMERCIAL SMALL BALANCE C CBAC 2006 2A A 144A            | CUSIP: 14983CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       183323 | PA      | $175963.32     | 0.00%             | 2039-01-25      | Variable      | 6.04%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI GROUP FINANCE 2019 INC / CSL CAPITAL LLC            | UNITI GROUP/CSL CAPITAL COMPANY GUAR 144A 02/29 6.5           | CUSIP: 91327BAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     21015000 | PA      | $20428755.89   | 0.28%             | 2029-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                           | GAZPROM PJSC (GAZ FN) SR UNSECURED REGS 06/27 3               | CUSIP: ACI1NC340<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |       200000 | PA      | $172800.00     | 0.00%             | 2027-06-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2798811 | PA      | $-2900253.79   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1213971 | PA      | $-1217846.55   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1             | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       443308 | PA      | $396483.34     | 0.01%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                               | DBGS MORTGAGE TRUST DBGS 2021 W52 E 144A                      | CUSIP: 23308LAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26404000 | PA      | $26350294.26   | 0.36%             | 2039-10-15      | Floating      | 7.09%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 2A3               | CUSIP: 542514RL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16008467 | PA      | $14379466.29   | 0.20%             | 2036-02-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                    | GSG BIDCO LTD SR SECURED 144A 06/36 5.375                     | CUSIP: ACI38RGS3<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |      1850000 | PA      | $2123632.63    | 0.03%             | 2036-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR7                                      | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR7 A2               | CUSIP: 45660NT96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       153159 | PA      | $134371.37     | 0.00%             | 2034-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1113288 | PA      | $-1115184.73   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 9A1                | CUSIP: 05954DAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       278043 | PA      | $224922.60     | 0.00%             | 2037-09-20      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| STEENBOK LUX FINCO 2 SARL                                                  | STEENBOK LUX FINCO 2 SARL 2023 EUR PIK TL B2 RESTRUCTURE      | CUSIP: 948FWLII3<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |     18027646 | PA      | $5626059.86    | 0.08%             | 2028-12-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PROFRAC HOLDINGS II LLC                                                    | PROFRAC HOLDINGS II LLC SR SECURED 144A 01/29 VAR             | CUSIP: 74319TAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     19041000 | PA      | $18993397.50   | 0.26%             | 2029-01-23      | Floating      | 10.93%                | No            |                  2 | On Loan: No      |
| AMS-OSRAM AG                                                               | AMS OSRAM AG SR UNSECURED 144A 03/29 12.25                    | CUSIP: 03217CAB2<br>LEI: 5299001JPPT2QFTV5D76 | Long             | DBT              | CORP              | AT        |     21681000 | PA      | $23078687.35   | 0.32%             | 2029-03-30      | Fixed         | 12.25%                | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                 | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M2 144A                  | CUSIP: 12559QAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15000000 | PA      | $14964264.00   | 0.20%             | 2037-10-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/27 VAR                     | CUSIP: 45870GAA4<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |       250000 | PA      | $254700.00     | 0.00%             | 2027-06-06      | Floating      | 11.51%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $9697.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A4                                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 A4 1A1                    | CUSIP: 46631JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1309857 | PA      | $1028151.38    | 0.01%             | 2037-06-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260507                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $181050.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT AUD SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $1358.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P G 144A           | CUSIP: 61772WAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19500000 | PA      | $16784346.15   | 0.23%             | 2038-12-15      | Floating      | 8.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                    | FREDDIE MAC FHR 4988 WI                                       | CUSIP: 3137FURL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9572251 | PA      | $1823621.08    | 0.02%             | 2050-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-3                                      | CONSECO FINANCE SECURITIZATION CNF 2000 3 A 144A              | CUSIP: 20846QDJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4584001 | PA      | $703296.75     | 0.01%             | 2030-12-01      | Variable      | 8.26%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 XS 144A                 | CUSIP: 59980YAR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     63447482 | PA      | $282925.01     | 0.00%             | 2066-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED 144A 07/32 5.875                         | CUSIP: ACI2W0QH0<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |      8800000 | PA      | $10318052.99   | 0.14%             | 2032-07-11      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/36 VAR                | CUSIP: 903724CC4<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      3980480 | PA      | $2053927.68    | 0.03%             | 2036-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 B2 144A            | CUSIP: 26844QAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7689300 | PA      | $7666054.48    | 0.10%             | 2068-02-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6104372 | PA      | $-6187971.61   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-7                                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 7 4A1                | CUSIP: 86361BAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2255732 | PA      | $529551.56     | 0.01%             | 2036-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| COMETE HOLDING                                                             | COMEXPOSIUM 2019 EUR TERM LOAN B                              | CUSIP: 964NDFII9<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |     64346532 | PA      | $90737442.39   | 1.24%             | 2031-07-10      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-5                                           | NOVASTAR HOME EQUITY LOAN NHEL 2006 5 A2C                     | CUSIP: 66988YAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       985660 | PA      | $298129.29     | 0.00%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BACKED SEC 2007-7                                         | WELLS FARGO MORTGAGE BACKED SE WFMBS 2007 7 A6                | CUSIP: 94985JAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        19037 | PA      | $17363.91      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR12                                                   | BCAP LLC TRUST BCAP 2012 RR12 3A3 144A                        | CUSIP: 05542BAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1095253 | PA      | $990533.52     | 0.01%             | 2037-06-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -80038735 | PA      | $-80723733.16  | -1.10%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-20CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 20CB A5             | CUSIP: 02147MAE1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      6507709 | PA      | $1124232.16    | 0.02%             | 2036-07-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| AQUEDUCT EUROPEAN CLO 25-15A                                               | AQUEDUCT EUROPEAN C VAR                                       | CUSIP: 958QCWII4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1342714 | PA      | $906142.86     | 0.01%             | 2039-01-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES INC                                                        | VICI PROPERTIES INC REIT USD.01                               | CUSIP: 925652109<br>LEI: 254900RKH6RY9KCJQH63 | Long             | EC               | CORP              | US        |       711293 | NS      | $19432524.76   | 0.27%             |  |  |  | No            |                  1 | On Loan: No      |
| PRIME MORTGAGE TRUST 2006-1                                                | PRIME MORTGAGE TRUST PRIME 2006 1 3A1                         | CUSIP: 74161BAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1049010 | PA      | $774039.68     | 0.01%             | 2036-06-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2004-8                                        | STRUCTURED ASSET INVESTMENT LO SAIL 2004 8 A4                 | CUSIP: 86358ELN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2258499 | PA      | $2231017.48    | 0.03%             | 2034-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF D 144A               | CUSIP: 04410RAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       266000 | PA      | $263098.92     | 0.00%             | 2035-04-15      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-RIVR                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 RIVR A 144A            | CUSIP: 36255WAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1297765 | PA      | $856485.76     | 0.01%             | 2035-07-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2010-R1                                       | MORGAN STANLEY REREMIC TRUST MSRR 2010 R1 2C 144A             | CUSIP: 61758QAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3806379 | PA      | $3732755.74    | 0.05%             | 2035-07-26      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -15418651 | PA      | $-15465086.36  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                  | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9                  | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |        15000 | PA      | $4286.29       | 0.00%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                            | BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1                     | CUSIP: 07387QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       941801 | PA      | $872101.47     | 0.01%             | 2046-06-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUS 2006-FF3                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF3 M1                | CUSIP: 362334AW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5204147 | PA      | $4968534.32    | 0.07%             | 2036-02-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -9346600 | PA      | $-10816546.63  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2020-BOC                        | BANC OF AMERICA MERRILL LYNCH BAMLL 2020 BOC A 144A           | CUSIP: 05551JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18810000 | PA      | $17164081.74   | 0.23%             | 2032-01-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M5               | CUSIP: 04542BKW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       245683 | PA      | $221674.26     | 0.00%             | 2035-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-2                          | FREDDIE MAC   SCRT SCRT 2022 2 M 144A                         | CUSIP: 35563PJ59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3400000 | PA      | $3176097.08    | 0.04%             | 2062-04-25      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -52372367 | PA      | $-52486247.72  | -0.72%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1365.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-7F                                            | GSR MORTGAGE LOAN TRUST GSR 2006 7F 4A1                       | CUSIP: 36298NAY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       565560 | PA      | $131165.58     | 0.00%             | 2036-08-25      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURIZATION TR 2007-3                                         | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 3 22A5               | CUSIP: 57645NAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6001708 | PA      | $5050914.75    | 0.07%             | 2047-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 2A4               | CUSIP: 68402BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1808232 | PA      | $897133.62     | 0.01%             | 2037-04-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M6               | CUSIP: 04542BKX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       429057 | PA      | $340056.13     | 0.00%             | 2035-03-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S6                                       | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S6 1A10              | CUSIP: 762009AK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       137345 | PA      | $109783.25     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M4                | CUSIP: 64352VKW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       341311 | PA      | $369311.01     | 0.01%             | 2035-06-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2005-HE2                                    | IXIS REAL ESTATE CAPITAL TRUST IXIS 2005 HE2 M5               | CUSIP: 45071KBN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1102593 | PA      | $1215602.34    | 0.02%             | 2035-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260916                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-225912.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A R 144A                   | CUSIP: ACI2C6QT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     20785000 | PA      | $5616020.26    | 0.08%             | 2062-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES 2005-HE1                                     | MASTR ASSET BACKED SECURITIES MABS 2005 HE1 M6                | CUSIP: 57643LJK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1200000 | PA      | $1205414.88    | 0.02%             | 2035-05-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| TOBACCO SETTLEMENT FINANCE AUTHORITY                                       | TOBACCO SETTLEMENT FIN AUTH WV TOBGEN 06/47 ZEROCPNOID 0      | CUSIP: 88880LAB9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |    355485000 | PA      | $33029604.39   | 0.45%             | 2047-06-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2018-2A                                             | ROCKFORD TOWER CLO LTD ROCKT 2018 2A SUB 144A                 | CUSIP: 77342LAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      4966667 | PA      | $273492.60     | 0.00%             | 2031-10-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                         | SANDERS RE III LTD UNSECURED 144A 04/29 VAR                   | CUSIP: 80000XAC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |     11610000 | PA      | $7546500.00    | 0.10%             | 2029-04-09      | Floating      | 15.86%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -44684669 | PA      | $-44895928.18  | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A         | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $1035111.80    | 0.01%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                       | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581              | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20530000 | PA      | $21123942.14   | 0.29%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                      | BBCCRE TRUST BBCCR 2015 GTP D 144A                            | CUSIP: 05490TAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7790000 | PA      | $6557190.43    | 0.09%             | 2033-08-10      | Variable      | 4.56%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT AFX 144A        | CUSIP: 46645WAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17215000 | PA      | $16481413.76   | 0.23%             | 2033-07-05      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260409                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $10540.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNICORN BAY (HONG KONG) INVESTMENTS LIMITED                                | UNICORN BAY HKD FIXED TERM LOAN A                             | CUSIP: BA00077Z7<br>LEI: N/A                  | Long             | LON              | CORP              | HK        |    262735252 | PA      | $33925858.64   | 0.46%             | 2026-12-31      | Fixed         | 13.00%                | No            |                  3 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 KS                                       | CUSIP: 3137FUS70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       806756 | PA      | $92848.95      | 0.00%             | 2050-06-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| EUROSAIL-UK 2007-4BL PLC 4X                                                | EUROSAIL PLC ESAIL 2007 4X RESD REGS                          | CUSIP: B2428WII0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         5718 | PA      | $982397.56     | 0.01%             | 2045-06-13      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN ABS MTGE LN TR 2007-1                                               | LEHMAN ABS MORTGAGE LOAN TRUST LABSM 2007 1 2A1 144A          | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3016522 | PA      | $2003992.16    | 0.03%             | 2037-06-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -7821063 | PA      | $-7827366.56   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA 2025 EUR TERM LOAN B12                       | CUSIP: BA000QF37<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |      2729197 | PA      | $3140473.63    | 0.04%             | 2028-10-30      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                            | ARGENT SECURITIES INC. ARSI 2006 W5 A2B                       | CUSIP: 04012XAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6222112 | PA      | $1656512.97    | 0.02%             | 2036-06-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-4                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 4 3A1                  | CUSIP: 12637HAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2351916 | PA      | $711880.83     | 0.01%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260416                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-14517.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260427                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-1489.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -3996050 | PA      | $-4649091.05   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CORESTATE CAPITAL HOLDING SA                                               | CORESTATE CAPITAL HOLD SR UNSECURED REGS 12/28 8              | CUSIP: ACI11QWM1<br>LEI: 529900GNB86RB7HRX793 | Long             | DBT              | CORP              | LU        |       331052 | PA      | $198976.08     | 0.00%             | 2028-12-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3211                                                           | FREDDIE MAC FHR 3211 SH                                       | CUSIP: 31397BA50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       227790 | PA      | $22938.05      | 0.00%             | 2036-09-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASST BKD 2005-FF2                                    | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF2 M6                | CUSIP: 36242DN74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2101241 | PA      | $2025785.22    | 0.03%             | 2035-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -54368326 | PA      | $-56320335.47  | -0.77%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -10731397 | PA      | $-10861574.50  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-7                                         | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 7 1A1               | CUSIP: 41161PPN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       763181 | PA      | $294167.86     | 0.00%             | 2045-06-19      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -2608805 | PA      | $-3016063.89   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD HKD BOUGHT USD 20260420                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |            1 | NC      | $13453.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                           | PROJECT CASHMERE CLASS G 144A                                 | CUSIP: 990ABJSK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     20245000 | PA      | $13968041.51   | 0.19%             | 2057-12-30      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-41675.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2007-2                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2007 2 3A2                | CUSIP: 059475AS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       224324 | PA      | $163542.55     | 0.00%             | 2037-06-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                     | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P F 144A           | CUSIP: 61772WAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18000000 | PA      | $15653615.40   | 0.21%             | 2038-12-15      | Floating      | 7.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -8428683 | PA      | $-8546607.29   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY3                                            | COUNTRYWIDE HOME LOANS CWHL 2007 HY3 4A1                      | CUSIP: 12544WAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       899433 | PA      | $892618.88     | 0.01%             | 2047-06-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.7883 08/30/22-01/04/27 CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $5639234.85    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                            | ARGENT SECURITIES INC. ARSI 2006 W5 A2C                       | CUSIP: 04012XAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3502926 | PA      | $932525.40     | 0.01%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 3A1                    | CUSIP: 46628KAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       147513 | PA      | $120815.88     | 0.00%             | 2036-05-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                 | ENVISION HEALTHCARE CORPORTION 2023 1ST LIEN FIRST OUT TL     | CUSIP: 949ABEII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     16489131 | PA      | $16489131.37   | 0.23%             | 2026-11-03      | Floating      | 11.64%                | No            |                  3 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2018-1                          | FREDDIE MAC   SCRT SCRT 2018 1 BX                             | CUSIP: 35563PEX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4112566 | PA      | $1770510.91    | 0.02%             | 2057-05-25      | Variable      | 3.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CAD BOUGHT USD 20260504                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $8335.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-9                                                   | FANNIE MAE FNR 2008 9 SA                                      | CUSIP: 31396YGT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       315940 | PA      | $37044.22      | 0.00%             | 2038-02-25      | Floating      | 3.22%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2011-63                                                         | FANNIE MAE FNR 2011 63 CS                                     | CUSIP: 31397USG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1175332 | PA      | $113645.00     | 0.00%             | 2041-07-25      | Floating      | 2.14%                 | No            |                  2 | On Loan: No      |
| JP MORGAN RESECURITIZATION TRUST SERIES 2009-9 2009-9                      | JP MORGAN REREMIC JPMRR 2009 9 A2 144A                        | CUSIP: 46633XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       822638 | PA      | $644028.78     | 0.01%             | 2036-09-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 10/34 7.25                         | CUSIP: ACI17K571<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  44962100000 | PA      | $8618026.51    | 0.12%             | 2034-10-18      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B R 144A              | CUSIP: 83206NAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         9288 | PA      | $8584845.16    | 0.12%             | 2055-02-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| BRUCETON MILLS ASSOCIATES LLC                                              | PURIS TERM LOAN                                               | CUSIP: BA0005TS3<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     14953105 | PA      | $14449702.07   | 0.20%             | 2030-07-01      | Floating      | 9.45%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -18005517 | PA      | $-18229145.75  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -9405382 | PA      | $-9406592.14   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| FINASTRA USA INC                                                           | FINASTRA USA INC 2025 1ST LIEN TERM LOAN                      | CUSIP: 31772YAD8<br>LEI: 549300ZB2RO6QC7YTK71 | Long             | LON              | CORP              | US        |      7000000 | PA      | $6590220.00    | 0.09%             | 2032-09-15      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-962.10       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| URSA RE II LTD                                                             | URSA RE II LTD UNSECURED 144A 12/29 VAR                       | CUSIP: 91734PAJ5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       300000 | PA      | $297870.00     | 0.00%             | 2029-12-07      | Floating      | 8.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B             | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15769227 | PA      | $5868375.86    | 0.08%             | 2036-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B14                                          | BENCHMARK MORTGAGE TRUST BMARK 2019 B14 225C 144A             | CUSIP: 08162YBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       700000 | PA      | $20183.10      | 0.00%             | 2062-12-15      | Variable      | 3.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CAD BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $156938.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2005-L                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 L 3A1               | CUSIP: 05949CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        77071 | PA      | $75628.33      | 0.00%             | 2036-01-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-2                     | THE HUNTINGTON NATIONAL BANK HACLN 2024 2 E 144A              | CUSIP: 44644NAL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       426778 | PA      | $420152.81     | 0.01%             | 2032-10-20      | Floating      | 11.17%                | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A1             | CUSIP: 32052FAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        54606 | PA      | $13534.72      | 0.00%             | 2036-11-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                   | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P F 144A           | CUSIP: 90205FAQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2500000 | PA      | $2431138.75    | 0.03%             | 2034-09-15      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MTGE ASSOC 2021-160                                    | GOVERNMENT NATIONAL MORTGAGE A GNR 2021 160 VI                | CUSIP: 38383ATZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     29957498 | PA      | $2375476.82    | 0.03%             | 2036-09-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2004-9                                            | BEAR STEARNS ALT A TRUST BALTA 2004 9 1A1                     | CUSIP: 07386HKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       151843 | PA      | $148819.19     | 0.00%             | 2034-09-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B5 144A               | CUSIP: 59981TBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1265000 | PA      | $701624.53     | 0.01%             | 2059-08-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 B2 144A         | CUSIP: 617941AH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1200000 | PA      | $1181777.88    | 0.02%             | 2070-01-25      | Variable      | 7.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260415                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-22488.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR6                                     | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR6 2A1             | CUSIP: 36185MBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       882588 | PA      | $346116.87     | 0.00%             | 2035-11-19      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22                                 | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 22 2A3              | CUSIP: 02151BAT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7435426 | PA      | $2516179.27    | 0.03%             | 2037-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO GBP ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -28205601 | PA      | $-37573009.49  | -0.51%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 C 144A           | CUSIP: 69544PAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       449700 | PA      | $449920.40     | 0.01%             | 2032-04-15      | Fixed         | 5.82%                 | No            |                  3 | On Loan: No      |
| INDYMAC INDA MORTGAGE LOAN TR 2007-AR1                                     | INDYMAC INDA MORTGAGE LOAN TRU INDA 2007 AR1 3A1              | CUSIP: 45669AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        13123 | PA      | $11394.18      | 0.00%             | 2037-03-25      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                               | REPUBLIC OF ECUADOR SR UNSECURED 144A 01/34 8.75              | CUSIP: ACI389084<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     16500000 | PA      | $16236000.00   | 0.22%             | 2034-01-29      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM E 144A            | CUSIP: 04965JAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7500000 | PA      | $7101937.50    | 0.10%             | 2036-12-15      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| ADAGIO VI CLO DAC VI-A                                                     | ADAGIO CLO ADAGI VI A SUB 144A                                | CUSIP: ACI0YQYN3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1343393 | PA      | $335862.35     | 0.00%             | 2031-04-30      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP BRC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $42322.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5009                                                    | FREDDIE MAC FHR 5009 NI                                       | CUSIP: 3137FWEG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12081594 | PA      | $2293407.89    | 0.03%             | 2050-07-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 4A1                | CUSIP: 05951VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       201166 | PA      | $163506.87     | 0.00%             | 2046-10-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3                          | FREDDIE MAC   SCRT SCRT 2021 3 M 144A                         | CUSIP: 35563P6P9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       700000 | PA      | $654082.52     | 0.01%             | 2061-03-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 B3 144A           | CUSIP: 12656TAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7541100 | PA      | $4071963.24    | 0.06%             | 2060-01-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-1R                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 1R 2A2 144A            | CUSIP: 12640XAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4887282 | PA      | $4525631.51    | 0.06%             | 2035-04-26      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| STREAM INNOVATIONS 2024-1 ISSUER TRUST                                     | STREAM INNOVATIONS ISSUER TRUS STRE 2024 1A A 144A            | CUSIP: 86324CAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       303527 | PA      | $312748.01     | 0.00%             | 2044-07-15      | Fixed         | 6.27%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-8                                               | LEHMAN MORTGAGE TRUST LMT 2007 8 3A1                          | CUSIP: 52521YAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     30401941 | PA      | $8359569.98    | 0.11%             | 2037-09-25      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| LONGLEAF PINE RE LTD                                                       | LONGLEAF PINE RE LTD UNSECURED 144A 05/31 VAR                 | CUSIP: 54307MAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       700000 | PA      | $741055.00     | 0.01%             | 2031-05-27      | Floating      | 21.46%                | No            |                  2 | On Loan: No      |
| CSMC 2020-FACT TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2020 FACT B 144A            | CUSIP: 126395AG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3512000 | PA      | $3409493.50    | 0.05%             | 2037-10-15      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-590097.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -14703471 | PA      | $-14811884.59  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                          | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA B 144A                 | CUSIP: 647622AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6425000 | PA      | $6347687.33    | 0.09%             | 2032-04-15      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-NQM2                              | GS MORTGAGE BACKED SECURITIES GSMBS 2026 NQM2 X 144A          | CUSIP: 362972AM3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    125598709 | PA      | $5914317.59    | 0.08%             | 2061-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| CSWF 2021-SOP2                                                             | CREDIT SUISSE COMMERCIAL MORTG CSWF 2021 SOP2 A 144A          | CUSIP: 12657VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       488624 | PA      | $480656.94     | 0.01%             | 2034-06-15      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -12219477 | PA      | $-12280014.28  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-5 LLC                                                            | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 5 A1 144A            | CUSIP: 69392RAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1801081 | PA      | $1798679.00    | 0.02%             | 2030-07-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                    | ION PLAT FIN US/SARL SR SECURED 144A 05/28 5.75               | CUSIP: 46206AAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       800000 | PA      | $760975.76     | 0.01%             | 2028-05-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20260507                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-12894.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -22556150 | PA      | $-22731729.94  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT IDR SOLD USD 20260610                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |            1 | NC      | $-1241.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORTGAGE FUNDING 2008-1 PLC                                                | MORTGAGE FUNDING PLC MFD 2008 1 B1 REGS                       | CUSIP: ACI1690J6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      1000000 | PA      | $1325513.85    | 0.02%             | 2046-03-13      | Floating      | 7.05%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-BR2                          | SECURITIZED ASSET BACKED RECEI SABR 2007 BR2 A2               | CUSIP: 81378PAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       202587 | PA      | $90728.31      | 0.00%             | 2037-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260424                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $23897.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HILLCREST CDO I LTD 2004-1A                                                | HILLCREST CDO LTD HILLC 2004 1A A1A 144A                      | CUSIP: 43147XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     32572913 | PA      | $5098768.35    | 0.07%             | 2039-12-10      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| HOUT BAY 2006-1                                                            | HOUT BAY HOUT 2006 1A B 144A                                  | CUSIP: 442451AC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      1690000 | PA      | $169.00        | 0.00%             | 2041-07-05      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| SG COMMERCIAL MORTGAGE SECURITIES TRUST 2019-787E                          | SG COMMERCIAL MORTGAGE SECURIT SGCMS 2019 787E E 144A         | CUSIP: 78426RAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9000000 | PA      | $7683751.80    | 0.10%             | 2041-02-15      | Variable      | 4.51%                 | No            |                  2 | On Loan: No      |
| KENYA GOVT                                                                 | REPUBLIC OF KENYA 2024 TERM LOAN A                            | CUSIP: BA000C8P7<br>LEI: 549300VVURQQYU45PR87 | Long             | LON              | NUSS              | KE        |      4166667 | PA      | $4129501.42    | 0.06%             | 2028-04-05      | Floating      | 9.19%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -12467313 | PA      | $-12502527.18  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2009-R6                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2009 R6 2A2 144A          | CUSIP: 05955DAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1056167 | PA      | $1045859.82    | 0.01%             | 2035-06-26      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | WORLDLINE SNR SE ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |            1 | NC      | $-105890.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LENDINGPOINT PASS-THROUGH TRUST SERIES 2022-ST1                            | LENDINGPOINT PASS THROUGH TRUS LPPT 2022 ST1 CERT 144A        | CUSIP: 52607NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1400000 | PA      | $85951.60      | 0.00%             | 2028-03-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.7* 9/16/23-22Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $449771.62     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.83000 12/09/42-10Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $17744731.96   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO JPM CHASE                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |       -93046 | PA      | $-93193.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 05/42 9.25                         | CUSIP: ACI22YPY3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 239072400000 | PA      | $48848563.39   | 0.67%             | 2042-05-28      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                       | VASA TRUST VASA 2021 VASA F 144A                              | CUSIP: 92230AAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4435000 | PA      | $3829933.39    | 0.05%             | 2039-07-15      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260707                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-1532.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-WF1                                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WF1 A3B             | CUSIP: 46628SAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       905736 | PA      | $241581.81     | 0.00%             | 2036-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP SR SECURED 144A 12/26 5.25                      | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     93515000 | PA      | $92766726.64   | 1.27%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP BOA                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1763.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED 144A 10/30 8.5                            | CUSIP: ACI2VMJW8<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |     16727895 | PA      | $20350979.20   | 0.28%             | 2030-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 D 144A         | CUSIP: 46649JAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       699367 | PA      | $675544.90     | 0.01%             | 2035-02-15      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR8                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR8 2A1A             | CUSIP: 45660LJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        21731 | PA      | $20879.01      | 0.00%             | 2035-04-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2021-1440             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2021 1440 B 144A         | CUSIP: 46653DAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7900000 | PA      | $6610692.35    | 0.09%             | 2036-03-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -12822213 | PA      | $-12846397.41  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1768800 | PA      | $-1778531.94   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD KWD BOUGHT USD 20290502                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $172281.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-4CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 4CB 1A6             | CUSIP: 12668BPS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       166485 | PA      | $72658.23      | 0.00%             | 2036-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4265602 | PA      | $-4297385.47   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GRP INC. 2025 NEW MONEY TRANCHE A TL    | CUSIP: 65131PAB5<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |      5022634 | PA      | $3817201.49    | 0.05%             | 2029-04-30      | Floating      | 9.42%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA3                                      | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA3 3A4              | CUSIP: 74958TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        79668 | PA      | $61965.00      | 0.00%             | 2037-07-27      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| SONANGOL FINANCE LTD                                                       | SONANGOL FINANCE LTD COMPANY GUAR 144A 01/31 10               | CUSIP: ACI387RK2<br>LEI: N/A                  | Long             | DBT              | CORP              | AO        |      4800000 | PA      | $4786799.47    | 0.07%             | 2031-01-29      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-AL1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 AL1 A1              | CUSIP: 02150NAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       442616 | PA      | $376079.32     | 0.01%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY10 2A1            | CUSIP: 12668BUH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1534342 | PA      | $1484407.12    | 0.02%             | 2036-05-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 E 144A           | CUSIP: 69546YAB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       579613 | PA      | $565287.62     | 0.01%             | 2032-04-15      | Fixed         | 10.27%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $9690.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I INC 2005-S7                      | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 S7 A2                | CUSIP: 76111XZS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        36649 | PA      | $24384.30      | 0.00%             | 2035-11-25      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR1                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A6               | CUSIP: 939336PC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        17694 | PA      | $17552.40      | 0.00%             | 2033-03-25      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| MERLIN ENTERTAINMENTS (MOTION FINCO SARL)                                  | MOTION FINCO SARL 2024 USD TERM LOAN B                        | CUSIP: L6526BAG9<br>LEI: 2549002L1LBQZKA7UN30 | Long             | LON              | CORP              | LU        |     13714809 | PA      | $12064163.00   | 0.16%             | 2029-11-12      | Floating      | 7.20%                 | No            |                  2 | On Loan: No      |
| AVENIR ISSUER IV (IRELAND) DESIGNATED ACTIVITY COMPANY                     | AVENIR ISSUER IV IRLND SR SECURED REGS 10/27 6                | CUSIP: ACI2S8C83<br>LEI: 894500E9CKDEAOMG0B46 | Long             | DBT              | NUSS              | IE        |      5550191 | PA      | $5377613.54    | 0.07%             | 2027-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A1AV 144A                          | CUSIP: 83743YAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      9983006 | PA      | $1873121.34    | 0.03%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -736232 | PA      | $-736740.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | TRS YJL 01/28/36 MYC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | CN        |            1 | NC      | $-1751962.38   | -0.02%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260630                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-590.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260407                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $278275.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                   | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 4A3             | CUSIP: 94985GBG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1279558 | PA      | $1122076.71    | 0.02%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BONANZA RE LTD                                                             | BONANZA RE LTD UNSECURED 144A 01/27 VAR                       | CUSIP: 09785EAR2<br>LEI: 5493003F0CXUQ2C83105 | Long             | DBT              | CORP              | BM        |      1100000 | PA      | $933350.00     | 0.01%             | 2027-01-08      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260417                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-44367.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W18                                              | FANNIEMAE WHOLE LOAN FNW 2003 W18 1IO2                        | CUSIP: 31393UNU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13830134 | PA      | $561457.79     | 0.01%             | 2043-08-25      | Variable      | 1.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -42525934 | PA      | $-49250956.96  | -0.67%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2020-2                          | FREDDIE MAC   SCRT SCRT 2020 2 BXS 144A                       | CUSIP: 35563PRM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12597768 | PA      | $6419462.12    | 0.09%             | 2059-11-25      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 05/26 0.00000                                   | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      7161000 | PA      | $7121212.98    | 0.10%             | 2026-05-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSC CAPITAL CORP MORTGAGE TRUST 2006-2                                     | GSC CAPITAL CORP MORTGAGE TRUS GSCC 2006 2 A1                 | CUSIP: 362480AD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       811455 | PA      | $805408.58     | 0.01%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-AON            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 AON A 144A          | CUSIP: 46649XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3360000 | PA      | $2777428.08    | 0.04%             | 2031-07-05      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2004-11                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 11 2A2A             | CUSIP: 41161PKA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        87364 | PA      | $69653.35      | 0.00%             | 2035-01-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260420                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-12293.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR8                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR8 A1               | CUSIP: 92922FTJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        54958 | PA      | $55484.37      | 0.00%             | 2044-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A6                  | CUSIP: 22942JAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       135214 | PA      | $57769.44      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                            | CERBA HEALTHCARE SAS 2021 EUR TERM LOAN B                     | CUSIP: 937NEWII5<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |     15900000 | PA      | $13589901.45   | 0.19%             | 2028-06-30      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 26-NQM2                                | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2026 NQM2 AIOS 144A        | CUSIP: 64832MAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    170449431 | PA      | $908094.91     | 0.01%             | 2065-12-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -38516714 | PA      | $-38944142.58  | -0.53%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -14150103 | PA      | $-14183485.63  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2005-J10                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J10 1A15            | CUSIP: 12668ABM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        93237 | PA      | $58375.21      | 0.00%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -28780588 | PA      | $-28835766.42  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR9                                                    | BCAP LLC TRUST BCAP 2013 RR9 4A5 144A                         | CUSIP: 05542WAX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4277275 | PA      | $2730293.59    | 0.04%             | 2037-10-26      | Variable      | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260518                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-740.24       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR2                                                    | BCAP LLC TRUST BCAP 2010 RR2 7A4 144A                         | CUSIP: 05532VBR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1768943 | PA      | $1495061.21    | 0.02%             | 2036-06-26      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 AIOS 144A         | CUSIP: 12656TAM0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    186349385 | PA      | $1973141.83    | 0.03%             | 2060-01-25      | Variable      | 0.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260408                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $66780.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR4                                                    | BCAP LLC TRUST BCAP 2010 RR4 6A12 144A                        | CUSIP: 05532XAL7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2993199 | PA      | $2039479.19    | 0.03%             | 2035-12-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2615156 | PA      | $-2617986.77   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -11987645 | PA      | $-12015609.91  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 2A               | CUSIP: 92927BAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       324718 | PA      | $287389.97     | 0.00%             | 2047-07-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED 144A 12/28 8.5                             | CUSIP: 67117EAG3<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |    153997711 | PA      | $1636225.68    | 0.02%             | 2028-12-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-10                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 10 1AF5               | CUSIP: 12666PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6181370 | PA      | $4484980.81    | 0.06%             | 2046-09-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260430                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-45195.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260506                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-3982.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORP LOAN TRUST 2005-AR4                                     | GMAC MORTGAGE CORPORATION LOAN GMACM 2005 AR4 3A1             | CUSIP: 76112BUG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        14867 | PA      | $12915.41      | 0.00%             | 2035-07-19      | Floating      | 3.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -9926372 | PA      | $-10036637.15  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-23                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 23 3A1               | CUSIP: 863579L48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       485665 | PA      | $256619.44     | 0.00%             | 2036-01-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2004 B 1A1                | CUSIP: 05946XHV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       177730 | PA      | $150706.50     | 0.00%             | 2034-12-20      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2940699 | PA      | $-2941373.73   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S4                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S4 A4               | CUSIP: 466302AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       962544 | PA      | $1005038.00    | 0.01%             | 2036-12-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| 280 PARK AVENUE 2017-280P MORTGAGE TRUST                                   | 280 PARK AVENUE MORTGAGE TRUST PRK 2017 280P D 144A           | CUSIP: 90205FAL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12600000 | PA      | $12417772.50   | 0.17%             | 2034-09-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-109                                                        | FANNIE MAE FNR 2007 109 PI                                    | CUSIP: 31396X2X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26415 | PA      | $1645.57       | 0.00%             | 2037-12-25      | Floating      | 2.57%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE SA RL                                                 | ION PLATFORM FINANCE SAR SECURED REGS 05/29 7.875             | CUSIP: ACI30YBC6<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | DBT              | CORP              | LU        |     15400000 | PA      | $16612386.97   | 0.23%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN AGCREDIT CORPORATION                                              | AMER AGCREDIT ACA JR SUBORDINA 144A VAR                       | CUSIP: 02369GAA3<br>LEI: N/A                  | Long             | EP               | CORP              | US        |     10000000 | NS      | $10055600.00   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED REGS 10/30 8.5                            | CUSIP: ACI2VMKZ9<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |      2260526 | PA      | $2750132.36    | 0.04%             | 2030-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-21644.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M5                | CUSIP: 64352VKE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       813347 | PA      | $819399.16     | 0.01%             | 2035-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM1                                                       | GSAMP TRUST GSAMP 2006 FM1 A2C                                | CUSIP: 362334PJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       377062 | PA      | $246503.67     | 0.00%             | 2036-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| BARCLAYS COMMERCIAL MORTGAGE TRUST 2020-C6                                 | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2020 C6 F5TA 144A        | CUSIP: 05492TBF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1250000 | PA      | $1018110.75    | 0.01%             | 2053-02-15      | Variable      | 3.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 06/20/24-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-320708.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LAVENDER TRUST SERIES 2010-RR2A                                            | LAVENDER TRUST LTS 2010 RR2A A4 144A                          | CUSIP: 519440AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3326151 | PA      | $1403419.85    | 0.02%             | 2036-10-26      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF MONTREAL REVERSE REPO.                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3709594 | PA      | $-3726979.63   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| OCADO GROUP PLC                                                            | OCADO GROUP PLC COMPANY GUAR REGS 06/30 11                    | CUSIP: ACI2WWMJ0<br>LEI: 213800LO8F61YB8MBC74 | Long             | DBT              | CORP              | GB        |     21580000 | PA      | $28525648.03   | 0.39%             | 2030-06-15      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| ALTICE FRANCE LUX 3                                                        | LUXCO3 SHARES COMMON STOCK                                    | CUSIP: 929YHW907<br>LEI: N/A                  | Long             | EC               | CORP              | FR        |       537634 | NS      | $9942790.04    | 0.14%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260409                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $19573.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5                    | SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1               | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1097716 | PA      | $850100.98     | 0.01%             | 2035-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| HSI ASSET LOAN OBLIGATION 2007-1                                           | HSI ASSET LOAN OBLIGATION HALO 2007 1 1A1                     | CUSIP: 40431TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1150809 | PA      | $1082824.99    | 0.01%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4725519 | PA      | $-4741822.35   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -8498402 | PA      | $-8529362.55   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                      | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75              | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     36103625 | PA      | $35942783.35   | 0.49%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2006-3                                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 3 1A10              | CUSIP: 05950LAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        47875 | PA      | $41242.47      | 0.00%             | 2036-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP CBK                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $13652.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-2                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 2 B5 144A                 | CUSIP: 89177JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     46170590 | PA      | $6385064.72    | 0.09%             | 2058-12-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A2              | CUSIP: 073879V21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        11915 | PA      | $12075.71      | 0.00%             | 2034-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A YC 144A                                  | CUSIP: ACI2JTLC8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | GB        |      9500000 | PA      | $18.86         | 0.00%             | 2049-12-28      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU E 144A            | CUSIP: 36256AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10358000 | PA      | $10327837.50   | 0.14%             | 2032-11-15      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260916                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-225912.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -19139732 | PA      | $-19191653.36  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4035786 | PA      | $-4054658.91   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING 06/60 0                             | CUSIP: ACI2S8XS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          145 | PA      | $0.00          | 0.00%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 1X2              | CUSIP: 12668ATS4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7016691 | PA      | $291249.17     | 0.00%             | 2035-12-25      | Floating      | 0.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -10809632 | PA      | $-12518420.05  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NOMURA                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2894339 | PA      | $-2909815.43   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                     | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 B 144A             | CUSIP: 78432WAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2120000 | PA      | $2116880.84    | 0.03%             | 2038-05-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                       | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75             | CUSIP: ACI2VXTH6<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      1516634 | PA      | $2189489.43    | 0.03%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOANTR 2006-OC4                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC4 1A              | CUSIP: 021455AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5096691 | PA      | $4846744.39    | 0.07%             | 2036-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -11410760 | PA      | $-11439698.95  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-3                                        | SAXON ASSET SECURITIES TRUST SAST 2005 3 M4                   | CUSIP: 805564SV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3415785 | PA      | $3130337.70    | 0.04%             | 2035-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                                        | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 2A3              | CUSIP: 40430FAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     25439969 | PA      | $18116030.64   | 0.25%             | 2037-01-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2005-WMC1                                        | MASTR ASSET BACKED SECURITIES MABS 2005 WMC1 M5               | CUSIP: 57643LHA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1240674 | PA      | $1252549.86    | 0.02%             | 2035-03-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A27            | CUSIP: 02150GBD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       649418 | PA      | $678709.04     | 0.01%             | 2037-05-25      | Floating      | 16.24%                | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTA                                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTA R 144A            | CUSIP: 78449VAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      7408143 | PA      | $8222676.16    | 0.11%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | DEUTSCHE REVERSE REPO EUR ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -6968572 | PA      | $-8069344.73   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD KZT BOUGHT USD 20260610                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-4197.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20260420                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $58216.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-3                                    | AEGIS ASSET BACKED SECURITIES AABST 2005 3 M4                 | CUSIP: 00764MFU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2225000 | PA      | $402884.31     | 0.01%             | 2035-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE SA RL                                                 | ION PLATFORM FINANCE SAR SR SECURED 144A 05/29 7.875          | CUSIP: ACI30ZWV8<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | DBT              | CORP              | LU        |     10900000 | PA      | $11758118.04   | 0.16%             | 2029-05-01      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-7                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 7 MV7                 | CUSIP: 1266732N1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6305470 | PA      | $4547790.34    | 0.06%             | 2035-11-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2021-3                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2021 3 C 144A             | CUSIP: 69546RAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       151774 | PA      | $150085.68     | 0.00%             | 2029-05-15      | Fixed         | 3.27%                 | No            |                  2 | On Loan: No      |
| OI SA (AKA: BRASIL TELECOM S/A)                                            | OI S.A. SR SECURED REGS 06/27 10                              | CUSIP: P7354FAD8<br>LEI: 254900YEMWCRRAGD4978 | Long             | DBT              | CORP              | BR        |     24261765 | PA      | $11766956.03   | 0.16%             | 2027-06-30      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 2A2             | CUSIP: 32051GPZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        51277 | PA      | $2134.22       | 0.00%             | 2035-08-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                          | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 11/26 6            | CUSIP: P7807HAR6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     21100000 | PA      | $7260510.00    | 0.10%             | 2026-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MANUFACTURED HOUSING 1999-5                                     | GREENPOINT MANUFACTURED HOUSIN GPMH 1999 5 M2                 | CUSIP: 395383AG7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3240910 | PA      | $3263956.29    | 0.04%             | 2029-12-15      | Fixed         | 9.23%                 | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR C 144A             | CUSIP: 12564NAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4561000 | PA      | $4416758.38    | 0.06%             | 2038-11-15      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| EUROMAX-V                                                                  | EUROMAX EUMAX V A2 REGS                                       | CUSIP: G3233MAD9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      2579710 | PA      | $2860182.75    | 0.04%             | 2095-11-10      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260615                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-2322.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $4907.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -133145447 | PA      | $-133779036.64 | -1.83%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 9                                                   | SEQUOIA MORTGAGE TRUST SEMT 9 2A                              | CUSIP: 81743SAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       109043 | PA      | $107213.44     | 0.00%             | 2032-09-20      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| CERBA HEALTHCARE (CHROME BIDCO)                                            | CERBA HEALTHCARE S A S 2022 EUR TERM LOAN C                   | CUSIP: 944ZQDII8<br>LEI: 9845000C1FYE89DC8677 | Long             | LON              | CORP              | FR        |     10450000 | PA      | $8920373.77    | 0.12%             | 2029-02-16      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 26-NQM3                     | MORGAN STANLEY RESIDENTIAL MOR MSRM 2026 NQM3 AIOS 144A       | CUSIP: 617960AM1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    428530000 | PA      | $2868151.29    | 0.04%             | 2071-03-25      | Variable      | 0.32%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TRUST 2003-2                                  | NEW CENTURY HOME EQUITY LOAN T NCHET 2003 2 M2                | CUSIP: 64352VCS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       169317 | PA      | $143124.95     | 0.00%             | 2033-01-25      | Floating      | 6.79%                 | No            |                  2 | On Loan: No      |
| TALON FUNDING LTD 1A                                                       | TALON FUNDING LTD TALON 1A A 144A                             | CUSIP: 87483UAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |       675547 | PA      | $110569.55     | 0.00%             | 2035-06-05      | Floating      | 7.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-4Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $435616.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                   | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 4A1             | CUSIP: 94985GAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1166419 | PA      | $1022861.89    | 0.01%             | 2037-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                                | URSA RE LTD UNSECURED 144A 02/28 VAR                          | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |      3700000 | PA      | $3783250.00    | 0.05%             | 2028-02-22      | Floating      | 11.04%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -39786015 | PA      | $-39920292.32  | -0.55%            |  |  |  | No            |                  2 | On Loan: No      |
| GC PASTOR HIPOTECARIO FTA 5                                                | PASTOR GC HIPOTECARIO GCPAS 5 A2 REGS                         | CUSIP: 997AAZII7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |     10554103 | PA      | $11343384.29   | 0.15%             | 2046-06-21      | Floating      | 2.28%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 B4 144A                 | CUSIP: 89178BAH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4000000 | PA      | $2775174.00    | 0.04%             | 2059-10-25      | Variable      | 3.88%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC4                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 NC4 A2C                  | CUSIP: 61748LAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       409784 | PA      | $365685.12     | 0.00%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GRP INC. 2025 TRANCHE B TERM LOAN       | CUSIP: 65131PAD1<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |      9857839 | PA      | $3253086.81    | 0.04%             | 2029-04-30      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                     | VENTURE GLOBAL LNG INC SR SECURED 144A 02/29 9.5              | CUSIP: 92332YAC5<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |      8530000 | PA      | $9227748.88    | 0.13%             | 2029-02-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOFTBANK GROUP CORP SNR JP SP GST                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-5866.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-36T2                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 36T2 2A5            | CUSIP: 02146XAW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       661186 | PA      | $244714.43     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FBR SECURITIZATION TRUST 2005-5                                            | FBR SECURITIZATION TRUST FBRSI 2005 5 M4                      | CUSIP: 30246QCS0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3644000 | PA      | $2193062.33    | 0.03%             | 2035-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A2C              | CUSIP: 17309BAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       337202 | PA      | $118118.95     | 0.00%             | 2036-05-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-HE10                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE10 22A            | CUSIP: 07389RAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7020971 | PA      | $7297144.91    | 0.10%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                            | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2                     | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       265585 | PA      | $118807.64     | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                          | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR                    | CUSIP: 096003AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       400000 | PA      | $402440.00     | 0.01%             | 2029-01-08      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3315512 | PA      | $-3331177.79   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2026-NQM1                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2026 NQM1 XS 144A          | CUSIP: 64832LAM5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    167417109 | PA      | $5079535.52    | 0.07%             | 2065-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                                                   | UPFIELD B V 2026 GBP TERM LOAN B14                            | CUSIP: BA000W840<br>LEI: 2549002VGA888UKFKS25 | Long             | LON              | CORP              | NL        |     34300000 | PA      | $43470017.14   | 0.59%             | 2030-10-31      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2007-AB1                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AB1 A1               | CUSIP: 25151WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3172509 | PA      | $2250471.26    | 0.03%             | 2037-04-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A         | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10059900 | PA      | $5661403.04    | 0.08%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A               | CUSIP: 92927BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8802117 | PA      | $7514965.55    | 0.10%             | 2047-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| ABSLT DE 2024 LLC                                                          | ABSLT DE 2024 LLC CLN 2024 1 05/33 1                          | CUSIP: 00401BAD2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     57200000 | PA      | $56248198.29   | 0.77%             | 2033-05-20      | Floating      | 12.18%                | No            |                  3 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                            | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 04/34 8.625        | CUSIP: 368266AA0<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |      1081000 | PA      | $891825.00     | 0.01%             | 2034-04-28      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2FP                 | CUSIP: 61750SAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1978675 | PA      | $863154.99     | 0.01%             | 2036-10-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-BC1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC1 M5                | CUSIP: 126673YN6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        93118 | PA      | $93124.54      | 0.00%             | 2035-05-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2017-75B                      | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2017 75B E 144A           | CUSIP: 63874EAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5880000 | PA      | $3212712.64    | 0.04%             | 2037-04-10      | Variable      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260504                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-2025.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HY5                                            | COUNTRYWIDE HOME LOANS CWHL 2007 HY5 1A1                      | CUSIP: 12544BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1536819 | PA      | $1208429.47    | 0.02%             | 2047-09-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR4                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR4 2A3A             | CUSIP: 17311WAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       335612 | PA      | $306396.33     | 0.00%             | 2037-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR2                                                    | BCAP LLC TRUST BCAP 2010 RR2 2A2 144A                         | CUSIP: 05532VAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4834554 | PA      | $2528616.28    | 0.03%             | 2035-12-26      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -10019299 | PA      | $-10049769.06  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| CONNECTICUT AVENUE SECURITIES TRUST 2021-R01                               | FANNIE MAE   CAS CAS 2021 R01 1B2 144A                        | CUSIP: 20754RAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8200929 | PA      | $8372175.06    | 0.11%             | 2041-10-25      | Floating      | 9.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2677500 | PA      | $-2715640.99   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                | PALM RE LTD UNSECURED 144A 06/32 VAR                          | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |       800000 | PA      | $824720.00     | 0.01%             | 2032-06-07      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                           | TOWD POINT MORTGAGE TRUST TPMT 2020 1 X 144A                  | CUSIP: 89178WAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60988816 | PA      | $635354.04     | 0.01%             | 2060-01-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 07/46 11.5                         | CUSIP: ACI2Q1VT3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   1637100000 | PA      | $394942.33     | 0.01%             | 2046-07-25      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 1A1              | CUSIP: 92927XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       505259 | PA      | $451734.09     | 0.01%             | 2037-06-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -11904513 | PA      | $-11981422.68  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-3847.31      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CPS AUTO SECURITIZATION TRUST 2025-1                                       | CPS AUTO TRUST CPS 2025 1 A 144A                              | CUSIP: 22411GAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     16523767 | PA      | $16762760.89   | 0.23%             | 2032-06-16      | Fixed         | 11.00%                | No            |                  3 | On Loan: No      |
| CAPITAL FARM CREDIT ACA                                                    | CAPITAL FARM CREDIT ACA JR SUBORDINA 144A 12/99 VAR           | CUSIP: 14019TAA4<br>LEI: 254900S6K5I3OISPS518 | Long             | EP               | CORP              | US        |      4300000 | NS      | $4287874.00    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                            | BEAR STEARNS ALT A TRUST BALTA 2006 3 23A1                    | CUSIP: 07386HL66<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       144890 | PA      | $136015.48     | 0.00%             | 2036-05-25      | Variable      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.50000 12/21/22-30Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $10072293.38   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE12                       | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE12 M4             | CUSIP: 0738795T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2869295 | PA      | $2893348.56    | 0.04%             | 2035-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2005-4                                     | AAMES MORTGAGE INVESTMENT TRUS AMIT 2005 4 M4                 | CUSIP: 00252FCW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2200000 | PA      | $2109790.10    | 0.03%             | 2035-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2004-1                                        | SAXON ASSET SECURITIES TRUST SAST 2004 1 M2                   | CUSIP: 805564PP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5095850 | PA      | $2931624.10    | 0.04%             | 2035-03-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-E                                             | FREMONT HOME LOAN TRUST FHLT 2005 E M1                        | CUSIP: 35729PND8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4700000 | PA      | $4046255.85    | 0.06%             | 2036-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -5531495 | PA      | $-5584514.70   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | DEUTSCHE REVERSE REPO EUR ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -3372916 | PA      | $-3916133.19   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | WEST MARINE NEW WARRANT WARRWM911                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         5580 | NC      | $0.00          | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A X 144A                                   | CUSIP: ACI2JTNZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      6447530 | PA      | $1091910.78    | 0.01%             | 2049-12-28      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 XS 144A           | CUSIP: 12657GAN5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    205803829 | PA      | $5832151.23    | 0.08%             | 2060-10-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -965625 | PA      | $-970081.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 X 144A                  | CUSIP: 59980XAS6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     43305225 | PA      | $2598.31       | 0.00%             | 2058-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                        | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A4               | CUSIP: 57643GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4485947 | PA      | $2648920.07    | 0.04%             | 2036-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1                 | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3537254 | PA      | $3023129.41    | 0.04%             | 2047-04-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| VOYAGER AVIATION HOLDINGS LLC                                              | VOYAGER AVIATION HOLD SR SECURED 144A 05/26 8.5               | CUSIP: 92918XAA3<br>LEI: 549300KHOKL1CX4NIJ92 | Long             | DBT              | CORP              | US        |     54427253 | PA      | $0.54          | 0.00%             | 2026-05-09      | Fixed         | 8.50%                 | No            |                  3 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                       | SOHO TRUST 2021 SOHO SOHO 2021 SOHO D 144A                    | CUSIP: 83410JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5800000 | PA      | $4249072.46    | 0.06%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                        | CAPE LOOKOUT RE LTD UNSECURED 144A 03/33 VAR                  | CUSIP: 13947LAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1600000 | PA      | $1600000.00    | 0.02%             | 2033-03-21      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| FBR SECURITIZATION TRUST 2005 2                                            | FBR SECURITIZATION TRUST FBRSI 2005 2 M4                      | CUSIP: 30246QAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6500000 | PA      | $5924997.65    | 0.08%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -16835232 | PA      | $-16841922.72  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                    | GSG BIDCO LTD SR SECURED 144A 06/51 6.375                     | CUSIP: ACI38RD49<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |      6300000 | PA      | $7232012.08    | 0.10%             | 2051-06-15      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3066378 | PA      | $-3074178.67   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-3T1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 3T1 1A8             | CUSIP: 02149VAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3639467 | PA      | $1548702.78    | 0.02%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR1                                                    | BCAP LLC TRUST BCAP 2010 RR1 1A4 144A                         | CUSIP: 05532TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       664426 | PA      | $614733.96     | 0.01%             | 2037-03-26      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1                | CUSIP: X5424XCG1<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |       600000 | PA      | $0.01          | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -674094 | PA      | $-680399.38    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH LLC                                                         | SPRUCE BIDCO II INC JPY TERM LOAN                             | CUSIP: BA000FPQ9<br>LEI: 254900D597QQOG22WQ55 | Long             | LON              | CORP              | US        |    191919064 | PA      | $1200200.13    | 0.02%             | 2032-01-30      | Floating      | 5.75%                 | No            |                  3 | On Loan: No      |
| ARM MUSTANG EXPRESS HOLDCO LLC                                             | MUSTANG EXPRESS SERIES A PFD                                  | CUSIP: 990ABAYE9<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        66211 | NS      | $70693538.09   | 0.97%             |  |  |  | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-7T2                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 7T2 A9              | CUSIP: 02147BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4987641 | PA      | $1953292.06    | 0.03%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260507                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $24877.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -7084798 | PA      | $-7089734.30   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A8                  | CUSIP: 22942JAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       252376 | PA      | $107845.32     | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                                       | INTEGRITY RE III UNSECURED 144A 06/28 VAR                     | CUSIP: 45870GAE6<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |       800000 | PA      | $831120.00     | 0.01%             | 2028-06-06      | Floating      | 15.76%                | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1              | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48148 | PA      | $48885.73      | 0.00%             | 2036-03-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| PRETM 2025-RPL3 CERT TRUST                                                 | PRETM 2025 RPL3 TR PRETM 2025 RPL3 CERT 144A                  | CUSIP: 69382TAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19863948 | PA      | $16939448.53   | 0.23%             | 2065-04-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A2             | CUSIP: 83612TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2624236 | PA      | $1771263.19    | 0.02%             | 2037-06-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| KENYA GOVT                                                                 | REPUBLIC OF KENYA SR UNSECURED 144A 02/39 8.7                 | CUSIP: 491798AS3<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      9800000 | PA      | $8894321.73    | 0.12%             | 2039-02-26      | Fixed         | 8.70%                 | No            |                  2 | On Loan: No      |
| TIMES SQUARE HOTEL TRUST                                                   | TIMES SQUARE HOTEL TRUST PASS THRU CE 144A 08/26 8.528        | CUSIP: 887367AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       284296 | PA      | $284592.59     | 0.00%             | 2026-08-01      | Fixed         | 8.53%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                            | NEW WINDSTREAM PREFERRED STOCK                                | CUSIP: 990AAJEB9<br>LEI: 549300V3NU625PJUVA84 | Long             | EP               | CORP              | US        |        24136 | NS      | $25685028.09   | 0.35%             |  |  |  | No            |                  3 | On Loan: No      |
| IVANTI SOFTWARE INC                                                        | IVANTI SOFTWARE INC 2025 1ST LIEN TERM LOAN                   | CUSIP: 46583DAH2<br>LEI: 254900GHAXAYKWDX9F60 | Long             | LON              | CORP              | US        |     88693488 | PA      | $60194053.22   | 0.82%             | 2029-06-01      | Floating      | 8.41%                 | No            |                  2 | On Loan: No      |
| LANSDOWNE MORTGAGE SECURITIES NO.1 PLC                                     | LANSDOWNE MORTGAGE SECURITIES LANSD 1 M1 REGS                 | CUSIP: B12GGNII4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |       900000 | PA      | $887916.07     | 0.01%             | 2045-06-15      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-14                                            | GSR MORTGAGE LOAN TRUST GSR 2004 14 3A1                       | CUSIP: 36242DPF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         5813 | PA      | $5492.07       | 0.00%             | 2034-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| MCAFEE CORP                                                                | MCAFEE LLC 2024 USD 1ST LIEN TERM LOAN B                      | CUSIP: 57906HAF4<br>LEI: 2549009UKR8UEZYVCR93 | Long             | LON              | CORP              | US        |      3979849 | PA      | $3566939.54    | 0.05%             | 2029-03-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1                          | FREDDIE MAC   SCRT SCRT 2021 1 M 144A                         | CUSIP: 35563PWQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1360979 | PA      | $1332188.60    | 0.02%             | 2060-09-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL-2006-HE6                                        | MORGAN STANLEY CAPITAL INC MSAC 2006 HE6 A2FP                 | CUSIP: 61750FAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3057424 | PA      | $1051199.77    | 0.01%             | 2036-09-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| BENCHMARK 2020-IG3 MORTGAGE TRUST                                          | BENCHMARK MORTGAGE TRUST BMARK 2020 IG3 A4 144A               | CUSIP: 08162QAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10678000 | PA      | $9157764.60    | 0.13%             | 2048-09-15      | Fixed         | 2.44%                 | No            |                  2 | On Loan: No      |
| MSDB TRUST 2017-712F                                                       | MSDB TRUST MSDB 2017 712F A 144A                              | CUSIP: 55354JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     34437500 | PA      | $33323780.92   | 0.46%             | 2039-07-11      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2004-11AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2004 11AR B1               | CUSIP: 61748HHP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       131625 | PA      | $119457.89     | 0.00%             | 2035-01-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6977438 | PA      | $-7048277.87   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -25772733 | PA      | $-29843903.99  | -0.41%            |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2007-2                                          | IMPAC SECURED ASSETS CORP. IMSA 2007 2 1A1A                   | CUSIP: 452570AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1604 | PA      | $1363.31       | 0.00%             | 2037-05-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                           | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR                  | CUSIP: 45833UAM3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      3200000 | PA      | $3323200.00    | 0.05%             | 2026-06-08      | Floating      | 26.31%                | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-2                          | FREDDIE MAC   SCRT SCRT 2021 2 BXS 144A                       | CUSIP: 35563P4Q9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1165978 | PA      | $906396.91     | 0.01%             | 2060-11-25      | Variable      | 13.07%                | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                       | DISH DBS CORP COMPANY GUAR 07/26 7.75                         | CUSIP: 25470XAY1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     57800000 | PA      | $57673545.16   | 0.79%             | 2026-07-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS11                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS11 A1              | CUSIP: 74925GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3690619 | PA      | $2943560.87    | 0.04%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2X1              | CUSIP: 12668ATW5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2242658 | PA      | $188782.61     | 0.00%             | 2035-12-25      | Floating      | 1.80%                 | No            |                  2 | On Loan: No      |
| CORK STREET CLO DESIGNATED ACTIVITY CO 1A                                  | CORK STREET CLO DESIGNATED ACT CRKST 1A SUB 144A              | CUSIP: ACI0QPJC5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      1400594 | PA      | $197988.71     | 0.00%             | 2028-11-27      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2017-CHOP                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2017 CHOP D 144A            | CUSIP: 12651QAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3121000 | PA      | $3098819.99    | 0.04%             | 2032-07-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| UKRAINE GOVT                                                               | UKRAINE GOVERNMENT SR UNSECURED 144A 02/34 VAR                | CUSIP: 903724CA8<br>LEI: 6354001WLTJXOMEXPY07 | Long             | DBT              | NUSS              | UA        |      3223001 | PA      | $1727528.54    | 0.02%             | 2034-02-01      | Variable      | 4.50%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2015-RR6                                                    | BCAP LLC TRUST BCAP 2015 RR6 2A2 144A                         | CUSIP: 05490QAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     24442655 | PA      | $7657922.99    | 0.10%             | 2036-01-26      | Variable      | 5.26%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR14                                       | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR14 2A3            | CUSIP: 94984MAP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2819 | PA      | $2610.88       | 0.00%             | 2036-10-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.50000 03/18/26-5Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-7465412.71   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-AR1                                                       | GSAMP TRUST GSAMP 2004 AR1 M4                                 | CUSIP: 36228F6S0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1252521 | PA      | $1187870.08    | 0.02%             | 2034-06-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-1918                            | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 1918 A 144A          | CUSIP: 95004QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       606000 | PA      | $603477.40     | 0.01%             | 2040-09-15      | Variable      | 5.20%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A B 144A                             | CUSIP: 83743YAD5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2564774 | PA      | $256.48        | 0.00%             | 2041-01-06      | Floating      | 0.79%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1              | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1264131 | PA      | $893957.21     | 0.01%             | 2036-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| BAYVIEW COMMERCIAL ASSET TRUST 2007-1                                      | BAYVIEW COMMERCIAL ASSET TRUST BAYC 2007 1 A1 144A            | CUSIP: 07325MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        86489 | PA      | $83252.51      | 0.00%             | 2037-03-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                               | BAYOU RE LTD UNSECURED 144A 04/31 VAR                         | CUSIP: 07304LAD3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       250000 | PA      | $268825.00     | 0.00%             | 2031-04-30      | Floating      | 22.02%                | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A8 2A2               | CUSIP: 761119AG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10335543 | PA      | $2801514.03    | 0.04%             | 2036-08-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3051471 | PA      | $-3065247.82   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | NISSAN MOTOR CO LTD SNR JP SP BRC                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | JP        |            1 | NC      | $-242388.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -23221170 | PA      | $-23404120.15  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -5929834 | PA      | $-5929947.19   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -11503145 | PA      | $-11529676.17  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ALXA                     | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2018 ALXA E 144A          | CUSIP: 63874GAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       100000 | PA      | $87839.61      | 0.00%             | 2043-01-15      | Variable      | 4.32%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SECURITIES 2005-R7                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R7 M4                | CUSIP: 03072SK38<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1253908 | PA      | $1268324.65    | 0.02%             | 2035-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GSMBS 2025-CES2                                                            | GS MORTGAGE BACKED SECURITIES GSMBS 2025 CES2 XS 144A         | CUSIP: 36273BAH2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    254353914 | PA      | $18340748.52   | 0.25%             | 2055-09-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| ATLAS RE LIMITED                                                           | ATLAS RE LIMITED ATLAS RE LTD SIDECAR                         | CUSIP: 956BLH000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |          528 | NS      | $53023988.79   | 0.72%             |  |  |  | No            |                  3 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-FF1                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M1               | CUSIP: 04542BHM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       378108 | PA      | $367812.72     | 0.01%             | 2034-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-41CB                                       | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 41CB 1A4            | CUSIP: 02149CAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7137376 | PA      | $3329640.33    | 0.05%             | 2037-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR1                                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR1 1A1             | CUSIP: 32053EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2248169 | PA      | $879079.10     | 0.01%             | 2037-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR7                                                    | BCAP LLC TRUST BCAP 2010 RR7 1610 144A                        | CUSIP: 05533DGV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9191271 | PA      | $7620264.70    | 0.10%             | 2047-02-26      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260428                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $21842.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/17/25-20Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $2962184.78    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS-17                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS17 A3              | CUSIP: 761118PS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       897854 | PA      | $781318.66     | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -4827150 | PA      | $-5591936.63   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-10                                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 10 2A1               | CUSIP: 576433SV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       146317 | PA      | $135103.32     | 0.00%             | 2034-10-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A         | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       689124 | PA      | $688006.40     | 0.01%             | 2031-12-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-16255.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                          | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA D 144A                 | CUSIP: 647622AG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13642000 | PA      | $13434617.04   | 0.18%             | 2032-04-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |    -23583887 | PA      | $-27362330.52  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2021-6                                 | STARWOOD MORTGAGE RESIDENTIAL STAR 2021 6 B1 144A             | CUSIP: 85573RAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       100000 | PA      | $77089.55      | 0.00%             | 2066-11-25      | Fixed         | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPOS                                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -8252206 | PA      | $-11029573.71  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED REGS 09/43 5.875              | CUSIP: X74359AC8<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |       200000 | PA      | $136888.00     | 0.00%             | 2043-09-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INVEST TR 2004-2                                        | AMERICAN HOME MORTGAGE INVESTM AHM 2004 2 M1                  | CUSIP: 02660TBF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6172488 | PA      | $5961761.81    | 0.08%             | 2044-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                            | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A2                     | CUSIP: 07387QAY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1196433 | PA      | $1116716.40    | 0.02%             | 2034-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE SA RL                                                 | ION PLATFORM FINANCE SAR SR SECURED 144A 09/30 6.5            | CUSIP: ACI30SHJ8<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | DBT              | CORP              | LU        |     13400000 | PA      | $12937214.10   | 0.18%             | 2030-09-30      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                       | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM E 144A          | CUSIP: 05549RAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2600000 | PA      | $1920007.44    | 0.03%             | 2037-07-15      | Floating      | 7.52%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH4                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH4 A1               | CUSIP: 74922TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5458499 | PA      | $5150009.50    | 0.07%             | 2037-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2006-FA6                                         | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 FA6 2A15            | CUSIP: 32052FAX4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       720084 | PA      | $76344.87      | 0.00%             | 2036-11-25      | Floating      | 3.31%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-BC2                                    | SPECIALTY UNDERWRITING + RESID SURF 2006 BC2 A2D              | CUSIP: 84751PLP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2288047 | PA      | $726657.73     | 0.01%             | 2037-02-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| JPMCC-2019-BKWD                                                            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 BKWD A 144A         | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       241396 | PA      | $234409.91     | 0.00%             | 2029-09-15      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                       | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3                | CUSIP: 61752UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19144642 | PA      | $9798390.75    | 0.13%             | 2037-04-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260406                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $32044.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                              | ORANGE CAPITAL RE DAC SR UNSECURED 144A 01/29 VAR             | CUSIP: ACI2S2B04<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |       300000 | PA      | $364370.22     | 0.00%             | 2029-01-17      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR                  | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       360000 | PA      | $302355.00     | 0.00%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -31902036 | PA      | $-31978139.87  | -0.44%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAST MORTGAGE TRUST 2022-1700                                             | BSST MORTGAGE TRUST BSST 2022 1700 B 144A                     | CUSIP: 055742AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3300000 | PA      | $1712820.12    | 0.02%             | 2037-02-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-485L                                | GS MORTGAGE SECURITIES TRUST GSMS 2017 485L A 144A            | CUSIP: 36252CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9000000 | PA      | $8833571.10    | 0.12%             | 2037-02-10      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2006-AR4                                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2006 AR4 1A2             | CUSIP: 32053AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       160557 | PA      | $71060.92      | 0.00%             | 2037-01-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR11                                                   | BCAP LLC TRUST BCAP 2013 RR11 4A2 144A                        | CUSIP: 05542XAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2732561 | PA      | $2345914.67    | 0.03%             | 2036-05-26      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -17463954 | PA      | $-17524641.24  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                      | ENVALIOR FINANCE GMBH USD TERM LOAN B1                        | CUSIP: D255LZAC9<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |     68581618 | PA      | $60352167.00   | 0.82%             | 2030-04-01      | Floating      | 9.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260508                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-100384.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-S4                                       | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 S4 A14               | CUSIP: 74958YAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       289946 | PA      | $221706.05     | 0.00%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260420                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-116639.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 2A4               | CUSIP: 23246LAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3351216 | PA      | $3141943.55    | 0.04%             | 2047-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| HUNTINGTON BANK AUTO CREDIT-LINKED NOTES SERIES 2024-2                     | THE HUNTINGTON NATIONAL BANK HACLN 2024 2 D 144A              | CUSIP: 44644NAK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       338805 | PA      | $338149.63     | 0.00%             | 2032-10-20      | Floating      | 7.67%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY6                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY6 A1              | CUSIP: 02151JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       659206 | PA      | $561518.59     | 0.01%             | 2047-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-30T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 30T1 2A5            | CUSIP: 02146VAM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8376326 | PA      | $2450324.09    | 0.03%             | 2036-11-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260403                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-58201.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -13498875 | PA      | $-13544939.86  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD4                        | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD4 2A1             | CUSIP: 07389NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       105138 | PA      | $80709.27      | 0.00%             | 2036-10-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| CIRCOR                                                                     | CIRCOR INTERNATIONAL INC 2023 REVOLVER                        | CUSIP: 948FVPII5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      1065517 | PA      | $1077873.78    | 0.01%             | 2029-06-20      | Floating      | 0.50%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260723                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-75587.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -42662574 | PA      | $-43037556.31  | -0.59%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-138531.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                            | POLESTAR RE LTD UNSECURED 144A 01/27 VAR                      | CUSIP: 73110JAB8<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      6500000 | PA      | $6721000.00    | 0.09%             | 2027-01-07      | Floating      | 16.79%                | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                              | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                       | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18601521 | PA      | $15274265.40   | 0.21%             | 2036-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| VNDO TRUST 2016-350P                                                       | VNO MORTGAGE TRUST VNDO 2016 350P E 144A                      | CUSIP: 91831UAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4814000 | PA      | $4806367.88    | 0.07%             | 2035-01-10      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO ROYAL BANK OF CAN                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |     -2057122 | PA      | $-2389894.02   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC2                                         | MASTR ASSET BACKED SECURITIES MABS 2006 NC2 A3                | CUSIP: 55275BAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2455995 | PA      | $854399.47     | 0.01%             | 2036-08-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-1                          | FREDDIE MAC   SCRT SCRT 2021 1 BXS 144A                       | CUSIP: 35563PWX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1572917 | PA      | $1239180.47    | 0.02%             | 2060-09-25      | Fixed         | 12.44%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -24212416 | PA      | $-24506125.79  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M2                | CUSIP: 03072SQ40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4300000 | PA      | $4159740.88    | 0.06%             | 2035-11-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT CAD SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-8382.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                      | MERCURY AGGREGATOR L P TRANCHE 1 TERM LOAN                    | CUSIP: BA000FDV1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     11578033 | PA      | $0.12          | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2841876 | PA      | $-2864534.34   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-6                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 6 1A4                  | CUSIP: 22942JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1141888 | PA      | $487865.26     | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -5592736 | PA      | $-5639813.06   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-2                                       | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 2 4A1                | CUSIP: 863579U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     21237583 | PA      | $11911822.77   | 0.16%             | 2036-03-25      | Variable      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -1635894 | PA      | $-1894826.18   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2007-AB1                                    | SPECIALTY UNDERWRITING + RESID SURF 2007 AB1 A2D              | CUSIP: 84752CAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       248447 | PA      | $128174.79     | 0.00%             | 2037-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2007-RP1                                                       | RAAC SERIES RAAC 2007 RP1 M2 144A                             | CUSIP: 74977YAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17151000 | PA      | $17189819.57   | 0.23%             | 2046-05-25      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| XBP GLOBAL HOLDINGS INC                                                    | XBP GLOBAL HOLDINGS INC COMMON STOCK USD.0001                 | CUSIP: 98400V200<br>LEI: 984500BE0P94C4CD8C71 | Long             | EC               | CORP              | US        |         5398 | NS      | $23751.20      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-26R                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 26R A1              | CUSIP: 02152JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4859561 | PA      | $781677.34     | 0.01%             | 2037-01-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2002-3                                      | AMERIQUEST MORTGAGE SECURITIES AMSI 2002 3 M3                 | CUSIP: 03072SCW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       123418 | PA      | $122852.79     | 0.00%             | 2032-08-25      | Floating      | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260422                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-7887.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -8913844 | PA      | $-8953196.32   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-5                                      | CONSECO FINANCE SECURITIZATION CNF 2000 5 A6                  | CUSIP: 20846QEQ7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1457110 | PA      | $250644.71     | 0.00%             | 2031-05-01      | Fixed         | 7.96%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-4R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 4R 5A2 144A            | CUSIP: 12646DAY2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28786512 | PA      | $10066703.71   | 0.14%             | 2047-02-27      | Variable      | 1.86%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-15CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 15CB A1             | CUSIP: 021467AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       339010 | PA      | $150948.76     | 0.00%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG             | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |       800000 | PA      | $280000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST E 144A         | CUSIP: 46652DAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4800000 | PA      | $12192.00      | 0.00%             | 2036-12-15      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-46                                                  | FANNIE MAE FNR 2012 46 LS                                     | CUSIP: 3136A5J64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1901396 | PA      | $1930817.92    | 0.03%             | 2041-01-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-E                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2007 E 8A1                | CUSIP: 05954DAR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       130816 | PA      | $114968.89     | 0.00%             | 2047-09-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP JPM                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $6826.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -47722401 | PA      | $-55248328.06  | -0.75%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                       | GSAMP TRUST GSAMP 2007 FM2 A2A                                | CUSIP: 3622MHAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2266198 | PA      | $1395277.65    | 0.02%             | 2037-01-25      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU B 144A            | CUSIP: 36256AAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8250000 | PA      | $8228389.95    | 0.11%             | 2032-11-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-HYB5                                           | COUNTRYWIDE HOME LOANS CWHL 2006 HYB5 3A1A                    | CUSIP: 170256AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1175510 | PA      | $1047635.76    | 0.01%             | 2036-09-20      | Variable      | 4.66%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM1                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2024 NQM1 AIOS 144A       | CUSIP: 61775UAH1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    162139719 | PA      | $360623.06     | 0.00%             | 2068-12-25      | Variable      | 0.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260505                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-16995.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1010969 | PA      | $-1013585.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LAVENDER TRUST 2010-RR1A                                                   | LAVENDER TRUST LTS 2010 RR1A A4 144A                          | CUSIP: 519440DG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5209390 | PA      | $5048839.29    | 0.07%             | 2036-11-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | TITULOS DE TESORERIA BONDS 02/33 13.25                        | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  29789900000 | PA      | $7987032.52    | 0.11%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| SABINE RE LTD                                                              | SABINE RE LTD UNSECURED 144A 04/31 VAR                        | CUSIP: 785628AA6<br>LEI: 254900FU1Z2XK88D3602 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $309480.00     | 0.00%             | 2031-04-07      | Floating      | 12.04%                | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-MKST           | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 MKST D 144A         | CUSIP: 46652DAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3030000 | PA      | $39736.94      | 0.00%             | 2036-12-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                       | THAMES WATER SUPER SENIOR ISSU 10/27 9.75                     | CUSIP: ACI3915T9<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |       781297 | PA      | $1138628.58    | 0.02%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE2                                         | MASTR ASSET BACKED SECURITIES MABS 2006 HE2 A4                | CUSIP: 57644UAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2411838 | PA      | $798866.97     | 0.01%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI C 144A                              | CUSIP: 92943AAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11200000 | PA      | $11298268.80   | 0.15%             | 2037-07-05      | Variable      | 7.69%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2023 SUPERPRIORITY TERM LOAN               | CUSIP: 90290PAS3<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |    177773880 | PA      | $167903874.64  | 2.29%             | 2028-06-28      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-4                                               | LEHMAN MORTGAGE TRUST LMT 2006 4 1A1                          | CUSIP: 52520RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       405704 | PA      | $302089.04     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2005-C                                        | BEAR STEARNS ASSET BACKED SECU BSABS 2005 CL1 A1              | CUSIP: 073879U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34853 | PA      | $35329.37      | 0.00%             | 2034-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CASSINI SAS                                                                | COMEXPOSIUM 2019 EUR REVOLVER                                 | CUSIP: 945BLZII6<br>LEI: 9695009FFM30CUZ8FO85 | Long             | LON              | CORP              | FR        |      6309995 | PA      | $8897959.58    | 0.12%             | 2031-10-16      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| PRET 2025-NPL10 LLC                                                        | PRET 2025 NPL10 LLC 10/55 5.2498                              | CUSIP: 69392WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7882887 | PA      | $7854108.70    | 0.11%             | 2055-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| KRONOS FUNDING                                                             | KRONOS CLASS Z PLACEHODER 144A 2774259A4                      | CUSIP: 990ADDMW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28452000 | PA      | $0.37          | 0.00%             | 2026-04-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A4               | CUSIP: 68400DAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1378434 | PA      | $802227.19     | 0.01%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -22400181 | PA      | $-22552502.32  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 B 144A          | CUSIP: 36260AAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20073000 | PA      | $13499582.28   | 0.18%             | 2059-07-25      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-43A6                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 43A6 1O 144A        | CUSIP: 63546GAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52025000 | PA      | $7705422.75    | 0.11%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| DOLP TRUST 2021-NYC                                                        | DOLP TRUST DOLP 2021 NYC D 144A                               | CUSIP: 23345LAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6000000 | PA      | $5098072.80    | 0.07%             | 2041-05-10      | Variable      | 3.70%                 | No            |                  2 | On Loan: No      |
| INDYMAC IMSC MTGE LN TRUST 2007-AR1                                        | INDYMAC IMSC MORTGAGE LOAN TRU IMSC 2007 AR1 2A1              | CUSIP: 456672AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2464453 | PA      | $1456429.87    | 0.02%             | 2037-06-25      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |    -10821684 | PA      | $-14333570.33  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI E 144A                              | CUSIP: 92943AAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16010000 | PA      | $16089901.11   | 0.22%             | 2037-07-05      | Variable      | 9.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260521                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-1410.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                      | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 4A1                 | CUSIP: 878048AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       203639 | PA      | $61092.91      | 0.00%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-5Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1638672.28    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260504                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-1961.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA2                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3               | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       245784 | PA      | $225072.30     | 0.00%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HOME EQ 2005-HE4                                     | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE4 M6              | CUSIP: 04541GRQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       729853 | PA      | $724755.95     | 0.01%             | 2035-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| ALAMO RE LTD                                                               | ALAMO RE LTD UNSECURED 144A 06/26 VAR                         | CUSIP: 011395AQ3<br>LEI: 5493003E22VRD25G0S03 | Long             | DBT              | CORP              | BM        |      1300000 | PA      | $1325350.00    | 0.02%             | 2026-06-08      | Floating      | 15.39%                | No            |                  2 | On Loan: No      |
| VASA TRUST 2021-VASA                                                       | VASA TRUST VASA 2021 VASA A 144A                              | CUSIP: 92230AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $982695.30     | 0.01%             | 2039-07-15      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A RES                      | CUSIP: ACI2C6R96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      5795000 | PA      | $11.50         | 0.00%             | 2062-10-16      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA14                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA14 3A1            | CUSIP: 02146SAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1891864 | PA      | $1745383.47    | 0.02%             | 2046-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.7 03/24/22-01/04/27 CME                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-25881.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260414                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $17735.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU D 144A            | CUSIP: 36256AAL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6640000 | PA      | $6621311.72    | 0.09%             | 2032-11-15      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU A 144A            | CUSIP: 36256AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7019752 | PA      | $6987980.10    | 0.10%             | 2032-11-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT4                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT4 2A3             | CUSIP: 83613AAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1288691 | PA      | $1107967.15    | 0.02%             | 2037-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 3 MONTH SOFR FUT  MAR26 XCME 20260616                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          -95 | NC      | $355048.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2021-2400 MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2021 2400 F 144A                     | CUSIP: 20048FAQ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8927500 | PA      | $8344951.16    | 0.11%             | 2038-12-15      | Floating      | 8.79%                 | No            |                  2 | On Loan: No      |
| IBEX TOPCO BV                                                              | STEINHOFF CVR                                                 | CUSIP: 948ECV905<br>LEI: 636700OGDKP5DOQ3LT67 | Long             | EC               | CORP              | NL        |    299163217 | NS      | $345.78        | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -28439824 | PA      | $-28558838.57  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2012-7R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2012 7R 3A2 144A            | CUSIP: 12646JBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14875741 | PA      | $6638946.49    | 0.09%             | 2047-09-26      | Variable      | 4.16%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                        | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                  | CUSIP: 89141WAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1300000 | PA      | $1347580.00    | 0.02%             | 2032-06-07      | Floating      | 10.66%                | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 3A2 144A           | CUSIP: 17315MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3870829 | PA      | $1653479.51    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -24028592 | PA      | $-24281059.02  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV E 144A             | CUSIP: 12660WAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13700000 | PA      | $746195.16     | 0.01%             | 2038-07-15      | Floating      | 7.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NOMURA                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -5044500 | PA      | $-5103842.94   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2C             | CUSIP: 17311BAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11553523 | PA      | $4311082.66    | 0.06%             | 2036-12-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-1                                          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 1 1A3               | CUSIP: 93935PAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1076704 | PA      | $763825.13     | 0.01%             | 2037-02-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2020-2A                                             | MARLETTE FUNDING TRUST MFT 2020 2A CERT 144A                  | CUSIP: 57108R101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         8800 | PA      | $4158.27       | 0.00%             | 2030-09-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| DUKE FUNDING LTD 2004-6A                                                   | DUKE FUNDING LTD DUKEF 2004 6A A1S 144A                       | CUSIP: 264407AA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      7545721 | PA      | $582182.56     | 0.01%             | 2039-04-08      | Floating      | 7.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J8                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J8 A4               | CUSIP: 23245LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       442351 | PA      | $163719.94     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -12687764 | PA      | $-12741306.83  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN 2007-PA4                                      | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1             | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       929450 | PA      | $879513.54     | 0.01%             | 2037-07-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $12224.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 A 144A         | CUSIP: 46649JAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7700443 | PA      | $7607075.17    | 0.10%             | 2035-02-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE1                                          | HSI ASSET SECURITIZATION CORPO HASC 2006 HE1 2A3              | CUSIP: 44328AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5989490 | PA      | $2053878.82    | 0.03%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                       | EVERGLADES RE II LTD SR UNSECURED 144A 05/31 VAR              | CUSIP: 30014LAN4<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |      4260000 | PA      | $4326030.00    | 0.06%             | 2031-05-13      | Floating      | 15.03%                | No            |                  2 | On Loan: No      |
| LOCKE TAVERN RE LTD                                                        | LOCKE TAVERN RE LTD UNSECURED 144A 04/33 VAR                  | CUSIP: 539694AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       700000 | PA      | $700000.00     | 0.01%             | 2033-04-11      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1729125 | PA      | $-1729154.76   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2020-LOOP             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2020 LOOP F 144A         | CUSIP: 46651WAL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1146000 | PA      | $178861.15     | 0.00%             | 2038-12-05      | Variable      | 3.86%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                            | BEAR STEARNS ALT A TRUST BALTA 2005 9 26A1                    | CUSIP: 07386HYH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7441898 | PA      | $3848697.34    | 0.05%             | 2035-11-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO110626                                    | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   3372600000 | PA      | $2344236.19    | 0.03%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-9T1                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 9T1 A3              | CUSIP: 12668BVC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       141218 | PA      | $51074.72      | 0.00%             | 2036-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-OPT2                                        | ASSET BACKED FUNDING CERTIFICA ABFC 2004 OPT2 A2              | CUSIP: 04542BFV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       126999 | PA      | $124975.20     | 0.00%             | 2033-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260507                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $63427.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BX-2021-SDMF                                                               | BX TRUST BX 2021 SDMF F 144A                                  | CUSIP: 12434CAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13279338 | PA      | $13258043.54   | 0.18%             | 2034-09-15      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-25616.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QS3                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS3 A5               | CUSIP: 75116BAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1686402 | PA      | $1400054.88    | 0.02%             | 2037-02-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -10760377 | PA      | $-10821602.03  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $1386982.28    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-6                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 6 1A1A               | CUSIP: 17312VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1044333 | PA      | $917315.07     | 0.01%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4990                                                    | FREDDIE MAC FHR 4990 BI                                       | CUSIP: 3137FURT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3653984 | PA      | $843392.85     | 0.01%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2005-2                                        | AMERICAN HOME MORTGAGE INVESTM AHM 2005 2 1A1                 | CUSIP: 02660TEK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1908582 | PA      | $1733223.97    | 0.02%             | 2045-09-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-9                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 9 3A2 144A           | CUSIP: 17315XAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       801449 | PA      | $379025.84     | 0.01%             | 2036-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A               | CUSIP: 04410RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2131933 | PA      | $2132065.96    | 0.03%             | 2035-04-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| OCP CLO 2020-18 LTD 2020-18A                                               | OCP CLO LTD OCP 2020 18A PREF 144A                            | CUSIP: 67570T105<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |        10500 | PA      | $3244238.55    | 0.04%             | 2037-07-20      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-5R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 5R 2A4 144A            | CUSIP: 12641TAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2012782 | PA      | $1639473.01    | 0.02%             | 2036-06-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -23126457 | PA      | $-23221616.77  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2015-9                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2015 9 2A2 144A           | CUSIP: 17324MAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3498723 | PA      | $3384953.72    | 0.05%             | 2036-02-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD JPY BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-182448.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                         | ALTICE FRANCE SA 2025 EXT TERM LOAN B14                       | CUSIP: BA000QF60<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |     68725624 | PA      | $68997777.29   | 0.94%             | 2031-05-31      | Floating      | 10.55%                | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM4                              | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM4 B3 144A         | CUSIP: 36272UAF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4711455 | PA      | $4201677.92    | 0.06%             | 2065-10-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4230947 | PA      | $-4283305.23   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| TROPIC CDO CORP 2006-5A                                                    | TROPIC CDO CORP TROPC 2006 5A A1L2 144A                       | CUSIP: 89708BAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3171934 | PA      | $3076775.55    | 0.04%             | 2036-07-15      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B6 144A                 | CUSIP: 59980XAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1276417 | PA      | $639246.69     | 0.01%             | 2058-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| APEX CREDIT CLO 2021-2A                                                    | APEX CREDIT CLO LLC APEXC 2021 2A SUB 144A                    | CUSIP: 58406DAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     20050000 | PA      | $6508548.80    | 0.09%             | 2034-10-20      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | N/A       |     -4928990 | PA      | $-5707227.10   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.25000 03/18/20-30Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $1429947.84    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                                | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1              | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |       185146 | PA      | $245317.97     | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                      | MERCURY AGGREGATOR L P TRANCHE 2 TERM LOAN                    | CUSIP: BA000FDW9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      6236813 | PA      | $0.06          | 0.00%             | 2027-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS10                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS10 A1              | CUSIP: 74924DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       583255 | PA      | $482288.70     | 0.01%             | 2037-09-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DBGS 2021-W52 MORTGAGE TRUST                                               | DBGS MORTGAGE TRUST DBGS 2021 W52 A 144A                      | CUSIP: 23308LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $998018.40     | 0.01%             | 2039-10-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR                  | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     76360418 | PA      | $57728476.01   | 0.79%             | 2038-01-09      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 2A6             | CUSIP: 12668BSL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1156383 | PA      | $288673.46     | 0.00%             | 2036-05-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-227621.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GENESIS ENERGY LP / GENESIS ENERGY FINANCE CORP                            | GENESIS ENERGY LP/FIN COMPANY GUAR 03/34 6.75                 | CUSIP: 37185LAS1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      1100000 | PA      | $1095556.66    | 0.01%             | 2034-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                                | PALM RE LTD UNSECURED 144A 06/31 VAR                          | CUSIP: 69664FAA6<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |       250000 | PA      | $261650.00     | 0.00%             | 2031-06-09      | Floating      | 13.22%                | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                      | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 3A2              | CUSIP: 86360KBK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2503059 | PA      | $1013163.47    | 0.01%             | 2036-02-25      | Fixed         | 4.46%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE ASSETS 2005-1                                           | AMERICAN HOME MORTGAGE ASSETS AHMA 2005 1 3A11                | CUSIP: 02660VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       153188 | PA      | $150562.48     | 0.00%             | 2035-11-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER CLO LTD 2017-2                                              | ROCKFORD TOWER CLO LTD ROCKT 2017 2A SUB 144A                 | CUSIP: 77340HAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     11666667 | PA      | $673166.69     | 0.01%             | 2029-10-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -7638640 | PA      | $-7703740.16   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2021-3                          | FREDDIE MAC   SCRT SCRT 2021 3 BXS 144A                       | CUSIP: 35563P6W4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1931376 | PA      | $1196996.48    | 0.02%             | 2061-03-25      | Variable      | 6.93%                 | No            |                  2 | On Loan: No      |
| GATEWAY RE LTD                                                             | GATEWAY RE LTD UNSECURED 144A 07/29 VAR                       | CUSIP: 36779CAU0<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |       600000 | PA      | $600000.00     | 0.01%             | 2029-07-06      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| BSST 2021-1818 MORTGAGE TRUST                                              | BSST MORTGAGE TRUST BSST 2021 1818 A 144A                     | CUSIP: 07403PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11700000 | PA      | $10428482.61   | 0.14%             | 2036-03-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                        | SVB FINL TR COMMON STOCK UNIT                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |        29233 | NS      | $13812592.50   | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B4 144A                 | CUSIP: 59980YAN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3614777 | PA      | $2249291.66    | 0.03%             | 2066-04-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| CHEPLAPHARM ARZNEIMITTEL GMBH                                              | CHEPLAPHARM ARZNEIMITTEL SR SECURED 144A 02/32 6.75           | CUSIP: ACI389V23<br>LEI: 529900ONXKBELT7EW052 | Long             | DBT              | CORP              | DE        |      5500000 | PA      | $6227804.62    | 0.09%             | 2032-02-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                | NEWGATE FUNDING PLC NGATE 2007 3X BB REGS                     | CUSIP: B2NDQHII8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       840953 | PA      | $933134.80     | 0.01%             | 2050-12-15      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3922                                                    | FREDDIE MAC FHR 3922 GS                                       | CUSIP: 3137AFHT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       602120 | PA      | $573696.19     | 0.01%             | 2041-09-15      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-6                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 6 CB3                | CUSIP: 059487AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       521915 | PA      | $455479.82     | 0.01%             | 2046-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-40T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 40T1 1A2            | CUSIP: 02148KAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       713591 | PA      | $422239.88     | 0.01%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-J1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 J1 2A8              | CUSIP: 02149MAW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7880851 | PA      | $2905409.80    | 0.04%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260508                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-29679.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-2                                      | TBW MORTGAGE BACKED PASS THROU TBW 2006 2 5A1                 | CUSIP: 878048AJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18349493 | PA      | $3735356.73    | 0.05%             | 2036-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $6207.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR GBP SONIO/3.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |            1 | NC      | $-5474766.12   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A              | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       170475 | PA      | $152083.26     | 0.00%             | 2046-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260916                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-225912.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VITALITY RE XVII LTD                                                       | VITALITY RE XVII LTD UNSECURED 144A 01/31 VAR                 | CUSIP: 92853KAC4<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |       300000 | PA      | $300015.00     | 0.00%             | 2031-01-08      | Floating      | 7.53%                 | No            |                  2 | On Loan: No      |
| KRONOS FUNDING                                                             | KRONOS CLASS D PLACEHODER 144A 4728939A6                      | CUSIP: 990ADDMZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17071000 | PA      | $21510614.61   | 0.29%             | 2026-04-15      | Floating      | 0.00%                 | No            |                  3 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                                        | CAPE LOOKOUT RE LTD UNSECURED 144A 03/33 VAR                  | CUSIP: 13947LAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1550000 | PA      | $1550000.00    | 0.02%             | 2033-03-21      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-2                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 2 M6                | CUSIP: 64352VKY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1341785 | PA      | $1408387.05    | 0.02%             | 2035-06-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4145166 | PA      | $-4293991.73   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2008-73                                                  | FANNIE MAE FNR 2008 73 SC                                     | CUSIP: 31397L6S3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       295436 | PA      | $20757.48      | 0.00%             | 2038-08-25      | Floating      | 2.22%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                            | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                      | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |       600000 | PA      | $636180.00     | 0.01%             | 2032-01-07      | Floating      | 12.04%                | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3               | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6758633 | PA      | $3933595.92    | 0.05%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD3                        | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD3 21A2            | CUSIP: 073888BF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1720 | PA      | $1713.80       | 0.00%             | 2036-07-25      | Fixed         | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF MONTREAL REVERSE REPO.                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -9172074 | PA      | $-9213646.31   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                    | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 X 144A               | CUSIP: 59982HBH2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     60728580 | PA      | $2485487.18    | 0.03%             | 2060-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SOLOSO CDO LTD 2007-1A                                                     | SOLOSO CDO LTD SLOSO 2007 1A A1LB 144A                        | CUSIP: 83438JAC0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     17418036 | PA      | $14300207.56   | 0.20%             | 2037-10-07      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| 1166 AVENUE OF THE AMERICAS COMMERCIAL MORTGAGE TRUST 2005-C6A             | 1166 AVENUE OF THE AMERICAS CO AACMT 2005 C6A D 144A          | CUSIP: 682439AL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       500000 | PA      | $469782.60     | 0.01%             | 2037-10-13      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A          | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       939275 | PA      | $930308.44     | 0.01%             | 2037-04-15      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC1 M3                | CUSIP: 126670XT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8762000 | PA      | $8454420.52    | 0.12%             | 2036-04-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD JPY BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-75784.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805B 144A         | CUSIP: 17328CBM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3200000 | PA      | $952439.04     | 0.01%             | 2072-12-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-A                      | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 A G 144A            | CUSIP: 80290CCP7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1468735 | PA      | $1518478.71    | 0.02%             | 2032-06-15      | Fixed         | 13.03%                | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-9R                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 9R 6A2 144A            | CUSIP: 12642HCW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7281163 | PA      | $6857041.54    | 0.09%             | 2036-10-26      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPT CORP 2006-AR3                                          | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 AR3 A1A               | CUSIP: 65537EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       793294 | PA      | $722465.85     | 0.01%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| BOMBARDIER CAPITAL MTGE SEC BCM 2000 A                                     | BOMBARDIER CAPITAL MORTGAGE SE BCM 2000 A A3                  | CUSIP: 09774XBP6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3548567 | PA      | $198317.72     | 0.00%             | 2030-06-15      | Variable      | 7.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $12027.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A1B 144A                           | CUSIP: 83743YAB9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |        47526 | PA      | $8917.38       | 0.00%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES K071          | FHLMC MULTIFAMILY STRUCTURED P FHMS K071 X3                   | CUSIP: 3137FCLG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     75137000 | PA      | $2279070.51    | 0.03%             | 2045-11-25      | Variable      | 2.01%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4120                                                    | FREDDIE MAC FHR 4120 WS                                       | CUSIP: 3137AVJC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       258195 | PA      | $22310.54      | 0.00%             | 2042-09-15      | Floating      | 2.41%                 | No            |                  2 | On Loan: No      |
| VEON AMSTERDAM BV                                                          | VEON AMSTERDAM TERM LOAN                                      | CUSIP: BA000HL48<br>LEI: 549300EPG4HR574L4660 | Long             | LON              | CORP              | NL        |      8800000 | PA      | $8752036.30    | 0.12%             | 2027-03-25      | Floating      | 7.90%                 | No            |                  3 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-FR1                                          | SECURITIZED ASSET BACKED RECEI SABR 2005 FR1 M2               | CUSIP: 81375WDT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       419675 | PA      | $366828.84     | 0.01%             | 2034-12-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GRAY MEDIA INC                                                             | GRAY TELEVISION INC 2024 TERM LOAN B                          | CUSIP: 389376BC7<br>LEI: 529900TM5726KDN7UU35 | Long             | LON              | CORP              | US        |       243301 | PA      | $243666.02     | 0.00%             | 2029-05-23      | Floating      | 8.91%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2026-NQM2                              | GS MORTGAGE BACKED SECURITIES GSMBS 2026 NQM2 B3 144A         | CUSIP: 362972AL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1900000 | PA      | $1662185.93    | 0.02%             | 2061-11-25      | Variable      | 7.60%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-FXD1                                   | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 FXD1 3A6            | CUSIP: 68402VAH5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         1092 | PA      | $1024.15       | 0.00%             | 2037-01-25      | Variable      | 5.66%                 | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                      | UBISOFT ENTERTAINMENT SA SR UNSECURED REGS 11/27 0.878        | CUSIP: ACI1SYQ75<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |     12500000 | PA      | $11671583.36   | 0.16%             | 2027-11-24      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/1.3* 8/15/23-4Y* CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $346545.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 26-NQM2                                | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2026 NQM2 B3 144A          | CUSIP: 64832MAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2581621 | PA      | $2335370.50    | 0.03%             | 2065-12-25      | Variable      | 6.57%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                        | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M5                   | CUSIP: 70069FBB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1194876 | PA      | $1062225.81    | 0.01%             | 2034-10-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-17120.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | FINANCIAL KETTERING REPU USD ANZBANK FIN KETTERING REPU USD   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -49780131 | PA      | $-50056576.48  | -0.68%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2013-RR1                                                    | BCAP LLC TRUST BCAP 2013 RR1 3A4 144A                         | CUSIP: 05490BAQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1468064 | PA      | $973580.85     | 0.01%             | 2037-10-26      | Variable      | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FAME                     | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2019 FAME B 144A          | CUSIP: 63873VAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3225000 | PA      | $2859758.43    | 0.04%             | 2036-08-15      | Fixed         | 3.66%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-9                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 9 21A1               | CUSIP: 17307GK98<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       148525 | PA      | $139224.56     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2742832 | PA      | $-2805177.63   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260713                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-2215.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-2                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 2 3A3               | CUSIP: 68401TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       442346 | PA      | $215831.10     | 0.00%             | 2037-03-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20260507                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $-15410.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.2* 9/12/23-26Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $6921682.41    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | NIGERIA OMO BILL OMO120626                                    | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |   3382300000 | PA      | $2349746.04    | 0.03%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL13 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL13 A1 144A        | CUSIP: 74143UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7358483 | PA      | $7336747.92    | 0.10%             | 2055-12-25      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-20553.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                               | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625              | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |      3000000 | PA      | $2100000.00    | 0.03%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| LOCKE TAVERN RE LTD                                                        | LOCKE TAVERN RE LTD UNSECURED 144A 04/33 VAR                  | CUSIP: 539694AB5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       800000 | PA      | $800000.00     | 0.01%             | 2033-04-11      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT CNH SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $15332.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -300960 | PA      | $-301138.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260504                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $16255.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -823714 | PA      | $-829317.18    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARLES RIVER RE LTD                                                       | CHARLES RIVER RE LTD SR UNSECURED 144A 05/31 VAR              | CUSIP: 159873AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       250000 | PA      | $257350.00     | 0.00%             | 2031-05-10      | Floating      | 11.15%                | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MII2 144A        | CUSIP: 760985Y96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       953023 | PA      | $962868.30     | 0.01%             | 2034-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                          | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A1 144A          | CUSIP: 81377AAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2063619 | PA      | $1805748.84    | 0.02%             | 2036-07-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                            | REPUBLIC OF VENEZUELA SR UNSECURED REGS 03/38 7               | CUSIP: P97475AJ9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |       100000 | PA      | $41250.00      | 0.00%             | 2038-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A F 144A                   | CUSIP: ACI2C6Q06<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     23983000 | PA      | $31732961.30   | 0.43%             | 2062-10-16      | Floating      | 9.74%                 | No            |                  2 | On Loan: No      |
| NEXSTAR MEDIA INC                                                          | NEXSTAR MEDIA INC SR UNSECURED 144A 04/34 7.25                | CUSIP: 65346UAA7<br>LEI: 5493006PK6I4I2OOT688 | Long             | DBT              | CORP              | US        |      2340000 | PA      | $2349445.83    | 0.03%             | 2034-04-15      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3181                                                           | FREDDIE MAC FHR 3181 PS                                       | CUSIP: 31396URJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       703651 | PA      | $67723.71      | 0.00%             | 2036-07-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                         | VERUS SECURITIZATION TRUST VERUS 2025 R1 B2 144A              | CUSIP: 92541AAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5582000 | PA      | $5253322.91    | 0.07%             | 2065-05-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                     | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM C 144A            | CUSIP: 04965JAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2840000 | PA      | $2764030.00    | 0.04%             | 2036-12-15      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-C2                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 C2 C 144A              | CUSIP: 22545YAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10300000 | PA      | $6334397.00    | 0.09%             | 2049-01-15      | Variable      | 5.18%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-45T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 45T1 1A7            | CUSIP: 02149JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1660633 | PA      | $553210.20     | 0.01%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -12447861 | PA      | $-12709473.44  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-3                                            | BEAR STEARNS ALT A TRUST BALTA 2006 3 31A1                    | CUSIP: 07386HP54<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6150790 | PA      | $2440547.82    | 0.03%             | 2036-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| IM PASTOR FTH 3                                                            | PASTOR IM FTH/FTA IMPAS 3 A REGS                              | CUSIP: B0BL9JII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |      8094383 | PA      | $8263697.10    | 0.11%             | 2043-03-22      | Floating      | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT CAD SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-24460.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG             | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |       660000 | PA      | $231000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-6NCX                                                     | EUROSAIL PLC ESAIL 2007 6NCX D1A REGS                         | CUSIP: G329A0AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      9265829 | PA      | $12006706.68   | 0.16%             | 2045-09-13      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| SOUTH COAST FUNDING 7A                                                     | SOUTH COAST FUNDING SCF 7A A1AN 144A                          | CUSIP: 83743YAS2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    158546223 | PA      | $29748186.41   | 0.41%             | 2041-01-06      | Floating      | 0.45%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                               | YI4360529 NIGERIA OMO BILL                                    | CUSIP: 990ACHUB3<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | US        |  80014700000 | PA      | $50138192.38   | 0.68%             | 2027-01-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 04/26 0.00000                                   | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      8672000 | PA      | $8654545.17    | 0.12%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING 06/60 0                             | CUSIP: ACI2S8XN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |          145 | PA      | $2197341.69    | 0.03%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| PTHW 2025-RTL1 PT                                                          | PTHW 2025 RTL1 PT                                             | CUSIP: 990ABZHM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71620430 | PA      | $71502350.53   | 0.98%             | 2045-11-01      | Fixed         | 7.75%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -618713 | PA      | $-625991.31    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2006-FRE2                                       | CARRINGTON MORTGAGE LOAN TRUST CARR 2006 FRE2 A5              | CUSIP: 14454AAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       499460 | PA      | $406832.66     | 0.01%             | 2035-03-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| TITANIUM 2L BONDCO SA RL                                                   | TITANIUM 2L BONDCO SARL SR SECURED 01/31 6.25                 | CUSIP: ACI2R0R44<br>LEI: 636700S4QMU2DWYOSF67 | Long             | DBT              | CORP              | LU        |     57660800 | PA      | $10830167.19   | 0.15%             | 2031-01-14      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2006-113                                                 | FANNIE MAE FNR 2006 113 BQ                                    | CUSIP: 31396LZ52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        26388 | PA      | $1045.49       | 0.00%             | 2036-11-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | DEUTSCHE REVERSE REPO EUR ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -1748177 | PA      | $-2026779.85   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFRF USD SF+26.161/2.7* 9/20/23-19Y* CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $266654.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS6                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS6 A62              | CUSIP: 75116CCP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        34473 | PA      | $28099.54      | 0.00%             | 2037-04-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SVB FINANCIAL TRUST                                                        | SVB FINL TR                                                   | CUSIP: 000000000<br>LEI: N/A                  | Long             | EP               | CORP              | US        |       167720 | NS      | $10901.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UCFC HOME EQUITY LOAN 1998-D                                               | UCFC HOME EQUITY LOAN UCFC 1998 D MF2                         | CUSIP: 90263BHE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       232082 | PA      | $234837.75     | 0.00%             | 2030-04-15      | Variable      | 7.75%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A3                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A3 1A                | CUSIP: 59023CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       774879 | PA      | $735526.93     | 0.01%             | 2036-05-25      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-91                                                  | FANNIE MAE FNR 2012 91 MI                                     | CUSIP: 3136A7TF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       385863 | PA      | $36076.03      | 0.00%             | 2042-04-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                                        | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR                  | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1200000 | PA      | $1242240.00    | 0.02%             | 2033-04-10      | Floating      | 13.28%                | No            |                  2 | On Loan: No      |
| JEFFERIES & CO 2009-R7                                                     | JEFFERIES + CO JMAC 2009 R7 10A2 144A                         | CUSIP: 47233AAV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3447684 | PA      | $843101.90     | 0.01%             | 2036-12-26      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A13            | CUSIP: 02146TAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       718459 | PA      | $277408.15     | 0.00%             | 2036-08-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| SIERRA HAMILTON HOLDINGS LLC                                               | SIERRA HAMILTON HOLDER LLC                                    | CUSIP: 932BTZ902<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     30337712 | NS      | $3033.77       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA SR UNSECURED 02/32 7.75                          | CUSIP: 279158AW9<br>LEI: 254900IDGKCJICKBPA66 | Long             | DBT              | CORP              | CO        |    116310000 | PA      | $117553876.13  | 1.61%             | 2032-02-01      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3603990 | PA      | $-3613280.01   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                           | TOWD POINT MORTGAGE TRUST TPMT 2020 1 B5 144A                 | CUSIP: 89178WAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3082845 | PA      | $2288394.61    | 0.03%             | 2060-01-25      | Variable      | 4.53%                 | No            |                  2 | On Loan: No      |
| EQUINITI (ARMOR HOLDCO INC)                                                | ARMOR HOLDCO INC COMPANY GUAR 144A 11/29 8.5                  | CUSIP: 04625PAA9<br>LEI: 254900X6HLK0YPTHHF09 | Long             | DBT              | CORP              | US        |     11600000 | PA      | $10604339.52   | 0.14%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| YELLOWSTONE ENERGY LP                                                      | YELLOWSTONE ENERGY LP SR SECURED 12/26 5.75                   | CUSIP: 98580LAA3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       586150 | PA      | $580353.01     | 0.01%             | 2026-12-31      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NOMURA                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1409259 | PA      | $-1417088.59   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ADLER GROUP SA                                                             | ADLER GROUP SA   VTG SHS COMMON STOCK                         | CUSIP: ACI2RMKR2<br>LEI: 391200OYYFJ3DWAMEC69 | Long             | EP               | CORP              | LU        |     10224514 | NS      | $11.81         | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| MASTR ASSET BACKED SEC TRUST 2006-WMC1                                     | MASTR ASSET BACKED SECURITIES MABS 2006 WMC1 A3               | CUSIP: 57643LRK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5617847 | PA      | $2000084.35    | 0.03%             | 2036-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GSMBS 2025-CES2                                                            | GS MORTGAGE BACKED SECURITIES GSMBS 2025 CES2 B3 144A         | CUSIP: 36273BAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8591263 | PA      | $8510107.35    | 0.12%             | 2055-09-25      | Variable      | 9.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4646400 | PA      | $-4690831.20   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TRUST 2005-2                                 | AEGIS ASSET BACKED SECURITIES AABST 2005 2 M5                 | CUSIP: 00764MFF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $954035.70     | 0.01%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2015-A                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2015 A R 144A              | CUSIP: 78448P100<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         8000 | PA      | $1903135.10    | 0.03%             | 2048-10-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260409                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-61762.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | PEMEX SNR LA SP BRC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-272997.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TITULIZACION DE ACTIVOS 27                                                 | TITULIZACION DE ACTIVOS TDA 27 A3 REGS                        | CUSIP: E9053PAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | ES        |      4184515 | PA      | $4392147.42    | 0.06%             | 2050-12-28      | Floating      | 2.33%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                               | STEPSTNE GRUP MDCO 2 GMBH THE USD TERM LOAN                   | CUSIP: BA000BVC2<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |     42929978 | PA      | $37778380.69   | 0.52%             | 2031-12-19      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.715 03/24/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-111974.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 26-NQM3                     | MORGAN STANLEY RESIDENTIAL MOR MSRM 2026 NQM3 XS 144A         | CUSIP: 617960AN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    428530000 | PA      | $14067354.31   | 0.19%             | 2071-03-25      | Variable      | 1.35%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-4                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 4 22A1              | CUSIP: 07401CAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1152653 | PA      | $1044429.86    | 0.01%             | 2047-06-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 04/26 0.00000                                   | CUSIP: 912797SL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       300000 | PA      | $299759.63     | 0.00%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MARGATE FUNDING LTD                                                        | MARGATE FUNDING LTD MGATE 2004 1A A1S 144A                    | CUSIP: 56659NAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     14352188 | PA      | $2371038.81    | 0.03%             | 2044-12-04      | Floating      | 7.08%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                             | FREMONT HOME LOAN TRUST FHLT 2006 E 2A3                       | CUSIP: 35729NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2594118 | PA      | $1188782.53    | 0.02%             | 2037-01-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| COLLEGE AVE STUDENT LOANS LLC 2024-A                                       | COLLEGE AVE STUDENT LOANS CASL 2024 A R 144A                  | CUSIP: 19424R108<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        21173 | PA      | $11582604.96   | 0.16%             | 2054-06-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| SOUTH COAST FUNDING 5A                                                     | SOUTH COAST FUNDING SCF 5A B 144A                             | CUSIP: 84129VAG6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3678131 | PA      | $1116709.90    | 0.02%             | 2039-08-06      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 XS 144A               | CUSIP: 59981TBF1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     24523697 | PA      | $128187.82     | 0.00%             | 2059-08-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                   | SOFTBANK VISION FUND II TRANCHE B2 TERM LOAN                  | CUSIP: BA000KP70<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |      3220413 | PA      | $3274193.53    | 0.04%             | 2029-04-25      | Floating      | 7.35%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6121108 | PA      | $-6121108.00   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260430                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-92074.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR8                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR8 1A1A             | CUSIP: 92922FR67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        74333 | PA      | $72697.68      | 0.00%             | 2045-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-IM1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 IM1 A2                | CUSIP: 126670SP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       285375 | PA      | $264264.97     | 0.00%             | 2036-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R6                                     | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R6 M6                | CUSIP: 03072SG74<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6375448 | PA      | $6271975.16    | 0.09%             | 2035-08-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2009-12R                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 12R 16A1 144A          | CUSIP: 12642MBQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2929709 | PA      | $1451018.71    | 0.02%             | 2036-08-27      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA 2025 TERM LOAN B11                           | CUSIP: BA000QF29<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |      1515440 | PA      | $1509757.31    | 0.02%             | 2028-04-30      | Floating      | 7.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                             | COUNTRYWIDE HOME LOANS CWHL 2005 24 A7                        | CUSIP: 126694JX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22447 | PA      | $10945.83      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-8                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 8 1A3A               | CUSIP: 17307GE61<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       257748 | PA      | $253277.99     | 0.00%             | 2035-10-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| OCP CLO LTD 2016-11A                                                       | OCP CLO LTD OCP 2016 11A PREF 144A                            | CUSIP: 67092H209<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |         4645 | PA      | $1793352.79    | 0.02%             | 2036-04-26      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-WPT              | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 WPT AFL 144A        | CUSIP: 46645WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4593346 | PA      | $4492731.76    | 0.06%             | 2033-07-05      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| CITRUS RE LTD                                                              | CITRUS RE LTD UNSECURED 144A 06/33 VAR                        | CUSIP: 177510AS3<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |       400000 | PA      | $400000.00     | 0.01%             | 2033-06-07      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -8619345 | PA      | $-8620477.49   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| J&J VENTURES GAMING LLC                                                    | J + J VENTURES GAMING LLC 2024 TERM LOAN                      | CUSIP: 46604BAG3<br>LEI: 549300BYPH8FLKS5ZS70 | Long             | LON              | CORP              | US        |      9229450 | PA      | $9229450.00    | 0.13%             | 2028-04-26      | Floating      | 8.78%                 | No            |                  3 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2005 B 1A1                | CUSIP: 05946XRT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       705785 | PA      | $694718.82     | 0.01%             | 2035-04-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| BMO 2022-C1 MORTGAGE TRUST                                                 | BMO 2022 C1 MORTGAGE TRUST BMO 2022 C1 111D 144A              | CUSIP: 05609MCQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7850000 | PA      | $7475577.77    | 0.10%             | 2055-02-17      | Variable      | 3.27%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-43                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 43 4A3              | CUSIP: 12667G5Y5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2097503 | PA      | $1829462.55    | 0.02%             | 2035-10-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-15                                             | COUNTRYWIDE HOME LOANS CWHL 2005 15 A7                        | CUSIP: 12669GR37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        27492 | PA      | $13451.87      | 0.00%             | 2035-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AIM AVIATION FINANCE LIMITED 2015-1A                                       | DCAL AVIATION FINANCE LIMITED DCAL 2015 1A A1 144A            | CUSIP: 001406AA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |       762837 | PA      | $748616.34     | 0.01%             | 2040-02-15      | Variable      | 6.21%                 | No            |                  2 | On Loan: No      |
| DBWF MORTGAGE TRUST 2016-85T                                               | DBWF MORTGAGE TRUST DBWF 2016 85T C 144A                      | CUSIP: 23307CAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6193000 | PA      | $6059093.10    | 0.08%             | 2036-12-10      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3953440 | PA      | $-3986081.27   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP / JETBLUE LOYALTY LP                                  | JETBLUE AIRWAYS/LOYALTY SR SECURED 144A 09/31 9.875           | CUSIP: 476920AA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     14184000 | PA      | $13423997.73   | 0.18%             | 2031-09-20      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ CAPITAL SA                                            | GAZPROM (GAZ CAPITAL SA) SR UNSECURED 144A 08/37 7.288        | CUSIP: 368266AH5<br>LEI: 213800568PRHV2JR9650 | Long             | DBT              | CORP              | LU        |       300000 | PA      | $225000.00     | 0.00%             | 2037-08-16      | Fixed         | 7.29%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3213                                                    | FREDDIE MAC FHR 3213 LS                                       | CUSIP: 31397AZX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       361237 | PA      | $47900.49      | 0.00%             | 2036-09-15      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERT 2006                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 3 1A4A                 | CUSIP: 225470M67<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3791814 | PA      | $1929347.49    | 0.03%             | 2036-04-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260422                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-4842.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2025-NPL11 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL11 A1 144A        | CUSIP: 69383AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5946011 | PA      | $5950516.74    | 0.08%             | 2055-10-25      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-PTB                                  | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 PTB R 144A            | CUSIP: 78449DAF3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     23393654 | PA      | $26247493.11   | 0.36%             | 2054-09-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PEMEX LCDS SP DUB                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $4768.46       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| NEW ORLEANS HOTEL TRUST 2019-HNLA                                          | NEW ORLEANS HOTEL TRUST NOHT 2019 HNLA C 144A                 | CUSIP: 647622AE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1200000 | PA      | $1184097.84    | 0.02%             | 2032-04-15      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG 25-2A                                                     | CRAFT LTD CRFT 2025 2A CLN 144A                               | CUSIP: ACI2Y11S9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | DE        |     18900000 | PA      | $18994953.60   | 0.26%             | 2035-01-21      | Floating      | 10.92%                | No            |                  3 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR8                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR8 1A2A             | CUSIP: 17313FAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1601117 | PA      | $60973.12      | 0.00%             | 2037-08-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-S3                                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 S3 1A96                   | CUSIP: 46631NDZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       319728 | PA      | $129108.90     | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2012-RR3                                                    | BCAP LLC TRUST BCAP 2012 RR3 2A8 144A                         | CUSIP: 05539BAQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1313473 | PA      | $1187206.59    | 0.02%             | 2037-05-26      | Variable      | 4.08%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP LP / UNITI FIBER HOLDINGS INC / CSL CAPITAL LLC                | UNITI GRP/UNITI HLD/CSL COMPANY GUAR 144A 01/30 6             | CUSIP: 91327AAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     66451000 | PA      | $62573026.63   | 0.85%             | 2030-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC 2005-R3                                            | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R3 M5                | CUSIP: 03072SA39<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       711753 | PA      | $697578.11     | 0.01%             | 2035-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                             | WORLDWIDE PLAZA TRUST WPT 2017 WWP B 144A                     | CUSIP: 98162JAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3000000 | PA      | $1014898.50    | 0.01%             | 2036-11-10      | Variable      | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6568226 | PA      | $-6596895.05   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA6                                    | FREDDIE MAC   STACR STACR 2021 DNA6 B2 144A                   | CUSIP: 35564KLV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8896000 | PA      | $9151397.04    | 0.12%             | 2041-10-25      | Floating      | 11.16%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-12                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 12 3A1                | CUSIP: 61755GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       136134 | PA      | $42525.18      | 0.00%             | 2037-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2006-ABC1                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 ABC1 A3               | CUSIP: 23242NAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3237943 | PA      | $2747058.46    | 0.04%             | 2036-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -14065938 | PA      | $-14074416.50  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| GMAC MORTGAGE CORPORATION LN TR 2007-HE2                                   | GMAC MORTGAGE CORPORATION LOAN GMACM 2007 HE2 A6              | CUSIP: 36186LAG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       422035 | PA      | $412228.98     | 0.01%             | 2037-12-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A2C                  | CUSIP: 61750SAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6677314 | PA      | $2913501.88    | 0.04%             | 2036-10-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| DOGWOOD LLC                                                                | MARKET GARDEN EQTYQL9A8                                       | CUSIP: 902FLS002<br>LEI: N/A                  | Long             | EC               | CORP              | US        |     41876606 | NS      | $46569256.51   | 0.64%             |  |  |  | Yes           |                  3 | On Loan: No      |
| ECOPETROL SA                                                               | ECOPETROL SA 2022 TERM LOAN                                   | CUSIP: BA000WS06<br>LEI: 254900IDGKCJICKBPA66 | Long             | LON              | CORP              | US        |     10000000 | PA      | $9900000.00    | 0.14%             | 2027-12-18      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| NSCALE SERVICES UK LIMITED                                                 | NSCALE DELAYED DRAW TERM LOAN                                 | CUSIP: BA000WQD0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     19000000 | PA      | $19000000.00   | 0.26%             | 2032-08-11      | Floating      | 0.36%                 | No            |                  3 | On Loan: No      |
| NATURE COAST RE LTD                                                        | NATURE COAST RE LTD UNSECURED 144A 02/30 VAR                  | CUSIP: 63901CAF8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1900000 | PA      | $1894680.00    | 0.03%             | 2030-02-26      | Floating      | 8.00%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B4 144A                 | CUSIP: 59980XAN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2759118 | PA      | $1852691.96    | 0.03%             | 2058-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | US RENAL CARE INC SR SECURED 144A 06/28 10.625                | CUSIP: 90355YAA5<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |     13209100 | PA      | $11029598.50   | 0.15%             | 2028-06-28      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                    | ION PLAT FIN US/SARL SR SECURED 144A 05/28 5                  | CUSIP: 46206AAE2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4200000 | PA      | $3927386.82    | 0.05%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR HOLDCO SLU                                                  | PROJECT QUASAR PLEDGCO SLU 2022 EUR TERM LOAN A1              | CUSIP: 944ZSGII9<br>LEI: N/A                  | Long             | LON              | CORP              | ES        |      8849091 | PA      | $10162379.94   | 0.14%             | 2026-04-15      | Floating      | 5.19%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | 31750SFJ9 PIMCO FXVAN CALL USD TRY 49.60000000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -1700000 | NC      | $-9523.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST-2007-4                                              | SLM STUDENT LOAN TRUST SLMA 2007 4 R                          | CUSIP: 78444A107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        30999 | PA      | $5747084.49    | 0.08%             | 2042-01-25      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                                        | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M4                   | CUSIP: 70069FLK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1600000 | PA      | $1435430.88    | 0.02%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260821                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-35926.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC STACR REMIC TRUST 2021-DNA7                                    | FREDDIE MAC   STACR STACR 2021 DNA7 B2 144A                   | CUSIP: 35564KNE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8323874 | PA      | $8608659.53    | 0.12%             | 2041-11-25      | Floating      | 11.46%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-2                                            | BEAR STEARNS ALT A TRUST BALTA 2007 2 2A1                     | CUSIP: 073870AG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3306016 | PA      | $2282156.11    | 0.03%             | 2037-04-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 04/26 0.00000                                   | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      5273000 | PA      | $5269827.39    | 0.07%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REV REPO STANDARD CHARTERED BA ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -9002430 | PA      | $-10427350.40  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2025-NPL12 LLC                                                        | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL12 A1 144A        | CUSIP: 69383CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7599002 | PA      | $7552007.11    | 0.10%             | 2055-11-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-23CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 23CB A3             | CUSIP: 12667GLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        44906 | PA      | $40772.24      | 0.00%             | 2035-07-25      | Floating      | 9.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4043424 | PA      | $-4099355.10   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-FLX1                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 FLX1 A1              | CUSIP: 45667WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        80184 | PA      | $78264.16      | 0.00%             | 2036-11-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PEMEX LCDS SP DUB                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $2679.48       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| HANDSHAKE RE LTD                                                           | HANDSHAKE RE LTD UNSECURED 144A 01/30 VAR                     | CUSIP: 410290AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       300000 | PA      | $298260.00     | 0.00%             | 2030-01-08      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| EVERGLADES RE II LTD                                                       | EVERGLADES RE II LTD UNSECURED 144A 05/31 VAR                 | CUSIP: 30014LAP9<br>LEI: 5493000EE11S6ONK0372 | Long             | DBT              | CORP              | BM        |      4260000 | PA      | $4334550.00    | 0.06%             | 2031-05-13      | Floating      | 16.28%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                                      | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3                   | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4068658 | PA      | $2006481.13    | 0.03%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| PERATON CORP                                                               | PERATON CORP 2ND LIEN TERM LOAN B1                            | CUSIP: 71360HAG2<br>LEI: 549300EQPCK07ZW63836 | Long             | LON              | CORP              | US        |      4733075 | PA      | $3431479.61    | 0.05%             | 2029-02-01      | Floating      | 11.52%                | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A2 144A         | CUSIP: 466309AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12997687 | PA      | $5914479.73    | 0.08%             | 2037-06-27      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2007-1                                             | CSAB MORTGAGE BACKED TRUST CSAB 2007 1 2A5                    | CUSIP: 12629EBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1751956 | PA      | $1137324.60    | 0.02%             | 2037-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-223173.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -5234512 | PA      | $-5276853.89   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                               | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR E 144A             | CUSIP: 12564NAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12650000 | PA      | $11926183.45   | 0.16%             | 2038-11-15      | Floating      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.50000 06/17/20-30Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $264351.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6722357 | PA      | $-6727018.88   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT MXN SOLD USD 20260420                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |            1 | NC      | $-4247.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAST MORTGAGE TRUST 2022-1700                                             | BSST MORTGAGE TRUST BSST 2022 1700 A 144A                     | CUSIP: 055742AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11900000 | PA      | $10528912.94   | 0.14%             | 2037-02-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                            | REPUBLIC OF VENEZUELA SR UNSECURED REGS 05/28 9.25            | CUSIP: P17625AB3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      9100000 | PA      | $4186000.00    | 0.06%             | 2028-05-07      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1400000 | PA      | $-1410101.00   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                     | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 A 144A             | CUSIP: 78432WAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18150000 | PA      | $18131365.40   | 0.25%             | 2038-05-15      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| PALISADES CDO LTD. 2004-1A                                                 | PALISADES CDO LTD PALIS 2004 1A B1 144A                       | CUSIP: 696399AD6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6539993 | PA      | $2136315.01    | 0.03%             | 2039-07-22      | Floating      | 7.70%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-4                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 4 1A1               | CUSIP: 073882AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        28239 | PA      | $28240.58      | 0.00%             | 2036-10-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |    -17948408 | PA      | $-20781974.20  | -0.28%            |  |  |  | No            |                  2 | On Loan: No      |
| 245 PARK AVENUE TRUST 2017-245P                                            | PARK AVENUE TRUST PRKAV 2017 245P D 144A                      | CUSIP: 90187LAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2500000 | PA      | $2434742.75    | 0.03%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6021181 | PA      | $-6021980.66   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                           | PROJECT CASHMERE CLASS E 144A                                 | CUSIP: 990ABJRU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     13222000 | PA      | $9122521.35    | 0.12%             | 2057-12-30      | Floating      | 7.56%                 | No            |                  3 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2017-GPTX                                | GS MORTGAGE SECURITIES TRUST GSMS 2017 GPTX B 144A            | CUSIP: 36257CAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1496102.00    | 0.02%             | 2034-05-10      | Fixed         | 3.10%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-AF1                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 AF1 1AF8             | CUSIP: 59024KAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2110411 | PA      | $1555136.81    | 0.02%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W3                                              | ARGENT SECURITIES INC. ARSI 2005 W3 M2                        | CUSIP: 040104PD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14850602 | PA      | $13307879.88   | 0.18%             | 2035-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ASSET SECURITIES 2007-4                                      | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 4 1A5               | CUSIP: 32056CAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       213265 | PA      | $66372.51      | 0.00%             | 2037-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-2Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $355391.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2005-10                                          | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2005 10 2A1              | CUSIP: 93934FFZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       652277 | PA      | $618554.45     | 0.01%             | 2035-11-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-168                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 168 AS                | CUSIP: 38381BGP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2175157 | PA      | $202368.11     | 0.00%             | 2048-12-20      | Floating      | 2.31%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                        | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF B 144A               | CUSIP: 04410RAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8598000 | PA      | $8572340.13    | 0.12%             | 2035-04-15      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                         | VERUS SECURITIZATION TRUST VERUS 2025 R1 B3 144A              | CUSIP: 92541AAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4080000 | PA      | $3578194.68    | 0.05%             | 2065-05-25      | Variable      | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6371715 | PA      | $-6384139.85   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| COMM MORTGAGE TRUST 2018-HCLV                                              | COMM MORTGAGE TRUST COMM 2018 HCLV A 144A                     | CUSIP: 20048KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5000000 | PA      | $4715796.50    | 0.06%             | 2033-09-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| BBCMS TRUST 2018-CBM                                                       | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2018 CBM A 144A          | CUSIP: 05549RAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13000000 | PA      | $12656597.20   | 0.17%             | 2037-07-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1983431 | PA      | $-1984804.53   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2022-ONL                             | WELLS FARGO COMMERCIAL MORTGAG WFCM 2022 ONL A 144A           | CUSIP: 95003WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4424246 | PA      | $4273712.59    | 0.06%             | 2039-12-15      | Fixed         | 3.86%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                             | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000           | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |      4677000 | PA      | $3662278.08    | 0.05%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| REGAL TRUST IV 1999-1                                                      | REGAL TRUST IV REGAL 1999 1 A 144A                            | CUSIP: 758842AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          463 | PA      | $445.22        | 0.00%             | 2031-09-29      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT SELECTION TRUST 2024-PT2                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 PT2 CERT 144A        | CUSIP: 69546YAF8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       700000 | PA      | $276364.81     | 0.00%             | 2032-04-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO PARIBAS                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -4015162 | PA      | $-4022844.78   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -7009080 | PA      | $-8162310.62   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL COLLEGIATE V COMMUTATION TRUST 2007-33A6                          | NATIONAL COLLEGIATE V COMMUTAT NCVCT 2007 33A6 1O 144A        | CUSIP: 63546EAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     41689988 | PA      | $5797826.60    | 0.08%             | 2038-03-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| DRYDEN 123 CLO LTD 2025-123A                                               | DRSLF 2025 123A SUB 144A FEE FEE0019N8                        | CUSIP: 958WYTII4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      8400000 | PA      | $184523.72     | 0.00%             | 2038-04-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD EGP BOUGHT USD 20260618                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |            1 | NC      | $17053.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS16                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS16 A10             | CUSIP: 74922LAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1145164 | PA      | $917018.79     | 0.01%             | 2036-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                       | THAMES WATER SUPER SEN SR SECURED REGS 10/27 9.75             | CUSIP: ACI2VYD73<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |      1100000 | PA      | $1588015.55    | 0.02%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -170000 | PA      | $-170294.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20260505                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-87.47        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3400000 | PA      | $-3415238.61   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE SA                                                                  | ALTICE HOLDINGS 1 12/99 0                                     | CUSIP: 000000000<br>LEI: 549300LA7PKCH18B3S39 | Long             | EC               | CORP              | LU        |        77506 | NS      | $1075023.93    | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| IPL SCHOELLER (TOUCAN FINCO LTD/TOUCAN FINCO CAN INC/TOUCAN FINCO US LLC)  | TOUCAN FINCO LTD/CAN/US SR SECURED 144A 05/30 9.5             | CUSIP: 89157UAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | JE        |      5683000 | PA      | $5025614.43    | 0.07%             | 2030-05-15      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260508                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-575414.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2006-1F                                      | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2006 1F 3S               | CUSIP: 86800RAG6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      3884528 | PA      | $538832.66     | 0.01%             | 2036-04-25      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| DATABRICKS INC                                                             | DATABRICKS INC 2025 1ST AMENDMENT TERM LOAN                   | CUSIP: 23803RAE1<br>LEI: 984500FEDAC7FBD96273 | Long             | LON              | CORP              | US        |     12691048 | PA      | $12627592.79   | 0.17%             | 2032-01-05      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -4853000 | PA      | $-5618531.13   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-AR5                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR5 2A1A             | CUSIP: 17309FAS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1482899 | PA      | $916640.19     | 0.01%             | 2036-07-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-5                                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 5 1A1               | CUSIP: 07386YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        99549 | PA      | $88402.85      | 0.00%             | 2047-08-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                   | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 1A1             | CUSIP: 94985GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       144045 | PA      | $126898.33     | 0.00%             | 2037-07-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -10911600 | PA      | $-11014035.68  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-4130.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -11698144 | PA      | $-11773792.42  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | EGYPT EM SP BRC                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-516041.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ABX.HE.PENAAA.07-1 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-14903.21     | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 2A3                | CUSIP: 05951EAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        62925 | PA      | $54752.82      | 0.00%             | 2047-01-20      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                           | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 6A1                    | CUSIP: 46630GAX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        12192 | PA      | $11843.14      | 0.00%             | 2035-07-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI1 144A         | CUSIP: 760985X89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       155205 | PA      | $155391.96     | 0.00%             | 2034-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| TREMONT RE LTD                                                             | TREMONT RE LTD UNSECURED 144A 03/33 VAR                       | CUSIP: 89479VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       300000 | PA      | $300000.00     | 0.00%             | 2033-03-22      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA SR SECURED 144A 11/29 9.5                    | CUSIP: 02090DAA6<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     16789943 | PA      | $16978175.05   | 0.23%             | 2029-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL9 LLC                                                         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL9 A1 144A         | CUSIP: 740937AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1578413 | PA      | $1580972.15    | 0.02%             | 2055-08-25      | Fixed         | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260401                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $26215.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-4                                     | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 4 9A1                  | CUSIP: 12637HAY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       309716 | PA      | $126871.65     | 0.00%             | 2036-05-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-64CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 64CB 2A1            | CUSIP: 12668AA62<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       315386 | PA      | $42350.15      | 0.00%             | 2035-11-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-2                         | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 2 2A2                | CUSIP: 31659EAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3786844 | PA      | $2086124.49    | 0.03%             | 2036-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| DENALI INTERMEDIATE HOLDINGS INC                                           | DUN + BRADSTREET CORPOR THE 2025 REVOLVER                     | CUSIP: BA000K747<br>LEI: 2549003M8H6SW81O1D67 | Long             | LON              | CORP              | US        |      1364207 | PA      | $1364206.57    | 0.02%             | 2032-08-26      | Floating      | 0.63%                 | No            |                  3 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                           | CONSECO FINANCIAL CORP GT 1999 3 A9                           | CUSIP: 393505X98<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       231953 | PA      | $208924.77     | 0.00%             | 2031-02-01      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ABX.HE.AA.06-2 SP ULO                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-3034444.36   | -0.04%            |  |  |  | No            |                  3 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-AHP                                      | BX TRUST BX 2022 AHP C 144A                                   | CUSIP: 05610FAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19137167 | PA      | $19148121.58   | 0.26%             | 2039-01-17      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| MERLIN ENTERTAINMENTS (MOTION FINCO SARL)                                  | MOTION FINCO SARL SR SECURED REGS 06/30 7.375                 | CUSIP: ACI2G9CJ0<br>LEI: 2549002L1LBQZKA7UN30 | Long             | DBT              | CORP              | LU        |     51500000 | PA      | $51667312.91   | 0.71%             | 2030-06-15      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | REPUBLIC OF COLOMBIA SR UNSECURED 01/29 5.375                 | CUSIP: 195325ET8<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      1800000 | PA      | $1785600.00    | 0.02%             | 2029-01-21      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ASSET 2005-FF6                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF6 M4                | CUSIP: 32027NSM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13250929 | PA      | $12217191.21   | 0.17%             | 2036-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A15                            | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A15 A13              | CUSIP: 76114DAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5396487 | PA      | $1742492.86    | 0.02%             | 2037-01-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A3B             | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       380944 | PA      | $260921.99     | 0.00%             | 2037-05-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CZK BOUGHT USD 20260415                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |            1 | NC      | $2660.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AF3             | CUSIP: 46629QAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2196263 | PA      | $1294524.16    | 0.02%             | 2029-09-25      | Variable      | 5.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP MYC                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $1500.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-8807.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO5                                    | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO5 A1               | CUSIP: 761118QM3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2459460 | PA      | $1907803.16    | 0.03%             | 2046-01-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -8463054 | PA      | $-9805344.80   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-CTX1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 CTX1 M5              | CUSIP: 83611PBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1037531 | PA      | $1031657.33    | 0.01%             | 2035-11-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| ACCESS FINANCIAL MANUF HSG 1995-1                                          | ACCESS FINANCIAL MANUF HSG CON ACCFC 1995 1 B1                | CUSIP: 004313AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       199764 | PA      | $750.51        | 0.00%             | 2049-05-15      | Fixed         | 7.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/2.00000 12/21/22-10Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $9385608.72    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -17300985 | PA      | $-17478680.53  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | NEW WINDSTREAM WARRANTS                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       737041 | NC      | $6906074.17    | 0.09%             |  |  |  | No            |                  3 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB3                                           | COUNTRYWIDE HOME LOANS CWHL 2005 HYB3 1A1                     | CUSIP: 12669GA50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         2095 | PA      | $2070.40       | 0.00%             | 2035-06-20      | Floating      | 3.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260429                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-20765.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -8005505 | PA      | $-9269813.82   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A1                 | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     26125349 | PA      | $2110390.03    | 0.03%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ECUADOR LA SP JPM                                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $31610.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMM 2022-HC MORTGAGE TRUST                                                | COMM MORTGAGE TRUST COMM 2022 HC A 144A                       | CUSIP: 12659DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9131000 | PA      | $8867940.46    | 0.12%             | 2039-01-10      | Fixed         | 2.82%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED REC 2006-HE1                                      | SECURITIZED ASSET BACKED RECEI SABR 2006 HE1 A2C              | CUSIP: 81376YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2511839 | PA      | $808047.93     | 0.01%             | 2036-07-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| WARWICK FINANCE RESIDENTIAL MORTGAGES 3A                                   | WARWICK FINANCE RESIDENTIAL MO WARW 3A E 144A                 | CUSIP: ACI0Y9JP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       646000 | PA      | $841662.72     | 0.01%             | 2049-12-21      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-A                                    | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 A R 144A              | CUSIP: 78450FAG2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         5200 | PA      | $3956913.19    | 0.05%             | 2054-11-16      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                          | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2              | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18634544 | PA      | $4461840.23    | 0.06%             | 2036-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805C 144A         | CUSIP: 17328CBP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1510800 | PA      | $334738.89     | 0.00%             | 2072-12-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| LABRADOR AVIATION FINANCE LTD 2016-1A                                      | LABRADOR AVIATION FINANCE LIMI LAFL 2016 1A A1 144A           | CUSIP: 50543LAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1234974 | PA      | $1267149.38    | 0.02%             | 2042-01-15      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| ASTON MARTIN CAPITAL HOLDINGS LIMITED                                      | ASTON MARTIN CAPITAL HOL SR SECURED 144A 03/29 10             | CUSIP: 04625HAJ8<br>LEI: 213800H4GKEF3CJ8C774 | Long             | DBT              | CORP              | JE        |     46124000 | PA      | $34747746.02   | 0.47%             | 2029-03-31      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 XS 144A         | CUSIP: 617941AL3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52110353 | PA      | $1641976.37    | 0.02%             | 2070-01-25      | Variable      | 1.36%                 | No            |                  2 | On Loan: No      |
| KENYA GOVT                                                                 | REPUBLIC OF KENYA SR UNSECURED 144A 02/34 7.875               | CUSIP: 491798AR5<br>LEI: 549300VVURQQYU45PR87 | Long             | DBT              | NUSS              | KE        |      9800000 | PA      | $8920587.89    | 0.12%             | 2034-02-26      | Fixed         | 7.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-J1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 J1 1A3              | CUSIP: 12668BJZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       671831 | PA      | $443380.02     | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD KZT BOUGHT USD 20260420                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |            1 | NC      | $-729.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2021-NMR1                                    | MILL CITY MORTGAGE TRUST MCMLT 2021 NMR1 XS 144A              | CUSIP: 59982HBG4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     55703995 | PA      | $264538.27     | 0.00%             | 2060-11-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $805.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -5349260 | PA      | $-6190786.07   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA ALT LOAN TRUST 2006-5                                      | BANC OF AMERICA ALTERNATIVE LO BOAA 2006 5 CB17               | CUSIP: 05950BAS3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        33306 | PA      | $29175.03      | 0.00%             | 2046-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -21975662 | PA      | $-22032725.44  | -0.30%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX3                                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX3 M1              | CUSIP: 76113ACB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6183077 | PA      | $5459393.98    | 0.07%             | 2036-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                 | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL               | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       385330 | PA      | $322713.82     | 0.00%             | 2027-06-30      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260414                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-39172.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                             | FWD0104H8 COLOMBIA GOVT FWD 04 24 2026                        | CUSIP: 958QWGII7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | US        |       800000 | PA      | $201.64        | 0.00%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 26-NPL2                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 NPL2 A1 144A         | CUSIP: 69393DAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1172597 | PA      | $1164247.94    | 0.02%             | 2056-02-25      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B5 144A                 | CUSIP: 59980XAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1379060 | PA      | $821617.21     | 0.01%             | 2058-08-25      | Variable      | 3.65%                 | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                            | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                      | CUSIP: 73110JAF9<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |       250000 | PA      | $250562.50     | 0.00%             | 2029-01-08      | Floating      | 14.16%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO EUR ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |      -854330 | PA      | $-986573.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF1                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF1 A2D              | CUSIP: 17307G4J4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1262636 | PA      | $567351.40     | 0.01%             | 2036-03-25      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GRP INC. 2025 TRANCHE A TERM LOAN       | CUSIP: 65131PAC3<br>LEI: 549300UTQC2651SB0W88 | Long             | LON              | CORP              | US        |     49486500 | PA      | $36478478.60   | 0.50%             | 2029-04-30      | Floating      | 7.27%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL7 LLC                                                         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL7 A1 144A         | CUSIP: 740934AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       900950 | PA      | $903335.13     | 0.01%             | 2055-07-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -38082508 | PA      | $-38113941.56  | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                              | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A2                        | CUSIP: 81744MAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        66790 | PA      | $11509.46      | 0.00%             | 2036-07-20      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS USH3698DBW32 CREDIT SUISSE GROUP AG             | CUSIP: 952NPG907<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |       600000 | PA      | $210000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COLOGIX CANADIAN ISSUER LP 2022-1CAN                                       | COLOGIX DATA CENTERS ISSUER LL CLGIX 2022 1CAN C 144A         | CUSIP: 19521DAN1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |      2000000 | PA      | $1417640.72    | 0.02%             | 2052-01-25      | Fixed         | 7.74%                 | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                     | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                        | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |    134781184 | PA      | $124841071.82  | 1.70%             | 2027-05-13      | Floating      | 10.70%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO SOCIETE GENERALE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1197401 | PA      | $-1199818.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| APLD COMPUTECO 2 LLC                                                       | APLD COMPUTECO 2 LLC SR SECURED 144A 03/31 6.75               | CUSIP: 03772CAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      4000000 | PA      | $3973356.40    | 0.05%             | 2031-03-15      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                            | BEAR STEARNS ALT A TRUST BALTA 2005 5 26A1                    | CUSIP: 07386HUN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       181109 | PA      | $121059.71     | 0.00%             | 2035-07-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| PRETM 2026-RPL1 TRUST                                                      | PRETM 2026 RPL1 TR PRETM 2026 RPL1 CERT 144A                  | CUSIP: 74143DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16055886 | PA      | $14354633.22   | 0.20%             | 2070-01-25      | Fixed         | 4.36%                 | No            |                  2 | On Loan: No      |
| NEWFOLD DIGITAL HOLDINGS GROUP INC                                         | NEWFOLD DIGITAL HLDGS GR SR SECURED 144A 04/29 11.75          | CUSIP: 650929AC6<br>LEI: 549300UTQC2651SB0W88 | Long             | DBT              | CORP              | US        |     10807635 | PA      | $8731920.62    | 0.12%             | 2029-04-30      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-TM1                                   | COUNTRYWIDE HOME LOANS CWHL 2006 TM1 A1                       | CUSIP: 126694U97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12780290 | PA      | $11153748.51   | 0.15%             | 2046-03-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A6                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A6 2A7              | CUSIP: 466285AR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        32805 | PA      | $43697.67      | 0.00%             | 2036-11-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A2                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1              | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       484363 | PA      | $258424.45     | 0.00%             | 2036-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260507                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $75342.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO EUR ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -1946142 | PA      | $-2252766.65   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                                 | ENVISION HEALTHCARE CORPORTION 2023 LAST OUT TERM LOAN        | CUSIP: 949ABFII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    119219566 | PA      | $122796153.28  | 1.68%             | 2028-09-15      | Fixed         | 11.64%                | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -5477153 | PA      | $-5477252.98   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                            | VERAISON RE LTD UNSECURED 144A 03/34 VAR                      | CUSIP: 92335TAG4<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $300195.00     | 0.00%             | 2034-03-08      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                              | EGYPT TREASURY BILL BILLS 08/26 0.00000                       | CUSIP: ACI3134R8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    901000000 | PA      | $15201008.44   | 0.21%             | 2026-08-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                           | PROJECT CASHMERE CLASS F 144A                                 | CUSIP: 990ABJSF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |     14866000 | PA      | $10256799.46   | 0.14%             | 2057-12-30      | Floating      | 8.64%                 | No            |                  3 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                       | GSAMP TRUST GSAMP 2007 FM1 A2D                                | CUSIP: 3622MAAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3349543 | PA      | $1655624.38    | 0.02%             | 2036-12-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1               | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       540951 | PA      | $505309.47     | 0.01%             | 2035-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2003-40A                                         | STRUCTURED ASSET SECURITIES CO SASC 2003 40A 3A2              | CUSIP: 86359BEK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        47361 | PA      | $45983.59      | 0.00%             | 2034-01-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | 31750SD28 PIMCO FXVAN CALL USD TRY 49.51000000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -6700000 | NC      | $-17426.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260506                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-8333.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1                     | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 XA1 144A         | CUSIP: 35563CAB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    250075965 | PA      | $14930435.39   | 0.20%             | 2055-11-25      | Variable      | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -33087137 | PA      | $-33200046.99  | -0.45%            |  |  |  | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-1                                        | RBSSP RESECURITIZATION TRUST RBSSP 2010 1 2A2 144A            | CUSIP: 74928YAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7665178 | PA      | $7674946.94    | 0.10%             | 2045-07-26      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| CITIGROUP/DEUTSCHE BK COMM MTGE 2006-CD3                                   | CD COMMERCIAL MORTGAGE TRUST CD 2006 CD3 AJ                   | CUSIP: 14986DAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1007907 | PA      | $952569.11     | 0.01%             | 2048-10-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP 2005-2                                           | IMPAC SECURED ASSETS CORP. IMSA 2005 2 A2D                    | CUSIP: 45254TSS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       707998 | PA      | $631173.33     | 0.01%             | 2036-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD AUD BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $2469.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $61718.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W5                                              | ARGENT SECURITIES INC. ARSI 2005 W5 M1                        | CUSIP: 040104QQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1089095 | PA      | $1189728.23    | 0.02%             | 2036-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3844854 | PA      | $-3877324.62   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | PARIBAS REVERSE REPO GBP ZCP                                  | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -7584129 | PA      | $-10054405.22  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -810211 | PA      | $-819866.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-737424.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -12621375 | PA      | $-12668102.13  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR31                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR31 A5              | CUSIP: 45667QAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       439530 | PA      | $416417.33     | 0.01%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| GLGU-2021-1A                                                               | MAN GLG US CLO 2021 1 LTD GLGU 2021 1A SUB 144A               | CUSIP: 56166XAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      6450000 | PA      | $2291764.59    | 0.03%             | 2034-07-15      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 04/26 0.00000                                   | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       200000 | PA      | $199456.17     | 0.00%             | 2026-04-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-6CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 6CB 1A1             | CUSIP: 12668BRW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2016634 | PA      | $1635681.75    | 0.02%             | 2036-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A8                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A8 2A5               | CUSIP: 761128AH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3925080 | PA      | $867864.96     | 0.01%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| MARLETTE FUNDING TRUST 2019-3                                              | MARLETTE FUNDING TRUST MFT 2019 3A CERT 144A                  | CUSIP: 57109M101<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        35261 | PA      | $0.00          | 0.00%             | 2029-09-17      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 06/26 0.00000                                   | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     11919000 | PA      | $11811982.28   | 0.16%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC1                                         | MASTR ASSET BACKED SECURITIES MABS 2006 NC1 M1                | CUSIP: 57643LNG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        83869 | PA      | $84477.94      | 0.00%             | 2036-01-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2021-W10                       | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 W10 G 144A            | CUSIP: 55284DAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2750000 | PA      | $2744294.58    | 0.04%             | 2034-12-15      | Floating      | 7.89%                 | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-MC                                       | BX TRUST BX 2021 MC G 144A                                    | CUSIP: 05608GAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4000000 | PA      | $3920300.00    | 0.05%             | 2034-04-15      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2002-1                                          | CONSECO FINANCE SECURITIZATION CNF 2002 1 M2                  | CUSIP: 20846QJT6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      4089213 | PA      | $4175326.11    | 0.06%             | 2033-12-01      | Fixed         | 9.55%                 | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A Z 144A             | CUSIP: ACI2S8TX0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      3784000 | PA      | $4242825.81    | 0.06%             | 2060-06-20      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 B2 144A           | CUSIP: 12656TAH1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4624600 | PA      | $2883851.08    | 0.04%             | 2060-01-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM2                   | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM2 AIOS 144A       | CUSIP: 617941AK5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     52110353 | PA      | $226349.13     | 0.00%             | 2070-01-25      | Variable      | 0.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT PLN SOLD USD 20260415                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |            1 | NC      | $-5068.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                    | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A3             | CUSIP: 83612NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7659626 | PA      | $2033492.02    | 0.03%             | 2037-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $50769.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6392532 | PA      | $-6404017.49   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| WINDROSE RE LTD                                                            | WINDROSE RE LTD UNSECURED 144A 02/33 VAR                      | CUSIP: 972917AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       400000 | PA      | $398840.00     | 0.01%             | 2033-02-11      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NOMURA                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -8166412 | PA      | $-8173001.91   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC 2021-ADV TRUST                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 ADV D 144A             | CUSIP: 12660WAL9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     15850000 | PA      | $2529213.03    | 0.03%             | 2038-07-15      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                      | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2               | CUSIP: 68403KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17436157 | PA      | $11307164.59   | 0.15%             | 2037-07-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-EMX7                                       | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX7 A4              | CUSIP: 74924TAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7385910 | PA      | $6632755.63    | 0.09%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| PATTERSON CO (PARADIGM PARENT LLC)                                         | PARADIGM PARENT LLC 1ST LIEN TERM LOAN                        | CUSIP: 69902BAB5<br>LEI: 254900EDT9YE5UFH3458 | Long             | LON              | CORP              | US        |     35919764 | PA      | $29813403.88   | 0.41%             | 2032-04-16      | Floating      | 8.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/1.50000 12/15/21-10Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $11580647.25   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ALT LN TR 2006-2                                                     | MASTR ALTERNATIVE LOANS TRUST MALT 2006 2 2A3                 | CUSIP: 5764342K9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19765372 | PA      | $1576084.81    | 0.02%             | 2036-03-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2025-NQM4                              | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM4 X 144A          | CUSIP: 36272UAG3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    295433443 | PA      | $10537076.88   | 0.14%             | 2065-10-25      | Variable      | 2.27%                 | No            |                  2 | On Loan: No      |
| VIRIDIEN                                                                   | VIRIDIEN SR SECURED 144A 10/30 10                             | CUSIP: 12531QAA3<br>LEI: 969500FCVQ5SLAAUJV59 | Long             | DBT              | CORP              | FR        |     12431000 | PA      | $13238704.23   | 0.18%             | 2030-10-15      | Fixed         | 10.00%                | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                              | PURPLE RE LTD UNSECURED 144A 06/33 VAR                        | CUSIP: 74639NAF0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      1200000 | PA      | $1200000.00    | 0.02%             | 2033-06-07      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| YAHOO (AKA: AP CORE HOLDINGS II LLC)                                       | AP CORE HOLDINGS II LLC AMORTIZATION TERM LOAN B1             | CUSIP: 00187GAC3<br>LEI: 549300PND8ZZ4RWYRZ56 | Long             | LON              | CORP              | US        |       398226 | PA      | $388909.96     | 0.01%             | 2027-09-01      | Floating      | 9.43%                 | No            |                  2 | On Loan: No      |
| PRESTON RIDGE PARTNERS MORTGAGE TRUST 26-2                                 | PRESTON RIDGE PARTNERS MORTGAG PRPM 2026 2 A1 144A            | CUSIP: 74390XAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1336024 | PA      | $1336927.91    | 0.02%             | 2031-02-25      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC5                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A                | CUSIP: 12666SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9408453 | PA      | $8839546.18    | 0.12%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                        | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A1                | CUSIP: 761136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2405422 | PA      | $726829.44     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ECAF I LTD 2015-1A                                                         | ECAF LTD ECAF 2015 1A A1 144A                                 | CUSIP: 26827EAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | KY        |       422078 | PA      | $379142.39     | 0.01%             | 2040-06-15      | Fixed         | 3.47%                 | No            |                  2 | On Loan: No      |
| CITIGROUP COMMERCIAL MORTGAGE TRUST 2019-C7                                | CITIGROUP COMMERCIAL MORTGAGE CGCMT 2019 C7 805A 144A         | CUSIP: 17328CBK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3400000 | PA      | $2119265.22    | 0.03%             | 2072-12-15      | Variable      | 3.79%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/46 VAR                  | CUSIP: 040114HW3<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       214305 | PA      | $147549.09     | 0.00%             | 2046-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SEA1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SEA1 1A1 144A         | CUSIP: 23248AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4128632 | PA      | $3805694.27    | 0.05%             | 2047-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| OCS GROUP HOLDINGS LIMITED                                                 | OCS GROUP HOLDINGS LTD 2026 GBP TERM LOAN B5                  | CUSIP: BA000XG23<br>LEI: 54930002RKY3Y4LURL90 | Long             | LON              | CORP              | GB        |      2300000 | PA      | $3033626.07    | 0.04%             | 2031-11-28      | Floating      | 8.98%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                               | ACE SECURITIES CORP. ACE 2006 NC3 A2B                         | CUSIP: 00442EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20401790 | PA      | $5090016.16    | 0.07%             | 2036-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                    | COREWEAVE COMPUTE ACQCO II LLC DDTL                           | CUSIP: 948GKAII8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     14687500 | PA      | $15118890.35   | 0.21%             | 2028-07-31      | Floating      | 13.30%                | No            |                  3 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A4A              | CUSIP: 43710BAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1970223 | PA      | $1770156.98    | 0.02%             | 2037-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2046375 | PA      | $-2051386.35   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-128261.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260507                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $88987.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 4 X                       | CUSIP: 89178BBJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    304207263 | PA      | $30.42         | 0.00%             | 2059-10-25      | Fixed         | 0.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NOMURA                                           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -14203238 | PA      | $-14284117.81  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                       | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      1300000 | PA      | $29258.45      | 0.00%             | 2026-08-19      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                          | U S RENAL CARE INC 2025 DELAYED DRAW TERM LOAN                | CUSIP: BA000SL28<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |      9181250 | PA      | $9353693.16    | 0.13%             | 2030-09-25      | Floating      | 9.68%                 | No            |                  3 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR2                                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR2 2A1             | CUSIP: 32055GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         7831 | PA      | $3757.15       | 0.00%             | 2037-07-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -22922231 | PA      | $-23002363.72  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO HSBC                                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -34034427 | PA      | $-34172266.43  | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                                       | EAST LANE RE VII LTD SR UNSECURED 144A 03/32 VAR              | CUSIP: 27332EAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      2000000 | PA      | $2003400.00    | 0.03%             | 2032-03-31      | Floating      | 12.10%                | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B              | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      9142505 | PA      | $7079115.51    | 0.10%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-16                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 16 MV5                | CUSIP: 126670PM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       769345 | PA      | $620782.62     | 0.01%             | 2036-05-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-43350.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 AIOS 144A          | CUSIP: 26844QAH0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202060029 | PA      | $104454.93     | 0.00%             | 2068-02-25      | Variable      | 0.25%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                            | UNITI GROUP INC COMMON STOCK USD.0001                         | CUSIP: 912932100<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |       959341 | NS      | $8998618.58    | 0.12%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 06/26 0.00000                                   | CUSIP: 912797TU1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1500000 | PA      | $1490682.78    | 0.02%             | 2026-06-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-9                               | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 9 M2                  | CUSIP: 1266736F4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3007967 | PA      | $2986441.13    | 0.04%             | 2036-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-1                                            | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 1 3A2               | CUSIP: 78473NAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       587935 | PA      | $547865.59     | 0.01%             | 2037-02-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-1                                             | FREMONT HOME LOAN TRUST FHLT 2005 1 M5                        | CUSIP: 35729PJF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       953250 | PA      | $953034.12     | 0.01%             | 2035-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2004-4                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2004 4 2A                | CUSIP: 41161PDW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60390 | PA      | $56605.62      | 0.00%             | 2034-06-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260413                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $29168.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                        | BANCA MONTE DEI PASCHI SIENA COMMON STOCK                     | CUSIP: ACI28SXK1<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | EC               | CORP              | IT        |      6139000 | NS      | $53565997.19   | 0.73%             |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                 | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A X1 144A            | CUSIP: ACI2S8TW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       378000 | PA      | $551365.62     | 0.01%             | 2060-06-20      | Floating      | 7.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -16639033 | PA      | $-16649608.98  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | 31750SG74 PIMCO FXVAN CALL USD TRY 49.99000000                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     -3300000 | NC      | $-26079.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 2A1 144A         | CUSIP: 466309AC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3833019 | PA      | $2169691.11    | 0.03%             | 2037-06-27      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| QLIK TECHNOLOGIES (PROJECT ALPHA INTERMEDIATE HOLDING INC)                 | PROJECT ALPHA INTMDT HLDNG INC 2024 1ST LIEN TERM LOAN B      | CUSIP: 74339DAN8<br>LEI: N/A                  | Long             | LON              | CORP              | US        |         5692 | PA      | $4339.17       | 0.00%             | 2030-10-26      | Floating      | 6.95%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL2 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL2 B4 144A           | CUSIP: 12656TAK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7540827 | PA      | $3021980.39    | 0.04%             | 2060-01-25      | Variable      | 3.51%                 | No            |                  2 | On Loan: No      |
| SEASONED CREDIT RISK TRANSFER TRUST SERIES 2022-1                          | FREDDIE MAC   SCRT SCRT 2022 1 BXS 144A                       | CUSIP: 35563PD71<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     10997499 | PA      | $4450680.01    | 0.06%             | 2061-11-25      | Fixed         | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT COP SOLD USD 20260408                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $38497.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | MERRILL LYNCH REVERSE REPO EUR ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -4805560 | PA      | $-5562861.71   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT GBP SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $-808766.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIZATION TRUST 2006-A16                            | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A16 1A3              | CUSIP: 76114GAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       167362 | PA      | $68440.16      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2542525 | PA      | $-2545245.04   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-NUGS                                   | MORGAN STANLEY CAPITAL I TRUST MSC 2019 NUGS E 144A           | CUSIP: 61692AAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18590000 | PA      | $203002.80     | 0.00%             | 2036-12-15      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-73CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 73CB 1A8            | CUSIP: 12668AU52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        48224 | PA      | $46522.91      | 0.00%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-EMX5                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 EMX5 A3              | CUSIP: 76110W7R1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5428445 | PA      | $4803703.54    | 0.07%             | 2035-12-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-3                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 3 B3 144A                 | CUSIP: 59980XAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2759118 | PA      | $1994649.13    | 0.03%             | 2058-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 X 144A             | CUSIP: 26844QAJ6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    202060029 | PA      | $2387116.98    | 0.03%             | 2068-02-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                           | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L                   | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        10180 | PA      | $7092.48       | 0.00%             | 2036-10-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| ZIGGO (VZ SECURED FINANCING BV)                                            | VZ SECURED FINANCING BV SR SECURED 144A 01/33 7.5             | CUSIP: 91845AAB1<br>LEI: 549300MG611MYCOWY949 | Long             | DBT              | CORP              | NL        |     10700000 | PA      | $10095438.23   | 0.14%             | 2033-01-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -241931 | PA      | $-242352.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD CNH BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |            1 | NC      | $34168.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-NC2                                      | MORGAN STANLEY CAPITAL INC MSAC 2005 NC2 M6                   | CUSIP: 61744CPM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       858893 | PA      | $795310.73     | 0.01%             | 2035-03-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                     | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG             | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      2600000 | PA      | $910000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260428                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-41307.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTOR 2005-HE1                                   | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 HE1 M2               | CUSIP: 59020UUX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       496460 | PA      | $501247.84     | 0.01%             | 2036-02-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-60T1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 60T1 A8             | CUSIP: 12668AUX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       687970 | PA      | $332699.14     | 0.00%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-4                                       | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 4 A4                  | CUSIP: 026934AD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4837600 | PA      | $4433055.25    | 0.06%             | 2037-08-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2018-ASH8             | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2018 ASH8 C 144A         | CUSIP: 46649JAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3751076 | PA      | $3623304.93    | 0.05%             | 2035-02-15      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B2 144A               | CUSIP: 59981TAS4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2924000 | PA      | $2222947.02    | 0.03%             | 2059-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6379200 | PA      | $-6432989.06   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2022-AHP                                      | BX TRUST BX 2022 AHP D 144A                                   | CUSIP: 05610FAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14209716 | PA      | $14219742.20   | 0.19%             | 2039-01-17      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -16327649 | PA      | $-16566441.04  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC SERIES 2014-9R                                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 9R 3A2 144A            | CUSIP: 12648UAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6773415 | PA      | $6465586.53    | 0.09%             | 2037-11-27      | Floating      | 35.04%                | No            |                  2 | On Loan: No      |
| GS MORTGAGE SECURITIES CORP TRUST 2018-LUAU                                | GS MORTGAGE SECURITIES TRUST GSMS 2018 LUAU G 144A            | CUSIP: 36256AAS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2210000 | PA      | $2202349.20    | 0.03%             | 2032-11-15      | Floating      | 8.42%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-86CB                               | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 86CB A11            | CUSIP: 12668BFL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       782200 | PA      | $426182.42     | 0.01%             | 2036-02-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VCAT 2026-NPL2 LLC                                                         | VCAT ASSET SECURITIZATION, LLC VCAT 2026 NPL2 A1 144A         | CUSIP: 921968AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       972506 | PA      | $968855.93     | 0.01%             | 2056-02-25      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $682.61        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-5                                          | VERUS SECURITIZATION TRUST VERUS 2024 5 B2 144A               | CUSIP: 92540HAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $1010296.60    | 0.01%             | 2069-06-25      | Variable      | 7.80%                 | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2025-7                                                    | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 7 A1 144A            | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3826121 | PA      | $3816286.38    | 0.05%             | 2030-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                        | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AF5             | CUSIP: 46629QAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6017160 | PA      | $3544513.27    | 0.05%             | 2036-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| LANSDOWNE MORTGAGE SEC PLC                                                 | LANSDOWNE MORTGAGE SECURITIES LANSD 2 A2 REGS                 | CUSIP: B1L1F5II6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |      3817739 | PA      | $4219759.46    | 0.06%             | 2048-09-16      | Floating      | 2.49%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE4                                               | ACE SECURITIES CORP. ACE 2005 HE4 M6                          | CUSIP: 004421PV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17938000 | PA      | $16871661.24   | 0.23%             | 2035-07-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2014-1A                           | CARLYLE GLOBAL MARKET STRATEGI CGMS 2014 1A INC 144A          | CUSIP: 14311CAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      2900000 | PA      | $30740.00      | 0.00%             | 2031-04-17      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2006-1                                             | HOMEBANC MORTGAGE TRUST HMBT 2006 1 3A2                       | CUSIP: 43739ECR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1770393 | PA      | $1615009.48    | 0.02%             | 2037-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REV REPO STANDARD CHARTERED BA ZCP                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -5072700 | PA      | $-5877260.46   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-27902.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 11.87 03/22/22-01/04/27 CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-236693.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2018-4                                       | MILL CITY MORTGAGE TRUST MCMLT 2018 4 B3 144A                 | CUSIP: 59980YAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3614777 | PA      | $2470997.49    | 0.03%             | 2066-04-25      | Variable      | 3.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF AMERICA REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2949854 | PA      | $-2951795.75   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UBISOFT ENTERTAINMENT                                                      | UBISOFT ENTERTAINMENT SA SR UNSECURED REGS 11/28 2.375        | CUSIP: ACI2B1W92<br>LEI: 969500I7C8V1LBIMSM05 | Long             | DBT              | CORP              | FR        |     11700000 | PA      | $12914899.46   | 0.18%             | 2028-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| STEPSTONE GROUP MIDCO 2 GMBH                                               | STEPSTONE GROUP M 2 GMBH THE EUR TERM LOAN B                  | CUSIP: BA000BNR8<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | US        |     48100000 | PA      | $48837819.77   | 0.67%             | 2032-04-26      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -12783592 | PA      | $-12819137.67  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| COMPEER FINANCIAL ACA                                                      | COMPEER FINANCIAL ACA JR SUBORDINA 144A VAR                   | CUSIP: 20453QAA0<br>LEI: 54930020HTACTODKHT04 | Long             | EP               | CORP              | US        |      1900000 | NS      | $1879382.91    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                      | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A2D                  | CUSIP: 61753NAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4041860 | PA      | $1769151.03    | 0.02%             | 2037-02-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-R1                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 R1 A2 144A           | CUSIP: 05953BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2007331 | PA      | $1630733.05    | 0.02%             | 2047-08-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2006-AR7                                        | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 AR7 1A32             | CUSIP: 39538CAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2010584 | PA      | $2039755.00    | 0.03%             | 2046-12-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260421                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $9316.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-2                                         | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M6                | CUSIP: 542514KW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6500000 | PA      | $6405404.85    | 0.09%             | 2035-04-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                            | AVON FINANCE AVON 4A R 144A                                   | CUSIP: ACI2JTMW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      6403000 | PA      | $5813859.42    | 0.08%             | 2049-12-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| KRONOS FUNDING                                                             | KRONOS CLASS RC PLACEHODER144A 4326579K2                      | CUSIP: 990ADDMX2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           69 | PA      | $0.00          | 0.00%             | 2026-04-15      | Variable      | 0.00%                 | No            |                  3 | On Loan: No      |
| SOHO TRUST 2021-SOHO                                                       | SOHO TRUST 2021 SOHO SOHO 2021 SOHO B 144A                    | CUSIP: 83410JAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13810000 | PA      | $11194326.62   | 0.15%             | 2038-08-10      | Variable      | 2.70%                 | No            |                  2 | On Loan: No      |
| GSMBS 2025-NQM3                                                            | GS MORTGAGE BACKED SECURITIES GSMBS 2025 NQM3 B3 144A         | CUSIP: 36274TAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4634426 | PA      | $4104306.99    | 0.06%             | 2065-11-25      | Variable      | 7.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-9189.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3                 | ACE SECURITIES CORP. ACE 2005 HE3 M3                          | CUSIP: 004421NE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         4432 | PA      | $4426.63       | 0.00%             | 2035-05-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-5                                                   | FANNIE MAE FNR 2013 5 GS                                      | CUSIP: 3136ABG72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       842968 | PA      | $691242.73     | 0.01%             | 2042-10-25      | Floating      | 0.29%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2021-4A                                | EXETER AUTOMOBILE RECEIVABLES EART 2021 4A R 144A             | CUSIP: 30165JAN6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        24507 | PA      | $973737.56     | 0.01%             | 2033-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | NISSAN MOTOR CO LTD SNR JP SP GST                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | JP        |            1 | NC      | $-12026.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                             | REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR                  | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     14400000 | PA      | $10440000.00   | 0.14%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-A                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2005 A 5M1                | CUSIP: 05946XRH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2115099 | PA      | $2065999.82    | 0.03%             | 2035-02-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                       | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P E 144A          | CUSIP: 55375KAL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1767443.20    | 0.02%             | 2039-09-13      | Variable      | 3.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260430                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $1766.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TR 2005-5                                                   | PRIME MORTGAGE TRUST PRIME 2005 5 1A1                         | CUSIP: 74160MLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        22598 | PA      | $21770.04      | 0.00%             | 2034-07-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260610                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-973.23       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR13                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR13 A2              | CUSIP: 45661XAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       258653 | PA      | $169829.15     | 0.00%             | 2036-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTGAGE TRUST 2006-1                                      | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2006 1 2A1                | CUSIP: 225470A94<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     18195550 | PA      | $8588792.79    | 0.12%             | 2036-03-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| PROJECT QUASAR INVESTMENTS 2017 SL                                         | NEPTUNE QUASAR PPN                                            | CUSIP: 936TNJII2<br>LEI: N/A                  | Long             | LON              | CORP              | LU        |            1 | PA      | $0.00          | 0.00%             | 2028-03-15      | None          | 0.00%                 | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA6                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA6 A2              | CUSIP: 02150PAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4718071 | PA      | $4485883.35    | 0.06%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ENCORE CREDIT RECEIVABLES TR 2005-1                                        | ENCORE CREDIT RECEIVABLES TRUS ECR 2005 1 M5                  | CUSIP: 126673VT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       694773 | PA      | $623761.10     | 0.01%             | 2035-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260420                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-5474.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CSMC SERIES 2009-14R                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 14R 1A9 144A           | CUSIP: 12639GAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10119787 | PA      | $4359094.40    | 0.06%             | 2037-05-26      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3               | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14535954 | PA      | $9900009.19    | 0.14%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B10                                          | BENCHMARK MORTGAGE TRUST BMARK 2019 B10 3CCA 144A             | CUSIP: 08162VBJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19430000 | PA      | $16566602.84   | 0.23%             | 2062-03-15      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD AUD BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $4601.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD COP BOUGHT USD 20260617                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |            1 | NC      | $-2432.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -10154795 | PA      | $-10260644.85  | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-24                                             | COUNTRYWIDE HOME LOANS CWHL 2005 24 A22                       | CUSIP: 126694KN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        18541 | PA      | $6618.86       | 0.00%             | 2035-11-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COREWEAVE COMPUTE ACQUISITION CO II LLC                                    | COREWEAVE CMPTE ACQU CO II LLC 2024 DELAYED DRAW TERM LOAN    | CUSIP: BA0004JK4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     46114247 | PA      | $47522552.60   | 0.65%             | 2029-05-30      | Floating      | 9.70%                 | No            |                  3 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-C                                     | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 C M2                | CUSIP: 64352VPA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2195002 | PA      | $1982492.29    | 0.03%             | 2035-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-2                                           | TOWD POINT MORTGAGE TRUST TPMT 2019 2 X 144A                  | CUSIP: 89177JAQ1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    485722298 | PA      | $48.57         | 0.00%             | 2058-12-25      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT EUR SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $13317.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-880220.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                     | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 E 144A             | CUSIP: 39571XAH7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       430417 | PA      | $444849.45     | 0.01%             | 2059-10-27      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BANK OF NEW YORK                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -992604 | PA      | $-995882.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-5                                               | LEHMAN MORTGAGE TRUST LMT 2006 5 1A12                         | CUSIP: 52520TAM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       319933 | PA      | $136734.96     | 0.00%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | US TREASURY N/B 08/35 4.25                                    | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      6537000 | PA      | $6513507.66    | 0.09%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -2689125 | PA      | $-3131962.77   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B6 144A               | CUSIP: 59981TBE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1267170 | PA      | $593104.11     | 0.01%             | 2059-08-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| HOUGHTON MIFFLIN HARCOURT COMPANY                                          | HOUGHTON MIFFLIN HARCOURT COMP TERM LOAN B                    | CUSIP: 44157YAE4<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      9928841 | PA      | $8446316.14    | 0.12%             | 2029-04-09      | Floating      | 9.02%                 | No            |                  2 | On Loan: No      |
| MID-STATE TRUST 2006-1                                                     | MID STATE TRUST MDST 2006 1 M2 144A                           | CUSIP: 59548PAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1463401 | PA      | $1483328.72    | 0.02%             | 2040-10-15      | Fixed         | 6.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -2486042 | PA      | $-2873969.40   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                           | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR                  | CUSIP: 45833UAL5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      3200000 | PA      | $3294400.00    | 0.04%             | 2026-06-08      | Floating      | 20.74%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1545194 | PA      | $-1572424.58   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE SA RL                                                 | ION PLATFORM FINANCE SARL EUR TERM LOAN                       | CUSIP: 46206RAD7<br>LEI: 6488IU1F9M51Z3P60R77 | Long             | LON              | CORP              | LU        |     25550000 | PA      | $23834664.87   | 0.33%             | 2032-10-07      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-SD1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 SD1 A1 144A           | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       782935 | PA      | $598775.44     | 0.01%             | 2047-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2007-10                                              | LEHMAN MORTGAGE TRUST LMT 2007 10 1A1                         | CUSIP: 52522QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       292557 | PA      | $285888.92     | 0.00%             | 2038-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HERBIE RE LTD                                                              | HERBIE RE LTD UNSECURED 144A 01/30 VAR                        | CUSIP: 42703VAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |       500000 | PA      | $500750.00     | 0.01%             | 2030-01-07      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2024-NQM2                              | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2024 NQM2 B3 144A          | CUSIP: 64832BAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16143167 | PA      | $14555344.47   | 0.20%             | 2064-09-25      | Variable      | 7.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD JPY BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-25037.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN BEAR RE LTD SERIES 2026-1                                           | GOLDEN BEAR RE LTD UNSECURED 144A 03/32 VAR                   | CUSIP: 38090EAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      2100000 | PA      | $2100000.00    | 0.03%             | 2032-03-08      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT KWD SOLD USD 20260602                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-750.49       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RAMP SERIES 2004-KR1 TRUST 2004-KR1                                        | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 KR1 MI2 144A         | CUSIP: 760985X97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1737782 | PA      | $1801620.86    | 0.02%             | 2034-04-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2004-WF                                                        | GSAMP TRUST GSAMP 2004 WF M2                                  | CUSIP: 36242DKL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        97376 | PA      | $99583.58      | 0.00%             | 2034-10-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-SD4                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 SD4 A1 144A           | CUSIP: 232433AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       235221 | PA      | $197273.01     | 0.00%             | 2036-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO NATEXIS BANQUE REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3325585 | PA      | $-3328927.54   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT JPY SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |            1 | NC      | $-3781.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5062                                                    | FREDDIE MAC FHR 5062 SC                                       | CUSIP: 3137F8UF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2904499 | PA      | $385193.78     | 0.01%             | 2051-01-25      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-101                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 101 DS                | CUSIP: 38375GSY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       571602 | PA      | $25316.19      | 0.00%             | 2040-12-20      | Floating      | 2.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | IRS EUR 0.15000 06/17/20-10Y LCH                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |            1 | NC      | $155649.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-8 LLC                                                            | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 8 A1 144A            | CUSIP: 69383BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2105849 | PA      | $2097920.31    | 0.03%             | 2030-10-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD DOP BOUGHT USD 20260416                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $-887770.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2026-NPL1                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 NPL1 A1 144A         | CUSIP: 69383TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4872720 | PA      | $4836902.82    | 0.07%             | 2056-01-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2513280 | PA      | $-2519540.86   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                              | ALTICE FRANCE SA 2025 EUR EXT TERM LOAN B14                   | CUSIP: BA000QF86<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |      6134301 | PA      | $7119900.03    | 0.10%             | 2031-05-30      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | NISSAN MOTOR CO LTD SNR JP SP JPM                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | JP        |            1 | NC      | $-387402.66    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| INEOS US FINANCE LLC                                                       | INEOS US FINANCE LLC 2023 USD TERM LOAN B                     | CUSIP: G4768PAN1<br>LEI: 5493008MHJ4R367SNK31 | Long             | LON              | CORP              | US        |     51441804 | PA      | $45108032.29   | 0.62%             | 2030-02-18      | Floating      | 6.92%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-24                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 24 1A1              | CUSIP: 12667GNS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3115115 | PA      | $2881145.03    | 0.04%             | 2035-07-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO STANDARD CHARTERE VAR 1                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -6387364 | PA      | $-6422574.81   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2013-53                                                  | FANNIE MAE FNR 2013 53 MI                                     | CUSIP: 3136AEFR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39340 | PA      | $515.38        | 0.00%             | 2042-01-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                  | HILTON USA TRUST HILT 2016 SFP B 144A                         | CUSIP: 43289VAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1435000 | PA      | $703092.60     | 0.01%             | 2035-11-05      | Fixed         | 3.32%                 | No            |                  2 | On Loan: No      |
| TORREY PINES RE LTD                                                        | TORREY PINES RE LTD UNSECURED 144A 06/32 VAR                  | CUSIP: 89141WAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      2200000 | PA      | $2274690.00    | 0.03%             | 2032-06-07      | Floating      | 9.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT CAD SOLD USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |            1 | NC      | $-45762.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MFT TRUST 2020-ABC E                                                       | MFT TRUST MOFT 2020 ABC A 144A                                | CUSIP: 55317BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       556000 | PA      | $468328.09     | 0.01%             | 2042-02-10      | Fixed         | 3.36%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR3                                    | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR3 1A              | CUSIP: 939336G23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        57310 | PA      | $54065.12      | 0.00%             | 2033-06-25      | Floating      | 3.73%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-B                                        | BANC OF AMERICA FUNDING CORPOR BAFC 2006 B 2A1                | CUSIP: 058928AD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       653658 | PA      | $601651.33     | 0.01%             | 2036-03-20      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.75000 12/18/24-10Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $-6136.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD AUD BOUGHT USD 20260504                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |            1 | NC      | $-1360.93      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | BARCLAYS REV REPO EUR                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | GB        |     -5355120 | PA      | $-6201458.48   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| ION PLATFORM FINANCE US INC / ION PLATFORM FINANCE SARL                    | ION PLAT FIN US/SARL SR SECURED 144A 08/29 9                  | CUSIP: 46206AAF9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     20988000 | PA      | $19480381.59   | 0.27%             | 2029-08-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GREENGROVE RE LTD                                                          | GREENGROVE RE LTD UNSECURED 144A 04/32 VAR                    | CUSIP: 39526JAA9<br>LEI: 254900WH3CK41D9L7T70 | Long             | DBT              | CORP              | BM        |      1500000 | PA      | $1554750.00    | 0.02%             | 2032-04-08      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2020-3                                          | FLAGSHIP CREDIT AUTO TRUST FCAT 2020 3 R 144A                 | CUSIP: 33844T107<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |         9000 | PA      | $404852.39     | 0.01%             | 2027-12-15      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -27475613 | PA      | $-27610166.77  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2009-RR11                                                   | BCAP LLC TRUST BCAP 2009 RR11 7A2 144A                        | CUSIP: 05532FAR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2127967 | PA      | $1401458.59    | 0.02%             | 2036-02-26      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                         | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA              | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2132209 | PA      | $2026960.47    | 0.03%             | 2037-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260401                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $88732.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                            | BEAR STEARNS ALT A TRUST BALTA 2005 4 22A1                    | CUSIP: 07386HTP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        84172 | PA      | $82570.88      | 0.00%             | 2035-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260504                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $4930.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR4                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR4 DA              | CUSIP: 939345AD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4355722 | PA      | $2487589.37    | 0.03%             | 2046-06-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| VANTIVE HEALTH (SPRUCE BIDCO II INC)                                       | SPRUCE BIDCO II INC REVOLVER                                  | CUSIP: BA000FL00<br>LEI: 254900ZDXA1N7X9RDU49 | Long             | LON              | CORP              | US        |      2245459 | PA      | $2241416.98    | 0.03%             | 2032-01-30      | Fixed         | 2.25%                 | No            |                  3 | On Loan: No      |
| N/A                                                                        | SOLD GBP BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |            1 | NC      | $5321800.67    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                     | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 B4 144A               | CUSIP: 59981TAY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1532000 | PA      | $978505.41     | 0.01%             | 2059-08-25      | Variable      | 3.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | RFR USD SOFR/3.85000 12/21/22-16Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |            1 | NC      | $1607717.35    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4988                                                    | FREDDIE MAC FHR 4988 LI                                       | CUSIP: 3137FUQK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     11492740 | PA      | $2663149.52    | 0.04%             | 2050-07-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MCDERMOTT INTERNATIONAL LTD                                                | MCDERMOTT INTERNATIONAL LTD COMMON STOCK USD1.0               | CUSIP: G5924V148<br>LEI: 54930004RAXI4B3L4752 | Long             | EC               | CORP              | BM        |         4683 | NS      | $115679.19     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -932096 | PA      | $-933824.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO ROYAL BANK OF CAN                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1010563 | PA      | $-1013902.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 07/29 VAR                 | CUSIP: 374422AM5<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |      2411621 | PA      | $2305390.83    | 0.03%             | 2029-07-03      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2020-RPL1                              | GS MORTGAGE BACKED SECURITIES GSMBS 2020 RPL1 X 144A          | CUSIP: 36260AAQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    110921326 | PA      | $1806154.13    | 0.02%             | 2059-07-25      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                                     | QUERCUS RE DAC BONDS 144A 01/31 VAR                           | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |       300000 | PA      | $358475.39     | 0.00%             | 2031-01-06      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260416                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-37679.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | ZCS BRL 12.015 03/17/22-01/04/27 CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |            1 | NC      | $-3617453.25   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |      -410995 | PA      | $-411244.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NYO COMMERCIAL MORTGAGE TRUST 2021-1290                                    | NYO COMMERCIAL MORTGAGE TRUST NYO 2021 1290 A 144A            | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1996933.40    | 0.03%             | 2038-11-15      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| CIFI HOLDINGS (GROUP) CO LTD                                               | CIFI HOLDINGS GROUP SR SECURED 06/29 0.00000                  | CUSIP: ACI37QB85<br>LEI: 549300WGKSV867C0JF48 | Long             | DBT              | CORP              | KY        |       875126 | PA      | $31723.32      | 0.00%             | 2029-06-30      | None          | 0.00%                 | Yes           |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006 AR7                                                 | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR7 3A               | CUSIP: 93363CAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1948049 | PA      | $1809130.62    | 0.02%             | 2046-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2025-R1                                         | VERUS SECURITIZATION TRUST VERUS 2025 R1 XS 144A              | CUSIP: 92541AAH3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    381907113 | PA      | $13202910.79   | 0.18%             | 2065-05-25      | Variable      | 0.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO DEUTSCHE REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3303403 | PA      | $-3311893.44   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| ELECTRONIC ARTS (OAK-EAGLE ACQUIRECO INC)                                  | OAK EAGLE ACQUIRECO INC SR UNSECURED 144A 07/34 8.75          | CUSIP: 67124CAB9<br>LEI: 6488ICS9P20290MA1H31 | Long             | DBT              | CORP              | US        |      1900000 | PA      | $1990338.67    | 0.03%             | 2034-07-01      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-D                                    | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 D 2A3               | CUSIP: 43709LAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2236600 | PA      | $2084427.41    | 0.03%             | 2036-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                       | WSTN TRUST WSTN 2023 MAUI D 144A                              | CUSIP: 92943AAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11200000 | PA      | $11212346.88   | 0.15%             | 2037-07-05      | Variable      | 8.45%                 | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                       | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P A 144A          | CUSIP: 55375KAS5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10775000 | PA      | $10304859.81   | 0.14%             | 2039-09-13      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO MORGAN STANLEY                                   | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -15637385 | PA      | $-15748801.00  | -0.22%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | CITIGROUP REVERSE REPO                                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -7405954 | PA      | $-7471717.46   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE2                                         | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE2 M4               | CUSIP: 04542BNM0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3119248 | PA      | $2998515.82    | 0.04%             | 2035-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                        | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1              | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       170529 | PA      | $136075.64     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DBWF MORTGAGE TRUST 2016-85T                                               | DBWF MORTGAGE TRUST DBWF 2016 85T D 144A                      | CUSIP: 23307CAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7000000 | PA      | $6733315.40    | 0.09%             | 2036-12-10      | Variable      | 3.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | ARGENTINA LA SP GST                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $11604.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GHANA GOVT                                                                 | REPUBLIC OF GHANA SR UNSECURED 144A 01/30 0.0000              | CUSIP: 374422AN3<br>LEI: 213800PP4399SNNXZ126 | Long             | DBT              | NUSS              | GH        |       487167 | PA      | $411788.90     | 0.01%             | 2030-01-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 07/26 0.00000                                   | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1179000 | PA      | $1165931.28    | 0.02%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| DOMINICAN REPUBLIC GOVT                                                    | DOMINICAN REPUBLIC SR UNSECURED 144A 06/36 10.75              | CUSIP: 25714PFA1<br>LEI: 254900EHU7Q8FGVPI369 | Long             | DBT              | NUSS              | DO        |     60400000 | PA      | $1050549.66    | 0.01%             | 2036-06-01      | Fixed         | 10.75%                | No            |                  2 | On Loan: No      |
| COMM 2019-521F MORTGAGE TRUST                                              | COMM MORTGAGE TRUST COMM 2019 521F A 144A                     | CUSIP: 20048GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2000000 | PA      | $1927000.00    | 0.03%             | 2034-06-15      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | PETROLEOS MEXICANOS (PEMEX) LA SP BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-127631.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2007-A2                                     | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2007 A2 12A1             | CUSIP: 466278AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20303824 | PA      | $7367106.50    | 0.10%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                            | VERAISON RE LTD UNSECURED 144A 03/33 VAR                      | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |       300000 | PA      | $305220.00     | 0.00%             | 2033-03-08      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                             | BRIDGEGATE FUNDING PLC BRGTE 2023 1A Z 144A                   | CUSIP: ACI2C6QG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     39972000 | PA      | $47748529.15   | 0.65%             | 2062-10-16      | Variable      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO THE BANK OF NOVA REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -28498833 | PA      | $-28729356.85  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                                 | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL                | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      6658939 | PA      | $5568537.96    | 0.08%             | 2027-12-31      | Fixed         | 7.78%                 | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2014-2RA                                                  | CIFC FUNDING LTD CIFC 2014 2RA INC 144A                       | CUSIP: 125475AA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      3390000 | PA      | $370638.46     | 0.01%             | 2030-04-24      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                            | REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/26 11.75           | CUSIP: P17625AE7<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |       100000 | PA      | $51750.00      | 0.00%             | 2026-10-21      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD ZAR BOUGHT USD 20260420                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |            1 | NC      | $64566.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOLERA LLC (POLARIS NEWCO LLC)                                             | POLARIS NEWCO, LLC USD TERM LOAN B                            | CUSIP: 73108RAB4<br>LEI: 254900LEPDAG7EDOA064 | Long             | LON              | CORP              | US        |     74307016 | PA      | $65599348.18   | 0.90%             | 2028-06-02      | Floating      | 7.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260424                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-9430.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                                | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                       | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      1700000 | PA      | $38256.07      | 0.00%             | 2026-05-20      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| PRPM 2026-1 LLC                                                            | PRESTON RIDGE PARTNERS MORTGAG PRPM 2026 1 A1 144A            | CUSIP: 74449BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3921943 | PA      | $3883531.68    | 0.05%             | 2031-02-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | DEUTSCHE REVERSE REPO EUR ZCP                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -4705712 | PA      | $-5467567.36   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-S6                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 S6 A6                 | CUSIP: 126684AF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |            3 | PA      | $3.31          | 0.00%             | 2034-03-25      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                           | WESTMORELAND COAL CO PIK TERM LOAN                            | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      6749564 | PA      | $2936060.17    | 0.04%             | 2029-03-15      | Fixed         | 7.92%                 | No            |                  3 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                       | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A4              | CUSIP: 144527AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13201000 | PA      | $11534584.97   | 0.16%             | 2036-12-26      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REPU BNYMELLON/RE RBC BARBADO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -1233381 | PA      | $-1237163.27   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIXIS COMMERCIAL MORTGAGE SECURITIES TRUST 2021-APPL                     | NATIXIS COMMERCIAL MORTGAGE SE NCMS 2021 APPL C 144A          | CUSIP: 63874AAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2250000 | PA      | $2189833.88    | 0.03%             | 2038-08-15      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WELLS FARGO 00/00 VAR                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -3002760 | PA      | $-3004557.49   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-SFP                                                  | HILTON USA TRUST HILT 2016 SFP A 144A                         | CUSIP: 43289VAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1000000 | PA      | $857395.50     | 0.01%             | 2035-11-05      | Fixed         | 2.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | BOUGHT TRY SOLD USD 20260403                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $30089.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SABESP (NOVA SECURITISATION SARL)                                          | NOVA SECURITISATION SARL SR SECURED 144A 02/36 6.5            | CUSIP: 66984FAB3<br>LEI: 636700QG9R13IDZO4Y16 | Long             | DBT              | CORP              | LU        |      4300000 | PA      | $4095772.36    | 0.06%             | 2036-02-03      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2023-1                                  | ELLINGTON FINANCIAL MORTGAGE T EFMT 2023 1 B3 144A            | CUSIP: 26844QAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22207047 | PA      | $22078897.06   | 0.30%             | 2068-02-25      | Variable      | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | EGYPT EM SP BRC                                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |            1 | NC      | $-1414216.67   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| MULTIPLAN INC (MPH ACQUISITION HOLDINGS LLC)                               | MPH ACQUISITION HOLDINGS LLC 2025 SECOND OUT TERM LOAN        | CUSIP: 55328HAQ4<br>LEI: 5493002WXOPRPTXWTU06 | Long             | LON              | CORP              | US        |     36234237 | PA      | $32263689.59   | 0.44%             | 2030-12-31      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A             | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3860254 | PA      | $2468813.31    | 0.03%             | 2036-01-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| VCAT 2026-NPL1 LLC                                                         | VCAT ASSET SECURITIZATION, LLC VCAT 2026 NPL1 A1 144A         | CUSIP: 91825GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       943184 | PA      | $938615.36     | 0.01%             | 2056-01-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-1                                    | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 2A3                | CUSIP: 86362TAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4484411 | PA      | $2927572.20    | 0.04%             | 2037-02-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 05/26 0.00000                                   | CUSIP: 912797TL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      1311000 | PA      | $1306523.73    | 0.02%             | 2026-05-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CLARITEV CORPORATION                                                       | CLARITEV CORP SR SECURED 144A 03/31 6.75                      | CUSIP: 62548MAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     26257523 | PA      | $17067389.95   | 0.23%             | 2031-03-31      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5000                                                    | FREDDIE MAC FHR 5000 IA                                       | CUSIP: 3137FVFL1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4825482 | PA      | $752148.77     | 0.01%             | 2048-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | LU        |     -3325981 | PA      | $-3852285.30   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY3                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY3 1A1              | CUSIP: 933634AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       189578 | PA      | $160665.87     | 0.00%             | 2037-03-25      | Floating      | 3.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO WARBURG REVERSE REPO                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -28126206 | PA      | $-28365903.74  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD TRY BOUGHT USD 20260430                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |            1 | NC      | $-41983.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                        | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2381940 | PA      | $-2383619.27   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR14                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR14 2A3             | CUSIP: 93363PAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        69417 | PA      | $61354.86      | 0.00%             | 2036-11-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL6 TRUST                                                       | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL6 AIOS 144A         | CUSIP: 12657GAM7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    184556391 | PA      | $3481527.12    | 0.05%             | 2060-10-25      | Variable      | 0.39%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | US TREASURY N/B 08/45 4.875                                   | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      4166000 | PA      | $4153306.70    | 0.06%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GREEN TREE FINANCIAL CORP 1999-3                                           | CONSECO FINANCIAL CORP GT 1999 3 A8                           | CUSIP: 393505X80<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      1008785 | PA      | $923198.12     | 0.01%             | 2031-02-01      | Fixed         | 7.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO GOLDMAN                                          | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -98007922 | PA      | $-99336664.01  | -1.36%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2020-CNP                                    | MORGAN STANLEY CAPITAL I TRUST MSC 2020 CNP D 144A            | CUSIP: 61770YAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        60000 | PA      | $48100.49      | 0.00%             | 2042-04-05      | Variable      | 2.43%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                               | ROMANIA SR UNSECURED REGS 09/34 6.25                          | CUSIP: ACI2TMW89<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     30300000 | PA      | $35586470.31   | 0.49%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FORWARD AIR CORPORATION (CLUE OPCO LLC)                                    | FORWARD AIR CORPORATION TERM LOAN B                           | CUSIP: 18948EAC0<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     78209153 | PA      | $76332133.65   | 1.04%             | 2030-12-19      | Floating      | 8.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                        | SOLD EUR BOUGHT USD 20260402                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |            1 | NC      | $61422.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                        | REVERSE REPO BARCLAYS REVERSE REPO                            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -2318491 | PA      | $-2329558.58   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                         | TREASURY BILL 05/26 0.00000                                   | CUSIP: 912797QN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       100000 | PA      | $99566.15      | 0.00%             | 2026-05-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB1                                           | COUNTRYWIDE HOME LOANS CWHL 2007 HYB1 1A1                     | CUSIP: 22239EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2332826 | PA      | $1970426.65    | 0.03%             | 2037-03-25      | Floating      | 3.68%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL8 LLC                                                         | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL8 A1 144A         | CUSIP: 69392EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       938181 | PA      | $940865.11     | 0.01%             | 2055-08-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                      | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     84152646 | PA      | $819562617.92  | 11.19%            |  |  |  | No            |                  1 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP            | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP B 144A          | CUSIP: 466317AG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1408912 | PA      | $1385293.84    | 0.02%             | 2037-04-15      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A3              | CUSIP: 92925VAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1248970 | PA      | $1088051.30    | 0.01%             | 2037-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                            | ARMOR RE II LTD SR UNSECURED 144A 05/31 VAR                   | CUSIP: 04227FAE5<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |       500000 | PA      | $526400.00     | 0.01%             | 2031-05-07      | Floating      | 13.74%                | No            |                  2 | On Loan: No      |
| MSSG TRUST 2017-237P                                                       | MORGAN STANLEY MORTGAGE CAPITA MSSG 2017 237P B 144A          | CUSIP: 55375KAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20000000 | PA      | $18933216.00   | 0.26%             | 2039-09-13      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| 245 PARK AVENUE TRUST 2017-245P                                            | PARK AVENUE TRUST PRKAV 2017 245P E 144A                      | CUSIP: 90187LAN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8861000 | PA      | $8563800.29    | 0.12%             | 2037-06-05      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                                                   | FLORA FOOD MANAGEMENT BV SR SECURED 144A 07/29 6.875          | CUSIP: ACI2PNX49<br>LEI: 2549002VGA888UKFKS25 | Long             | DBT              | CORP              | NL        |      3000000 | PA      | $3258946.97    | 0.04%             | 2029-07-02      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-16R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 16R 11A3 144A          | CUSIP: 12642YGT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14223044 | PA      | $2471351.99    | 0.03%             | 2036-08-26      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES I TRUST 2005-HE4                      | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE4 M3              | CUSIP: 073879TV0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1178126 | PA      | $1190021.25    | 0.02%             | 2035-04-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECURITIZATION 2000-2                                      | CONSECO FINANCE SECURITIZATION CNF 2000 2 A5                  | CUSIP: 20846QCQ9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      5630274 | PA      | $599991.85     | 0.01%             | 2030-12-01      | Fixed         | 8.85%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2009-7                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2009 7 5A2 144A           | CUSIP: 17315MAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1871012 | PA      | $879393.55     | 0.01%             | 2035-12-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Dynamic Income Fund

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer