# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001099263-26-003045
**Filing Date:** 2026-3
**Character Count:** 403398
**Document Hash:** 0519b59ecc685e07a620e8a365b8f364
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003045.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003045

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**PERIOD START**: 20251231

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 26705856

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

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

## Series and Classes Contracts Data

### PIMCO Global Bond Opportunities Portfolio (Unhedged) (Series ID: S000009670)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026497 | Administrative | VPVGBDV         |
| C000030988 | Advisor        | VPVGBVV         |
| C000030996 | Institutional  | VPVGBIV         |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Variable Insurance Trust

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Global Bond Opportunities Portfolio (Unhedged)

- **b. EDGAR series identifier (if any):** S000009670

- **c. LEI of Series:** SIG2VU6GJ2VLC2XNC047

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $310149540.53

**Total Liabilities:** $172593955.66

**Net Assets:** $137555584.87

**Cash Not Reported:** $5527835.08

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 30395.755000 | **1-Year:** 14860.486000 | **5-Year:** 31094.893600 | **10-Year:** 11469.760600 | **30-Year:** -3138.572100

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

- **3-Month:** 339.884000 | **1-Year:** 1814.090700 | **5-Year:** 3800.416100 | **10-Year:** 851.139500 | **30-Year:** 2.430300

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026497 | 0.01%                | 0.65%                | 0.92%                |
| Class ID C000030988 | 0.00%                | 0.64%                | 0.91%                |
| Class ID C000030996 | 0.03%                | 0.66%                | 0.93%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-200127.20              | $212416.17                                 |
| Month 2  | $-280447.36              | $536323.22                                 |
| Month 3  | $218249.61               | $41175.67                                  |

**Designated Index Information**

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

- **Index Identifier:** LEGATRUU

### Schedule of Portfolio Investments

| Name                                                                             | Title                                                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                              | BOUGHT CLP SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |         1 | NC      | $6635.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EGP SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |         1 | NC      | $184.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD COP BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |         1 | NC      | $-5167.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                     | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  47000000 | PA      | $277775.28    | 0.20%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                                          | FREDDIE MAC FHR 5517 FE                                   | CUSIP: 3137HKGJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    397145 | PA      | $400563.31    | 0.29%             | 2055-03-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1596.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARVEST CLO XXI DAC 21A                                                          | HARVEST CLO HARVT 21A A2R 144A                            | CUSIP: ACI1WSV36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    201372 | PA      | $233729.02    | 0.17%             | 2031-07-15      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                                          | FREDDIE MAC FHR 5513 MF                                   | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    486641 | PA      | $488722.70    | 0.36%             | 2054-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO3                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO3 A1           | CUSIP: 761118WP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    116645 | PA      | $28985.90     | 0.02%             | 2046-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                      | REPUBLIC OF POLAND SR UNSECURED 09/34 5.125               | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    200000 | PA      | $205313.04    | 0.15%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                      | CANADIAN GOVERNMENT RRB BONDS 12/44 1.5                   | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    142993 | PA      | $99046.75     | 0.07%             | 2044-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        | -12200000 | PA      | $-9864795.19  | -7.17%            | 2055-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-2515.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RXK8 PIMCO FXVAN CALL USD BRL 5.69000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -300000 | NC      | $-2329.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-2786.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                            | AIR LEASE CORP DISC COML 01/26 ZCP                        | CUSIP: 00913XA78<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399686.56    | 0.29%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-594.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-1781.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2004-4                                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 4 4A1            | CUSIP: 576433ME3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    105958 | PA      | $103210.97    | 0.08%             | 2034-05-25      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260306                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $222.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $8831.49      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RLA3 PIMCO FXVAN PUT EUR CZK 24.20000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    560740 | NC      | $3256.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MORTGAGE SECURITIES I INC 2005-S7                            | RESIDENTIAL FUNDING MTG SEC I RFMSI 2005 S7 A5            | CUSIP: 76111XZV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19879 | PA      | $15570.45     | 0.01%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                    | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2016 | PA      | $1960.15      | 0.00%             | 2035-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 03/30 5.25                      | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $122984.68    | 0.09%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $41792.13     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 06/51 0.7                     | CUSIP: BP5D0MII4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  14000000 | PA      | $48993.74     | 0.04%             | 2051-06-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-1                                                 | NOVASTAR HOME EQUITY LOAN NHEL 2006 1 A2D                 | CUSIP: 669884AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499318 | PA      | $490529.87    | 0.36%             | 2036-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                      | FRANCE (GOVT OF) BONDS 144A REGS 02/28 0.75               | CUSIP: ACI25TX22<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    800000 | PA      | $909755.22    | 0.66%             | 2028-02-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $6767.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  FEB26P 112 EXP 01/23/2026               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -2 | NC      | $-633.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-16436.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $69394.74     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED REGS 07/31 2.124                     | CUSIP: ACI1D66B5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $103150.83    | 0.07%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2024 4 A1A 144A            | CUSIP: 89183GAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    559215 | PA      | $561361.00    | 0.41%             | 2064-10-27      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $176.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $392.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $191.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $21819.62     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KZT BOUGHT USD 20260305                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-4.23        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                             | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1           | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     28790 | PA      | $22891.71     | 0.02%             | 2046-12-26      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $222.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260220                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $8902.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                      | REPUBLIC OF SERBIA SR UNSECURED 144A 09/28 1              | CUSIP: ACI20JHB7<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    100000 | PA      | $109771.91    | 0.08%             | 2028-09-23      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-30026.27    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $7868.45      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260227                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $3230.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260304                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2161.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                       | BUONI POLIENNALI DEL TES SR UNSECURED REGS 08/27 2.1      | CUSIP: ACI2Y9764<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |   2300000 | PA      | $2699446.13   | 1.96%             | 2027-08-26      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-10672.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI6798 FR 05/54 FIXED 6                 | CUSIP: 3133WDRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1154792 | PA      | $1190429.36   | 0.87%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM1796 FN 10/34 FIXED VAR                       | CUSIP: 3140X47J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13598 | PA      | $13414.47     | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6         | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    900000 | PA      | $288730.48    | 0.21%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $2125.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/30 4.75     | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |   1100000 | PA      | $1123917.69   | 0.82%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A7                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2006 A7 2A2                | CUSIP: 46629DAK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47530 | PA      | $38183.04     | 0.03%             | 2037-01-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $172.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TPG REAL ESTATE FINANCE ISSUER LTD 2022-FL5                                      | TPG REAL ESTATE FINANCE TRTX 2022 FL5 A 144A              | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    177677 | PA      | $177369.34    | 0.13%             | 2039-02-15      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| BAYVIEW MSR OPPORTUNITY MASTER FUND TRUST 2021-INV5                              | OCEANVIEW MORTGAGE TRUST BVINV 2021 5 A1 144A             | CUSIP: 07336JAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    213109 | PA      | $186495.77    | 0.14%             | 2051-11-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.00000 12/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-8455.04     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBA3A3 PIMCO SWAPTION 3.925 PUT USD 2026010            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-99.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-1546.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA4346 FN 10/49 FIXED 3                         | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    244890 | PA      | $217278.76    | 0.16%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RZN0 PIMCO FXVAN PUT USD KRW 1417.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    795000 | NC      | $4187.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/31 0.125                               | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    364455 | PA      | $337793.90    | 0.25%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260209                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-13819.11    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-193.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                                 | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A             | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107288 | PA      | $103849.44    | 0.08%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  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        |     66691 | PA      | $61916.49     | 0.05%             | 2046-07-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1               | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9126 | PA      | $8424.84      | 0.01%             | 2044-10-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KZT BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-7.05        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $35.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/2.96478 10/05/22-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $24651.03     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST                                    | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3       | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |     64160 | PA      | $61423.61     | 0.04%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3243 FN 02/50 FIXED VAR                       | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70661 | PA      | $66106.26     | 0.05%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.10000 03/31/23-10Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-282566.86   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| LOUISIANA LOCAL GOVERNMENT ENVIRONMENTAL FACILITIES & COMMUNITY DEVELOPMENT AUTH | LOUISIANA ST LOCAL GOVT ENVRNM LASGOV 02/33 FIXED 4.145   | CUSIP: 54627RAM2<br>LEI: 5493004WIZ1HV87IVF85 | Long             | DBT              | MUN               | US        |    100000 | PA      | $100113.36    | 0.07%             | 2033-02-01      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO CIBC                                         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -1096436 | PA      | $-1098351.36  | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-30.72       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 5YR NOTE (CBT) MAR26 XCBT 20260331                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       116 | NC      | $-12374.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-3762.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    222000 | NC      | $123.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260819                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-9266.50     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3 JUMBOS                                | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3800000 | PA      | $3415101.57   | 2.48%             | 2055-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/54 4.5                                 | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3100000 | PA      | $2924898.42   | 2.13%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $2442.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.01000 03/31/26-28Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $25164.81     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.00000 03/18/26-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1593.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1524.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.92500 06/19/25-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $54222.77     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                                      | KUWAIT INTL BOND SR UNSECURED 144A 10/30 4.136            | CUSIP: 501499AE7<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    200000 | PA      | $200396.13    | 0.15%             | 2030-10-09      | Fixed         | 4.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP7739 FN 11/42 FIXED 3                         | CUSIP: 3138MBS56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7458 | PA      | $6900.60      | 0.01%             | 2042-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS CZK 4.52250 12/01/30-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |         1 | NC      | $6754.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PEN SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $33.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1                                    | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A     | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     73005 | PA      | $61152.16     | 0.04%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| KRATON CORP (AKA: KRATON PERFORMANCE POLYMERS INC)                               | KRATON CORP COMPANY GUAR 144A 07/27 5                     | CUSIP: 50077CAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    300000 | PA      | $304684.01    | 0.22%             | 2027-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG45 10Y ICE                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-91414.32    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                                      | KUWAIT INTL BOND SR UNSECURED 144A 10/35 4.652            | CUSIP: 501499AF4<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    200000 | PA      | $200231.14    | 0.15%             | 2035-10-09      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.00500 09/29/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2288.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SUNTRUST ALTERNATIVE LN TRUST 2005-1F                                            | SUNTRUST ALTERNATIVE LOAN TRUS STALT 2005 1F 1A1          | CUSIP: 86789MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    103650 | PA      | $90528.09     | 0.07%             | 2035-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $377.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.00000 03/18/26-2Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-42177.46    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260210                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-943.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 05/30 VAR                  | CUSIP: 404280CC1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    100000 | PA      | $98812.57     | 0.07%             | 2030-05-22      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1                   | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2133 | PA      | $2039.37      | 0.00%             | 2035-02-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-1094.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260213                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-1498.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NOK SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $1722.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNEDIC                                                                           | UNEDIC GOVT GUARANT REGS 05/28 0.875                      | CUSIP: ACI15B6N7<br>LEI: 969500V3L9W19NIA5E82 | Long             | DBT              | NUSS              | FR        |   2000000 | PA      | $2266608.22   | 1.65%             | 2028-05-25      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260303                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2068.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RZJ9 PIMCO FXVAN PUT USD KRW 1419.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    795000 | NC      | $4481.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                         | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/55 6.375        | CUSIP: 80414L3F0<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    200000 | PA      | $209331.40    | 0.15%             | 2055-06-02      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV1 A3A 144A    | CUSIP: 17329PAY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    444367 | PA      | $372776.03    | 0.27%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                      | REPUBLIC OF POLAND BONDS 02/35 5.375                      | CUSIP: 857524AH5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    100000 | PA      | $103904.84    | 0.08%             | 2035-02-12      | Fixed         | 5.38%                 | 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      | $-172.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-953.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3         | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5492 | PA      | $4104.37      | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| KOMMUNALBANKEN AS                                                                | KOMMUNALBANKEN AS SR UNSECURED REGS 01/27 1.9             | CUSIP: ACI22XFG5<br>LEI: I7ETN0QQO2AHZZGHJ389 | Long             | DBT              | CORP              | NO        |    300000 | PA      | $195354.04    | 0.14%             | 2027-01-19      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260306                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $149.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $361.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/35 4.25                                | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    100000 | PA      | $100734.38    | 0.07%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| OFSI BSL X LTD                                                                   | OFSI FUND LTD OFSBS 2021 10A AR 144A                      | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500690.30    | 0.36%             | 2034-04-20      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F032625<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -800000 | PA      | $-737156.25   | -0.54%            | 2056-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1561.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KZT BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-283.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260304                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $9.86         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                          | MANHATTAN WEST OMW 2020 1MW A 144A                        | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    400000 | PA      | $385011.00    | 0.28%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $5487.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CZK SOLD USD 20260311                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $415.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7438.00      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-3450.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $0.88         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-752.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $3420.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MTGE FUNDING TR 2005-AR5                                              | GREENPOINT MORTGAGE FUNDING TR GPMF 2005 AR5 1A1          | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2767 | PA      | $2667.83      | 0.00%             | 2045-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-SCHATZ FUT   MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -98 | NC      | $16888.71     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-1130.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-4021.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $1352.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $1903.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260311                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $238.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RMC8 PIMCO FXVAN PUT EUR CZK 24.20000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    198000 | NC      | $1193.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $104.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED 2006-HE5                                          | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE5 2A1         | CUSIP: 93934XAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27689 | PA      | $9697.85      | 0.01%             | 2036-10-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020414<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -2300000 | PA      | $-2130015.63  | -1.55%            | 2040-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                                  | QUEENSLAND TREASURY CORP LOCAL GOVT G 08/33 2             | CUSIP: BMXC0WII0<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |   1200000 | PA      | $645436.93    | 0.47%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-3004.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR5                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR5 A7           | CUSIP: 929227R65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1238 | PA      | $1239.40      | 0.00%             | 2033-06-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $7935.19      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2A              | CUSIP: 61753KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    722239 | PA      | $309027.66    | 0.22%             | 2037-03-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 2.50000 03/12/26-2Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $25146.93     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-1144.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.25000 09/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-218406.34   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -475000 | NC      | $-157.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F022618<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -800000 | PA      | $-676437.50   | -0.49%            | 2055-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-127.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.5000 06/19/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $16887.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $5354.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                    | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3096 | PA      | $2976.97      | 0.00%             | 2034-11-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $678.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $22214.58     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-0.67        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1434.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                             | NEW S WALES TREASURY CRP LOCAL GOVT G 03/33 2             | CUSIP: ACI1KFVM5<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    200000 | PA      | $109767.07    | 0.08%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $966.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                                           | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A             | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       229 | PA      | $227.93       | 0.00%             | 2031-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 03/18/26-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-445.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1                 | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    114276 | PA      | $107834.11    | 0.08%             | 2036-02-20      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260218                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-3180.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                                   | BULGARIA SR UNSECURED REGS 07/35 3.375                    | CUSIP: ACI2YSM32<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |    200000 | PA      | $231088.98    | 0.17%             | 2035-07-18      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BARCLAYS REPO EUR ZCP                                     | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | LU        |    255690 | PA      | $300486.89    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260316                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1560.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $-1005.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5               | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    187536 | PA      | $195099.44    | 0.14%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.75000 03/18/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-188342.45   | -0.14%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $3513.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA17                                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA17 1A1A       | CUSIP: 12668PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    132220 | PA      | $118976.62    | 0.09%             | 2046-12-20      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.52500 09/04/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7884.05      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                                           | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1          | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11905 | PA      | $5445.90      | 0.00%             | 2036-11-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 09/17/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-16113.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $1999.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF3            | CUSIP: 75970HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    453857 | PA      | $136959.85    | 0.10%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR10                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR10 2A1         | CUSIP: 93363EAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27227 | PA      | $23363.31     | 0.02%             | 2036-09-25      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF JAPAN INC (DBJ)                                              | DEVELOPMENT BK OF JAPAN SR UNSECURED 144A 08/27 4         | CUSIP: 25159MBP1<br>LEI: 5493001HGBABMWFZUI25 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $301184.02    | 0.22%             | 2027-08-28      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR19 A6          | CUSIP: 929227ZS8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14428 | PA      | $14240.47     | 0.01%             | 2033-02-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/2.50000 12/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $105567.28    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $43.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $2035.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                                        | MAN GLG EURO CLO GLGE 5A A1R 144A                         | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     37052 | PA      | $43572.94     | 0.03%             | 2031-12-15      | Floating      | 2.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/17/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $166702.19    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                     | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     44000 | PA      | $32135.93     | 0.02%             | 2035-07-09      | Variable      | 4.12%                 | 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        |   1200000 | PA      | $373709.80    | 0.27%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 07/32 0.625                               | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    112065 | PA      | $105171.31    | 0.08%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $2638.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $3334.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XII-B LTD 2018-12BA                                           | NORTHWOODS CAPITAL LTD WOODS 2018 12BA AR 144A            | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    226119 | PA      | $226396.86    | 0.16%             | 2031-06-15      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.25000 12/17/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-83223.28    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-461.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $394.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                       | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/34 3   | CUSIP: ACI2PBKR8<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   2490000 | PA      | $2985563.02   | 2.17%             | 2034-10-31      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI5489 FR 05/54 FIXED 6                 | CUSIP: 3133WCC28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1364906 | PA      | $1402696.37   | 1.02%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 03/29 5.375                  | CUSIP: 46514BRN9<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    200000 | PA      | $206117.47    | 0.15%             | 2029-03-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1828.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                             | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5                | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        10 | PA      | $1.06         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260113                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2176.32      | 0.00%             |  |  |  | No            |                  2 | 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        |    103204 | PA      | $21287.30     | 0.02%             | 2036-07-26      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                                          | HCA INC DISC COML PAPER 01/26 ZCP                         | CUSIP: 40412DA74<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399690.44    | 0.29%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $1836.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                               | CREDIT AGRICOLE SA 144A 10/29 VAR                         | CUSIP: 22535WAJ6<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    300000 | PA      | $316479.71    | 0.23%             | 2029-10-03      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                                  | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528    | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |    124000 | PA      | $120316.91    | 0.09%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $8095.29      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (5 YEAR ISSUE) BONDS 06/29 0.4                      | CUSIP: ACI2QPV94<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 110000000 | PA      | $679438.20    | 0.49%             | 2029-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1                | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     41754 | PA      | $22295.69     | 0.02%             | 2035-09-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO XIV DAC 14A                                                   | HAYFIN EMERALD CLO HAYEM 14A A 144A                       | CUSIP: ACI2SSWQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    600000 | PA      | $705635.51    | 0.51%             | 2039-01-22      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                                               | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A          | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    708320 | PA      | $622075.03    | 0.45%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25                 | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1700000 | PA      | $87772.77     | 0.06%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $186.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QJ1916 FR 08/54 FIXED 6                 | CUSIP: 3133CSDV0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1049901 | PA      | $1096207.43   | 0.80%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.00000 06/17/25-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-129849.09   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NGN BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |         1 | NC      | $-1231.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                              | UNITED KINGDOM GILT BONDS REGS 03/30 4.375                | CUSIP: BSQNRDII4<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |   4000000 | PA      | $5485241.96   | 3.99%             | 2030-03-07      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.25000 03/19/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-21276.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 13.2683 12/17/25-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $9108.67      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1          | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       728 | PA      | $686.29       | 0.00%             | 2034-11-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.9314* 02/06/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $20064.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1376.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8486 G2 12/52 FIXED 3                      | CUSIP: 36179XNB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    416272 | PA      | $375141.91    | 0.27%             | 2052-12-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR15                                          | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR15 A2          | CUSIP: 45660LVM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64813 | PA      | $52606.55     | 0.04%             | 2035-09-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-310.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 12/20/23-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $164617.38    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-A                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2006 A 1A1            | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     22175 | PA      | $21205.12     | 0.02%             | 2036-02-20      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                        | MITSUBISHI UFJ FIN GRP SR UNSECURED 09/31 VAR             | CUSIP: 606822DN1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $201162.96    | 0.15%             | 2031-09-12      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1            | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     38305 | PA      | $37911.92     | 0.03%             | 2047-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| ICG-2021-3A                                                                      | ICG US CLO LTD ICG 2021 3A AR 144A                        | CUSIP: 449249AS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500250.00    | 0.36%             | 2034-10-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-1349.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $207.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-4                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 4 1A1                    | CUSIP: 12669GML2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    160083 | PA      | $151187.80    | 0.11%             | 2035-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL G08631 FG 03/45 FIXED 3                 | CUSIP: 3128MJVZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    132483 | PA      | $121748.94    | 0.09%             | 2045-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EGP SOLD USD 20260218                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |         1 | NC      | $2655.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI3936 FR 04/54 FIXED 6                 | CUSIP: 3133WALR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    296679 | PA      | $305430.62    | 0.22%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/1.79544 03/10/25-5Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-16281.64    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RZK6 PIMCO FXVAN PUT USD KRW 1382.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -795000 | NC      | $-1198.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                     | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  27200000 | PA      | $139465.99    | 0.10%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS17                                         | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS17 A4          | CUSIP: 74922SAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    107928 | PA      | $90839.94     | 0.07%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-5096.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $517.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                      | REPUBLIC OF SERBIA SR UNSECURED 144A 09/36 2.05           | CUSIP: ACI20JFB9<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |    100000 | PA      | $91679.70     | 0.07%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                                      | LETRA TESOURO NACIONAL BILLS 04/26 0.00000                | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  13900000 | PA      | $2453773.14   | 1.78%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $7851.83      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1328.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $287.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-3954.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 06/18/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9640.49     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SEK SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |         1 | NC      | $19447.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  20600000 | PA      | $21413988.61  | 15.57%            | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUXL 30Y BND MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -2 | NC      | $4110.94      | 0.00%             |  |  |  | No            |                  1 | 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        |    400000 | PA      | $399701.04    | 0.29%             | 2038-11-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICAN T BILLS SOUTH AFRICAN T BILLS               | CUSIP: ACI355B18<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1440000 | PA      | $82445.22     | 0.06%             | 2026-11-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2024-H07                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2024 H07 JF            | CUSIP: 38383KVX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    471423 | PA      | $473370.95    | 0.34%             | 2074-04-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260224                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $6313.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                               | FAIRFAX FINL HLDGS LTD SR UNSECURED REGS 03/28 2.75       | CUSIP: ACI11PCM5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |    100000 | PA      | $116794.78    | 0.08%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 3 2A1                    | CUSIP: 12669GTV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       552 | PA      | $541.51       | 0.00%             | 2035-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG45 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1728769.89   | 1.26%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BTP FUTURE   MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        52 | NC      | $-18573.71    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FANNIE MAE 2004-11                                                               | FANNIE MAE FNR 2004 11 A                                  | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       244 | PA      | $243.71       | 0.00%             | 2034-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS PLN 4.72250 12/01/30-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |         1 | NC      | $-4115.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR5 3A          | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27519 | PA      | $17165.00     | 0.01%             | 2046-07-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $412.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1B 144A        | CUSIP: 78449XAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     21118 | PA      | $21182.42     | 0.02%             | 2053-07-15      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1.5            | CUSIP: ACI19Y843<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.19         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.25000 06/18/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-56828.02    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2            | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       247 | PA      | $245.20       | 0.00%             | 2034-04-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F042616<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -200000 | PA      | $-195275.31   | -0.14%            | 2055-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A        | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     71862 | PA      | $62438.24     | 0.05%             | 2046-07-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-151.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                    | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    645853 | PA      | $594064.19    | 0.43%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                                   | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A4A                  | CUSIP: 12669FY23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1016 | PA      | $990.98       | 0.00%             | 2034-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 03/19/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-28489.43    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 09/17/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $59046.33     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                                        | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A AR 144A            | CUSIP: ACI2VQ1V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    417172 | PA      | $489742.94    | 0.36%             | 2033-08-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AB6314 FN 09/42 FIXED 3                         | CUSIP: 31417DAQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2607 | PA      | $2413.08      | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA6046 FN 05/54 FIXED 6                         | CUSIP: 3140A6WG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     70932 | PA      | $72909.66     | 0.05%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260304                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2100.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 01/31 VAR              | CUSIP: 95000U3P6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    500000 | PA      | $518030.53    | 0.38%             | 2031-01-24      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1              | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |        69 | PA      | $7.99         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $7722.67      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $19659.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX IG44 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $306894.53    | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| BBAM EUROPEAN CLO I DAC 1A                                                       | BBAM EUROPEAN CLO BBAME 1A AR 144A                        | CUSIP: ACI2M3430<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $587687.31    | 0.43%             | 2034-07-22      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                                 | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4               | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $75286.08     | 0.05%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 6.5 JUMBOS                              | CUSIP: 21H062628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4500000 | PA      | $4647128.94   | 3.38%             | 2055-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750S543 PIMCO FXVAN PUT EUR HUF 375.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    327000 | NC      | $564.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260129                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-630.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AR5                                            | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AR5 2A1           | CUSIP: 65535VPU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3422 | PA      | $3081.34      | 0.00%             | 2035-10-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 06/40 0.4                     | CUSIP: ACI1PD3L8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  80000000 | PA      | $378554.65    | 0.28%             | 2040-06-20      | Fixed         | 0.40%                 | 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        |    148058 | PA      | $105534.99    | 0.08%             | 2046-07-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $3021.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-1178.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260722                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-5209.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $722.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.90500 08/15/25-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1330.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $391.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/33 1.125                               | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    874472 | PA      | $839362.56    | 0.61%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/48 3                                   | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    175000 | PA      | $129623.05    | 0.09%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RNL7 PIMCO FXVAN PUT EUR CZK 24.10000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    508000 | NC      | $2005.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $1450.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                           | REALKREDIT DANMARK COVERED REGS 10/50 1                   | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.15         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $400.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $2529.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    427000 | NC      | $238.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  24900000 | PA      | $24809542.78  | 18.04%            | 2056-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260226                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $6820.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260303                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-748.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBEXA2 PIMCO SWAPTION 3.622 CALL USD 202601            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -700000 | NC      | $-955.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB1123 FN 06/54 FIXED 6                         | CUSIP: 3140AAG92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1617922 | PA      | $1664591.55   | 1.21%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121                                | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 121 PE            | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2193 | PA      | $2167.48      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $183.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JABIL INC                                                                        | JABIL INC                                                 | CUSIP: 46652MAC9<br>LEI: 5493000CGCQY2OQU7669 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399416.48    | 0.29%             | 2026-01-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-SB1                                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 SB1 A1A         | CUSIP: 41162BAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45405 | PA      | $42311.40     | 0.03%             | 2036-12-19      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-6682.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260722                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-7027.83     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1082.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $485.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIRGIN MEDIA (VMED O2 UK FINANCING I PLC)                                        | VMED O2 UK FINANCING I SR SECURED 144A 04/32 5.625        | CUSIP: ACI2NJDT7<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $474177.30    | 0.34%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICAN T BILLS BILLS 04/26 0.00000                 | CUSIP: ACI2WQ115<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   3270000 | PA      | $193854.13    | 0.14%             | 2026-04-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-3242.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-2                                                  | ANGEL OAK MORTGAGE TRUST AOMT 2024 2 A1 144A              | CUSIP: 034942AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    353563 | PA      | $356835.43    | 0.26%             | 2069-01-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260316                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $936.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                          | FREDDIE MAC FHR 4579 FD                                   | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53435 | PA      | $52743.88     | 0.04%             | 2038-01-15      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1776.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260203                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-1239.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260211                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $364.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 04/42 2.875                     | CUSIP: ACI1Z3VF1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $77645.46     | 0.06%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-INV1 TRUST                                                             | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 INV1 A3 144A       | CUSIP: 12661XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     67624 | PA      | $56729.41     | 0.04%             | 2056-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS SGD SIBSORA/1.25000 03/18/26-1Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $9762.35      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CZK BOUGHT USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $-1168.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1          | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     27491 | PA      | $19520.08     | 0.01%             | 2036-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-44.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $190.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $845.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.12982 02/14/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1653.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A        | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    145142 | PA      | $146617.08    | 0.11%             | 2055-02-16      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $50030.20     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-337.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $268.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-47.15       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO120626                                | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 262000000 | PA      | $165899.30    | 0.12%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                    | MALAYSIA GOVERNMENT BONDS 04/31 2.632                     | CUSIP: ACI1S5B09<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    700000 | PA      | $167123.71    | 0.12%             | 2031-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 03/54 5.75                   | CUSIP: 46514BRM1<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    200000 | PA      | $192801.36    | 0.14%             | 2054-03-12      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RXP7 PIMCO FXVAN PUT USD SGD 1.23650000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |   -509000 | NC      | $-4269.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                               | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A       | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    500000 | PA      | $490515.20    | 0.36%             | 2036-01-15      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/31 5.375    | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    200000 | PA      | $209862.27    | 0.15%             | 2031-01-13      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $5288.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1325.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.37500 03/31/26-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5099.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                      | REPUBLIC OF POLAND BONDS 02/30 4.875                      | CUSIP: 857524AF9<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    100000 | PA      | $103115.46    | 0.07%             | 2030-02-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    475000 | NC      | $265.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV6                                               | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV6 A2 144A          | CUSIP: 46654FAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    473861 | PA      | $416447.50    | 0.30%             | 2052-04-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.00000 06/19/24-20Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-489505.17   | -0.36%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-706.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-33144.12    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION (EU)                                                              | EUROPEAN UNION SR UNSECURED REGS 10/45 3.75               | CUSIP: ACI2X44W2<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | N/A       |    800000 | PA      | $927722.15    | 0.67%             | 2045-10-12      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS PLN 4.68500 12/02/30-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |         1 | NC      | $208.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QZ5749 FR 10/55 FIXED 6.5               | CUSIP: 31427DL74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    981429 | PA      | $1020547.17   | 0.74%             | 2055-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1           | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     45957 | PA      | $38567.66     | 0.03%             | 2037-02-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $9913.51      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F052623<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -260000 | PA      | $-263412.04   | -0.19%            | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/32 3.375    | CUSIP: ACI2V6L67<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    300000 | PA      | $354516.70    | 0.26%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A1          | CUSIP: 92927XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19590 | PA      | $17168.42     | 0.01%             | 2037-06-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $6773.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-683.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                               | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A          | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    468012 | PA      | $410723.37    | 0.30%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-261.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3                    | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     20616 | PA      | $18361.89     | 0.01%             | 2035-05-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.86166 12/02/24-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5752.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5295 FN 03/54 FIXED 6                         | CUSIP: 31418E3D0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    177710 | PA      | $182623.24    | 0.13%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $10870.48     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $6176.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $9596.40      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RFD4 PIMCO FXVAN PUT EUR CZK 24.20000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    210000 | NC      | $1054.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/49 2.375                               | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $192773.44    | 0.14%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                      | BANK OF AMERICA CORP SR UNSECURED 01/36 VAR               | CUSIP: 06051GMM8<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    300000 | PA      | $312966.55    | 0.23%             | 2036-01-24      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DC3060 FN 09/54 FIXED 6                         | CUSIP: 3140AQMJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    329850 | PA      | $339096.36    | 0.25%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-126.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CCS USD R US SOFR/GBP SONIA-30.05 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |         1 | NC      | $-3693.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $315.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-409.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80346 03/03/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $13201.20     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $1942.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-899.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UB8RA2 PIMCO SWAPTION 3.498 CALL USD 202601            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-0.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                                 | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 2A1                  | CUSIP: 362341RX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     17864 | PA      | $17134.07     | 0.01%             | 2035-09-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-273.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260109                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $2912.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.25000 03/18/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-48241.72    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A        | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    194794 | PA      | $194836.36    | 0.14%             | 2037-02-19      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2021-INV3                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2021 INV3 A3A 144A    | CUSIP: 17329VBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    208500 | PA      | $174648.64    | 0.13%             | 2051-05-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1804.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A2             | CUSIP: 17307GXQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1361 | PA      | $1360.77      | 0.00%             | 2035-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE3                                                             | GSAMP TRUST GSAMP 2006 HE3 A2D                            | CUSIP: 36244KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    282408 | PA      | $274140.31    | 0.20%             | 2046-05-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-5                                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 5 2A1            | CUSIP: 007036LJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1919 | PA      | $1673.88      | 0.00%             | 2035-09-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-9184.15     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-1098.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 5.125    | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    400000 | PA      | $408867.70    | 0.30%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH KOREA GOVT AS BP MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-14428.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-65668.62    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-5847.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO110626                                | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 263000000 | PA      | $166622.68    | 0.12%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.29000 03/31/26-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $17236.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBC2A0 PIMCO SWAPTION 3.639 CALL USD 202601            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-156.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $275985.17    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260109                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $6517.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1255.34      | 0.00%             |  |  |  | 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        |     92378 | PA      | $41267.64     | 0.03%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $451.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-3A                                           | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 3A A1 144A      | CUSIP: 16678RDT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137385 | PA      | $126356.22    | 0.09%             | 2036-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| TRINITAS CLO VI LTD 2017-6A                                                      | TRINITAS CLO LTD TRNTS 2017 6A AR4 144A                   | CUSIP: 89640YBQ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $400180.55    | 0.29%             | 2034-01-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| SANTANDER UK GROUP HOLDINGS PLC                                                  | SANTANDER UK GROUP HLDGS SR UNSECURED 01/29 VAR           | CUSIP: 80281LAT2<br>LEI: 549300F5XIFGNNW4CF72 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $313529.90    | 0.23%             | 2029-01-10      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BOBL FUTURE  MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -52 | NC      | $54947.82     | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $7874.10      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR4                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A3           | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    122934 | PA      | $111133.21    | 0.08%             | 2047-09-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                              | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1          | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8631 | PA      | $6849.11      | 0.00%             | 2037-07-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)                | GENERALITAT DE CATALUNYA SR UNSECURED 04/35 4.22          | CUSIP: B081RMII3<br>LEI: 95980020140005848404 | Long             | DBT              | NUSS              | ES        |    100000 | PA      | $120864.62    | 0.09%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $4382.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $791.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.86092 03/14/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $11114.91     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RW52 PIMCO FXVAN PUT USD BRL 5.41000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    700000 | NC      | $4585.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-293.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-4089.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | EUROCLEAR  92707 REPO REPO EUR                            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | LU        |    426155 | PA      | $500817.35    | 0.36%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.00000 03/18/26-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $204526.86    | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.25000 09/17/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-174417.96   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                         | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A        | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    336062 | PA      | $453420.68    | 0.33%             | 2053-07-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-35                                              | FHLMC STRUCTURED PASS THROUGH FSPC T 35 A                 | CUSIP: 313398VT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2323 | PA      | $2321.17      | 0.00%             | 2031-09-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-OAT FUTURE   MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -85 | NC      | $72108.63     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $1682.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS SGD SIBSORA/1.50000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |         1 | NC      | $98464.86     | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-1                                                   | LUMINENT MORTGAGE TRUST LUM 2006 1 A1                     | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    141033 | PA      | $126783.82    | 0.09%             | 2036-04-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.11647 02/14/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4660.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-2442.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/41 1.875                               | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    300000 | PA      | $209695.31    | 0.15%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2003-A2                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2003 A2 3A1                | CUSIP: 466247AZ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       552 | PA      | $535.41       | 0.00%             | 2033-11-25      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1              | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.14         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-4363.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CHF SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $12470.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.64000 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7161.07      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-569.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $8570.60      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/55 4.625                               | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1927031.24   | 1.40%             | 2055-02-15      | Fixed         | 4.62%                 | 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        |     37991 | PA      | $31939.85     | 0.02%             | 2046-10-20      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-9580.71     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RXL6 PIMCO FXVAN PUT USD BRL 5.16000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -300000 | NC      | $-104.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  FEB26P 111.5 EXP 01/23/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -4 | NC      | $-625.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/2.00000 06/18/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $15345.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260127                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $2552.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $6612.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260513                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-5446.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                      | FRANCE (GOVT OF) BONDS 144A REGS 10/27 2.75               | CUSIP: ACI02EIC7<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    800000 | PA      | $948480.41    | 0.69%             | 2027-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BF0463 FN 03/60 FIXED 3                         | CUSIP: 3140FXQR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    137605 | PA      | $120614.33    | 0.09%             | 2060-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-2360.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                                      | KUWAIT INTL BOND SR UNSECURED 144A 10/28 4.016            | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    300000 | PA      | $300776.80    | 0.22%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $296.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-5200.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $1044.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                             | NORDEA KREDIT REALKREDIT COVERED 10/50 1.5                | CUSIP: BH3VWJII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |         1 | PA      | $0.16         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.21300 03/12/40-15Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $454293.85    | 0.33%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CAN 10YR BOND FUT MAR26 XMOD 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        -4 | NC      | $3841.17      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1         | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      8020 | PA      | $6975.61      | 0.01%             | 2037-01-25      | Floating      | 3.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MB0481 G2 07/55 FIXED 3.5                    | CUSIP: 3618N5RB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   4448865 | PA      | $4052064.58   | 2.95%             | 2055-07-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.89750 06/19/25-1Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $56341.02     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                                | BDS LTD BDS 2021 FL10 A 144A                              | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    113230 | PA      | $113331.44    | 0.08%             | 2036-12-16      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-1646.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REFERENCE REMIC R006                                                 | FREDDIE MAC REFERENCE REMIC FHRR R006 ZA                  | CUSIP: 31396JT21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     61377 | PA      | $64616.88     | 0.05%             | 2036-04-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260227                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-9670.68     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-4401.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260127                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-1983.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-172.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                                         | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                    | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     77815 | PA      | $77911.19     | 0.06%             | 2030-10-24      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260211                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $842.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                            | ATHENE GLOBAL FUNDING SR SECURED 144A 03/27 5.516         | CUSIP: 04685A3T6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    200000 | PA      | $203206.98    | 0.15%             | 2027-03-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/28 1.75                                | CUSIP: 912810PV4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2175908 | PA      | $2192528.65   | 1.59%             | 2028-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $632.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | KSA SUKUK LTD SR UNSECURED 144A 10/28 5.268               | CUSIP: 48266XAF2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | KY        |    200000 | PA      | $206165.00    | 0.15%             | 2028-10-25      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.00000 03/19/25-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-146394.87   | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                                | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 A 144A       | CUSIP: 78485KAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    108773 | PA      | $108998.81    | 0.08%             | 2038-11-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BJ8703 FN 05/49 FIXED 3.5                       | CUSIP: 3140HAU57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53843 | PA      | $50897.26     | 0.04%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2024-2 DAC 24-2A                                             | GROSVENOR PLACE CLO BV GROSV 2024 2A A 144A               | CUSIP: ACI2RYX19<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $588028.53    | 0.43%             | 2039-01-15      | Floating      | 3.25%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                     | REPUBLIC OF CHILE SR UNSECURED 01/29 4.85                 | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    200000 | PA      | $204630.00    | 0.15%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| TOWER BRIDGE FUNDING 2024-3 PLC 24-3A                                            | TOWER BRIDGE FUNDING TWRBG 2024 3A A 144A                 | CUSIP: ACI2R23Z7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    481250 | PA      | $649271.81    | 0.47%             | 2066-12-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-1                                                    | COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1                    | CUSIP: 12669GRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     19221 | PA      | $16918.30     | 0.01%             | 2035-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 03/19/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $160935.53    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 03/27 VAR                     | CUSIP: ACI2NCY93<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    400000 | PA      | $470886.98    | 0.34%             | 2027-03-19      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $13373.94     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $390.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 11/48 3.375                               | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1400000 | PA      | $1108078.13   | 0.81%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $9694.27      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A3          | CUSIP: 12668ALV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6848 | PA      | $6197.11      | 0.00%             | 2035-11-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT A/S COVERED REGS 10/53 1.5            | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |        15 | PA      | $1.88         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.25000 03/19/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $223719.24    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260209                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $347.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-3975.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR NOTE (CBT)MAR26 XCBT 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        42 | NC      | $-15148.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/44 4.125                               | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   3650000 | PA      | $3351013.68   | 2.44%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CCS USD R USSOFR/JPYMUTKCALM-31.5 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |         1 | NC      | $335.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    116000 | NC      | $64.84        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2021-2 DAC                                             | ROCKFORD TOWER EUROPE CLO RFTE 2021 2A A 144A             | CUSIP: ACI2PTDF3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    600000 | PA      | $705991.17    | 0.51%             | 2035-01-24      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                                       | GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1                    | CUSIP: 36228F4P8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       806 | PA      | $778.03       | 0.00%             | 2034-06-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $299.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20261118                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-2632.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-30694.06    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | LONG GILT FUTURE  MAR26 IFLL 20260327                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        77 | NC      | $63896.40     | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | BOUGHT MYR SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $410.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICA TREASURY BILL SOUTH AFRICAN T BILLS 0  19/08 | CUSIP: ACI2ZQHY3<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   4860000 | PA      | $282265.31    | 0.21%             | 2026-08-19      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-551.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                     | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  60000000 | PA      | $278852.15    | 0.20%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260211                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $202.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2023-NQM4 TRUST                                                              | MFRA TRUST MFRA 2023 NQM4 A1 144A                         | CUSIP: 55286LAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301210 | PA      | $303846.64    | 0.22%             | 2068-12-25      | Fixed         | 6.11%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                               | CONAGRA FOODS INC.                                        | CUSIP: 20600HA79<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399691.24    | 0.29%             | 2026-01-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                       | BONOS Y OBLIG DEL ESTADO SR UNSECURED 05/28 2.4           | CUSIP: ACI2T2CQ5<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   1050000 | PA      | $1237908.66   | 0.90%             | 2028-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $479.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260212                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $592.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 09/26 5                         | CUSIP: ACI28TF11<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    220000 | PA      | $263453.75    | 0.19%             | 2026-09-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD MXN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-327.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $5319.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875                | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  43900000 | PA      | $2766548.31   | 2.01%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                            | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3            | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    200000 | PA      | $203617.12    | 0.15%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | PEMEX LCDS SP DUB                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $1784.57      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $723.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP6402 FN 09/42 FIXED 3                         | CUSIP: 3138MADG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1517 | PA      | $1405.63      | 0.00%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 841068 FN 11/34 FLOATING VAR                    | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3938 | PA      | $4132.62      | 0.00%             | 2034-11-01      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-556.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                        | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A       | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    209489 | PA      | $209682.19    | 0.15%             | 2038-04-18      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-1167.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH KOREA GOVT AS BP MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-6136.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/39 7         | CUSIP: ACI2PNWZ1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   1400000 | PA      | $455500.88    | 0.33%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260210                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $1506.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1         | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     40721 | PA      | $38633.93     | 0.03%             | 2046-03-20      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                          | NYKREDIT REALKREDIT A/S COVERED REGS 10/50 1              | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         3 | PA      | $0.40         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| ARBOR REALTY COLLATERALIZED LOAN OBLIGATION LTD 2022-FL1                         | ARBOR REALTY COLLATERALIZED LO ARCLO 2022 FL1 A 144A      | CUSIP: 03880XAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    121183 | PA      | $121913.46    | 0.09%             | 2037-01-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $415.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-5222.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                                  | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/34 1   | CUSIP: ACI1KDG39<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    300000 | PA      | $152576.24    | 0.11%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $5254.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $357.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260203                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-208.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-31272.80    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD SGD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-787.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT COP SOLD USD 20260218                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |         1 | NC      | $-4771.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/0.60000 12/18/24-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-8025.57     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1136.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-5                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 5 1A2           | CUSIP: 07384MWG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1648 | PA      | $1616.82      | 0.00%             | 2033-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                                     | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 05/26 5.75     | CUSIP: 147918AB2<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |    200000 | PA      | $201099.68    | 0.15%             | 2026-05-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS CZK 4.48500 12/02/30-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |         1 | NC      | $749.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED REGS 01/32 2                         | CUSIP: ACI1J8690<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $100545.41    | 0.07%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260224                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $2625.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-72.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD HKD BOUGHT USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |         1 | NC      | $2157.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A          | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    108909 | PA      | $93340.45     | 0.07%             | 2036-02-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.9544* 02/05/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $7239.61      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL 1B3362 FH 04/37 FLOATING VAR            | CUSIP: 3128JNTU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1824 | PA      | $1881.65      | 0.00%             | 2037-04-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.02000 05/15/25-1Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $396.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                                | NATWEST GROUP PLC SR UNSECURED 05/29 VAR                  | CUSIP: 780097BG5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    400000 | PA      | $407054.94    | 0.30%             | 2029-05-18      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 01/31 VAR                | CUSIP: 46647PEV4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    400000 | PA      | $413514.35    | 0.30%             | 2031-01-24      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 01/32 0.125                               | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    117461 | PA      | $107370.22    | 0.08%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A10                                             | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A10 A            | CUSIP: 59020UZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     13145 | PA      | $13020.13     | 0.01%             | 2036-02-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | JPN 10Y BOND(OSE) MAR26 XOSE 20260313                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |       -27 | NC      | $156412.25    | 0.11%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $527.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-4578.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                           | STANDARD CHARTERED PLC SR UNSECURED 144A 01/28 VAR        | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $196935.23    | 0.14%             | 2028-01-12      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260716                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-5834.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1753.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EGP SOLD USD 20260408                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |         1 | NC      | $594.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 02/48 3                                   | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $297781.25    | 0.22%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1266.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-2359.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $269.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR ULTRA FUT MAR26 XCBT 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        71 | NC      | $-54944.86    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | US ULTRA BOND CBT MAR26 XCBT 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -19 | NC      | $45245.68     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.50000 09/17/25-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $529.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VERDELITE STATIC CLO LTD 2024-1                                                  | VERDELITE STATIC CLO LTD BVSTAT 2024 1A A 144A            | CUSIP: 92338VAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    347601 | PA      | $347696.04    | 0.25%             | 2032-07-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/45 4.875                               | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     38000 | PA      | $38380.00     | 0.03%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 3.50000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-978628.37   | -0.71%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN FINANCE ORGANIZATION FOR MUNICIPALITIES (JFM)                              | JAPAN FIN ORG MUNICIPAL SR UNSECURED REGS 09/27 2.375     | CUSIP: ACI2802G5<br>LEI: 5493007YYYNZ4NMEOD64 | Long             | DBT              | NUSS              | JP        |   2300000 | PA      | $2702500.47   | 1.96%             | 2027-09-08      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1          | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       106 | PA      | $104.86       | 0.00%             | 2032-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 12/35 VAR              | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    400000 | PA      | $408796.50    | 0.30%             | 2035-12-03      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | TSY INFL IX N/B 04/29 3.875                               | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    316902 | PA      | $341469.99    | 0.25%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-18                                                   | COUNTRYWIDE HOME LOANS CWHL 2005 18 A3                    | CUSIP: 126694EK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     29321 | PA      | $13897.86     | 0.01%             | 2035-10-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $856.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RA4542 FR 02/51 FIXED 2.5               | CUSIP: 3133KLBK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    193048 | PA      | $163893.67    | 0.12%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260226                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $3936.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $3738.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                    | BOEING CO/THE SR UNSECURED 05/27 6.259                    | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102646.06    | 0.07%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                                   | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS              | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     35905 | PA      | $48369.41     | 0.04%             | 2044-06-15      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-564.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.50000 09/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $23073.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $47137.32     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-1853.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-883.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260129                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $79529.32     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                                | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                    | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    144035 | PA      | $144244.69    | 0.10%             | 2039-02-17      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP BPS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $23568.66     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $3917.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                                               | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A          | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    499800 | PA      | $437384.60    | 0.32%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2736.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD THB BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $-1737.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $568820.36    | 0.41%             | 2056-02-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PROJECT CASHMERE                                                                 | PROJECT CASHMERE CLASS A1 144A                            | CUSIP: 990ABJRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | AU        |   2100000 | PA      | $1401435.07   | 1.02%             | 2057-12-30      | Floating      | 4.54%                 | No            |                  3 | On Loan: No      |
| BRITISH AIRWAYS 2019-1 CLASS A PASS THROUGH TRUST                                | BRITISH AIR 19 1 A PTT PASS THRU CE 144A 12/30 3.35       | CUSIP: 11043XAB9<br>LEI: 635400GSHSFIWYIDXC76 | Long             | DBT              | CORP              | US        |     39185 | PA      | $38145.84     | 0.03%             | 2030-12-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                              | COMMONSPIRIT HEALTH SR UNSECURED 09/35 4.975              | CUSIP: 20268JBD4<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    300000 | PA      | $296593.01    | 0.22%             | 2035-09-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL FM3972 FN 07/50 FIXED VAR                       | CUSIP: 3140X7MW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    113132 | PA      | $105966.97    | 0.08%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750S550 PIMCO FXVAN PUT EUR HUF 376.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    203000 | NC      | $429.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $8744.66      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-6.55        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.00000 03/19/25-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $423284.10    | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260309                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1742.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-316.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-1403.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $635.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT NZD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-967.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-576.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $5596.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $1887.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                                  | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                   | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    171658 | PA      | $201836.14    | 0.15%             | 2031-04-15      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260206                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $4270.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.06500 06/26/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2555.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EGP SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |         1 | NC      | $76.74        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MYR SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $2779.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                              | UNITED KINGDOM GILT BONDS REGS 01/56 5.375                | CUSIP: ACI2X9NM2<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    300000 | PA      | $416407.52    | 0.30%             | 2056-01-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | REVERSE REPO THE BANK OF NOVA REVERSE REPO                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -7080875 | PA      | $-7092469.94  | -5.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-687.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-3                                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 3 2A              | CUSIP: 1266714M5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53476 | PA      | $52317.86     | 0.04%             | 2034-08-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $1094.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                                 | ABN AMRO BANK NV 144A 12/35 VAR                           | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |    300000 | PA      | $309929.66    | 0.23%             | 2035-12-03      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES, INC. 2006-AB4                                         | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AB4 A6A2         | CUSIP: 251513BD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70730 | PA      | $61929.12     | 0.05%             | 2036-10-25      | Variable      | 6.39%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                                      | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                  | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |    149289 | PA      | $1454225.64   | 1.06%             |  |  |  | No            |                  1 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                                    | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/35 FIXED 5.102    | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     83731 | PA      | $85990.49     | 0.06%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2836.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $3925.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-44.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD HKD BOUGHT USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |         1 | NC      | $271.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750S493 PIMCO FXVAN PUT EUR HUF 378.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |    250000 | NC      | $745.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $5227.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-1400.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 07/30 1.75                         | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    200000 | PA      | $212591.33    | 0.15%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -427000 | NC      | $-141.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $595.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.85092 12/02/24-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-7764.60     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $22754.20     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 02/48 8.75                 | CUSIP: ACI0289D8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1800000 | PA      | $104881.52    | 0.08%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                       | BONOS Y OBLIG DEL ESTADO SR UNSECURED 01/28 0.00000       | CUSIP: ACI1WLC57<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |   1650000 | PA      | $1854497.31   | 1.35%             | 2028-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                            | TORONTO DOMINION BANK COVERED 144A 07/27 4.814            | CUSIP: 891160TE3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    500000 | PA      | $508547.46    | 0.37%             | 2027-07-16      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP7553 FN 09/42 FIXED 3                         | CUSIP: 3138MBMB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     20558 | PA      | $19025.90     | 0.01%             | 2042-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                         | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 1A1           | CUSIP: 589929M70<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1463 | PA      | $1377.57      | 0.00%             | 2033-02-25      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260224                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $2678.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-1097.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CCS USD R USSOFR/JPYMUTKCALM-35.65 CBK                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |         1 | NC      | $108860.14    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2176.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $7246.01      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-3556.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $4020.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                    | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  13000000 | PA      | $802844.20    | 0.58%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                   | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/51 1.75        | CUSIP: BMZ8B6II2<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |     50000 | PA      | $17070.48     | 0.01%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KZT BOUGHT USD 20260603                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-327.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-4213.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.96000 06/27/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $11484.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $167.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL 800171 FN 12/34 FLOATING VAR                    | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       549 | PA      | $559.33       | 0.00%             | 2034-12-01      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/4.50000 03/18/26-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-3145.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1536.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RXO0 PIMCO FXVAN CALL USD SGD 1.31500000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    509000 | NC      | $1731.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -222000 | NC      | $-72.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI8171 FR 06/54 FIXED 6                 | CUSIP: 3133WFCG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1135754 | PA      | $1183838.36   | 0.86%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                       | PACIFICORP 1ST MORTGAGE 02/29 5.1                         | CUSIP: 695114DB1<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    150000 | PA      | $153126.77    | 0.11%             | 2029-02-15      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                   | AUSTRALIAN GOVERNMENT BONDS 05/30 2.5                     | CUSIP: ACI137Q48<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    400000 | PA      | $248542.51    | 0.18%             | 2030-05-21      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260129                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $358.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.76527 03/04/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $58230.27     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BX COMMERCIAL MORTGAGE TRUST 2021-21M                                            | BX TRUST BX 2021 21M A 144A                               | CUSIP: 05609CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    119007 | PA      | $118956.99    | 0.09%             | 2036-10-15      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F060626<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -4500000 | PA      | $-4618340.01  | -3.36%            | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | US 10YR FUT OPTN  FEB26C 113.5 EXP 01/23/2026             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -6 | NC      | $-464.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                             | JPMORGAN CHASE + CO SR UNSECURED 10/28 VAR                | CUSIP: 46647PEP7<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    400000 | PA      | $403979.29    | 0.29%             | 2028-10-22      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260401                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $297.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CDX ITRAXX XOV44 5Y 35-100% SP CBK                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |         1 | NC      | $23568.66     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY2                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY2 1A1          | CUSIP: 92926UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     11661 | PA      | $11054.89     | 0.01%             | 2036-12-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI8811 FR 06/54 FIXED 6                 | CUSIP: 3133WFYG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    606346 | PA      | $623458.58    | 0.45%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-HYB2                                                 | COUNTRYWIDE HOME LOANS CWHL 2007 HYB2 2A1                 | CUSIP: 125438AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37444 | PA      | $32378.93     | 0.02%             | 2047-05-25      | Floating      | 3.80%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AP5145 FN 08/42 FIXED 3                         | CUSIP: 3138M8WF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4525 | PA      | $4188.56      | 0.00%             | 2042-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.07500 03/31/26-28Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $14077.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-10601.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260109                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-2095.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                                          | FREDDIE MAC FHR 5511 FB                                   | CUSIP: 3137HKKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    571228 | PA      | $576503.48    | 0.42%             | 2055-03-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $563.19       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260128                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $4916.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2007-3                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2007 3 1A1           | CUSIP: 073881AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     53747 | PA      | $48393.61     | 0.04%             | 2047-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CZK BOUGHT USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $-440.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-OA4                                                  | COUNTRYWIDE HOME LOANS CWHL 2006 OA4 A2                   | CUSIP: 126694F29<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    900138 | PA      | $257807.45    | 0.19%             | 2046-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                                  | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/36 5   | CUSIP: ACI2KMVF3<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    700000 | PA      | $460086.46    | 0.33%             | 2036-07-21      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 2A4            | CUSIP: 12667TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    405177 | PA      | $395198.83    | 0.29%             | 2047-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-56.99       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 4.50000 06/18/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-4026.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-46.93       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MORTGAGE P/T CERTIFICATES 2007-OA1                                          | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA1 A1A          | CUSIP: 92926WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    113204 | PA      | $106110.21    | 0.08%             | 2047-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.00000 03/19/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-233527.26   | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                                        | CANADIAN IMPERIAL BANK COVERED 144A 01/30 4.876           | CUSIP: 13607PVU5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    900000 | PA      | $931918.01    | 0.68%             | 2030-01-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $2007.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A      | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    162653 | PA      | $157888.52    | 0.11%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                                    | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A      | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    146467 | PA      | $141639.59    | 0.10%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-25729.36    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260213                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-12634.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RZR1 PIMCO FXVAN PUT USD KRW 1383.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -503000 | NC      | $-815.87      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 22A           | CUSIP: 07384MN32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3224 | PA      | $3154.02      | 0.00%             | 2034-05-25      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $22.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                             | JYSKE REALKREDIT A/S COVERED 10/50 1                      | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |         2 | PA      | $0.24         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                           | REALKREDIT DANMARK COVERED REGS 10/53 1.5                 | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    267151 | PA      | $33827.37     | 0.02%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                             | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1100000 | PA      | $972339.85    | 0.71%             | 2056-02-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $2953.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260223                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $6634.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1797.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT IDR SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $537.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2234.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-4                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A12            | CUSIP: 02660LAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    206605 | PA      | $103431.79    | 0.08%             | 2046-10-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $347.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 1A1          | CUSIP: 17307G2Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     70799 | PA      | $68804.22     | 0.05%             | 2035-10-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DA7802 FN 01/54 FIXED 6                         | CUSIP: 3140A8U42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    992657 | PA      | $1024702.24   | 0.74%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                                 | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A             | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    502044 | PA      | $484936.25    | 0.35%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A2          | CUSIP: 12668AGT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      6853 | PA      | $6387.73      | 0.00%             | 2035-11-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI4035 FR 04/54 FIXED 6                 | CUSIP: 3133WAPU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    823628 | PA      | $846148.74    | 0.62%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $64615.79     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 2.50000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-25442.41    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $8915.91      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EGP SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |         1 | NC      | $1170.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $727.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 3.00000 03/19/25-2Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $163079.20    | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1        | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7373 | PA      | $7431.32      | 0.01%             | 2045-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260210                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $112.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1238.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 02/30 5.375                  | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    700000 | PA      | $724898.29    | 0.53%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-2668.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750S584 PIMCO FXVAN PUT EUR HUF 376.00000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    115000 | NC      | $243.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                             | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 03/34 1.75     | CUSIP: ACI1ZX259<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    400000 | PA      | $206955.92    | 0.15%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT HUF SOLD USD 20260217                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |         1 | NC      | $471.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                   | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                     | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     54400 | PA      | $35396.27     | 0.03%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260211                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $4.93         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                                 | TREASURY CORP VICTORIA LOCAL GOVT G 09/35 2               | CUSIP: BK80V9II5<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    300000 | PA      | $149114.69    | 0.11%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB0829 FN 04/54 FIXED 6                         | CUSIP: 3140A94P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    329148 | PA      | $342075.18    | 0.25%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -745000 | NC      | $-244.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/4.00000 03/18/26-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $6819.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                             | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1             | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     80919 | PA      | $72867.79     | 0.05%             | 2046-05-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260409                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $949.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $4775.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2006-AA2                                                          | BCAP LLC TRUST BCAP 2006 AA2 A1                           | CUSIP: 05530MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     81156 | PA      | $76710.71     | 0.06%             | 2037-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-800.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUT+5.89/0.4000 06/19/19-20Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $653001.61    | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                                               | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A      | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     59409 | PA      | $49946.21     | 0.04%             | 2036-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                             | EUROSAIL PLC ESAIL 2007 3X A3A REGS                       | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     61464 | PA      | $82861.89     | 0.06%             | 2045-06-13      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | ZCS BRL 12.97 11/06/25-01/02/29 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-14785.53    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEVELOPMENT BANK OF JAPAN INC (DBJ)                                              | DEVELOPMENT BK OF JAPAN SR UNSECURED REGS 09/26 2.125     | CUSIP: ACI27ST43<br>LEI: 5493001HGBABMWFZUI25 | Long             | DBT              | CORP              | JP        |    500000 | PA      | $587535.36    | 0.43%             | 2026-09-01      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RW60 PIMCO FXVAN PUT USD BRL 5.16000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -700000 | NC      | $-234.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $2187.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2020-B                                          | SMB PRIVATE EDUCATION LOAN TRU SMB 2020 B A1A 144A        | CUSIP: 78449XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     84473 | PA      | $80788.39     | 0.06%             | 2053-07-15      | Fixed         | 1.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS AUD 1.75000 03/16/22-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $-22522.76    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20260316                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $4279.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RZQ3 PIMCO FXVAN PUT USD KRW 1419.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    503000 | NC      | $2909.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W12                                                    | FANNIEMAE WHOLE LOAN FNW 2004 W12 1A1                     | CUSIP: 31394A6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5856 | PA      | $6111.53      | 0.00%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4334.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-104.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $33.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                                                           | MORGAN STANLEY BANK NA SR UNSECURED 05/28 VAR             | CUSIP: 61690U8B9<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    300000 | PA      | $306161.59    | 0.22%             | 2028-05-26      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR JPY MUTK/1.00000 09/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         1 | NC      | $-140355.45   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5563                                                          | FREDDIE MAC FHR 5563 FV                                   | CUSIP: 3137HMNV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    278898 | PA      | $280629.66    | 0.20%             | 2055-08-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-3169.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260227                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $3306.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750S451 PIMCO FXVAN PUT EUR CZK 23.90000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    352000 | NC      | $1115.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED REGS 10/45 6.5                       | CUSIP: ACI30VFV6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     50000 | PA      | $58507.33     | 0.04%             | 2045-10-07      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TR 2006-3                                               | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A4             | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    363786 | PA      | $349091.16    | 0.25%             | 2036-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EGP SOLD USD 20260416                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |         1 | NC      | $2178.22      | 0.00%             |  |  |  | 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        |    278019 | PA      | $146021.42    | 0.11%             | 2035-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                             | NORDEA KREDIT REALKREDIT COVERED 10/50 1                  | CUSIP: BKDSHHII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |        16 | PA      | $1.88         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                   | MORGAN STANLEY SR UNSECURED 04/28 VAR                     | CUSIP: 61747YFP5<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    500000 | PA      | $509976.36    | 0.37%             | 2028-04-13      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A          | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1410 | PA      | $1383.13      | 0.00%             | 2045-01-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| HA SUSTAINABLE INFRASTRUCTURE CAPITAL INC                                        | HA SUSTAINABLE INFRASTRUCTURE 01/26 ZCP                   | CUSIP: 40460KA61<br>LEI: 254900ZZRL7MWL1X8E92 | Long             | DBT              | CORP              | US        |    400000 | PA      | $399713.92    | 0.29%             | 2026-01-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260209                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $279.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2          | CUSIP: 86359LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       218 | PA      | $210.13       | 0.00%             | 2034-07-19      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-OPT4                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT4 M6          | CUSIP: 17307GUW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    388862 | PA      | $377608.16    | 0.27%             | 2035-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RW45 PIMCO FXVAN CALL USD BRL 5.70000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |   -700000 | NC      | $-4972.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.45100 05/27/25-25Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-113424.43   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260224                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2427.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2007-NC1                                | SECURITIZED ASSET BACKED RECEI SABR 2007 NC1 A2A          | CUSIP: 81378AAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4416 | PA      | $2197.36      | 0.00%             | 2036-12-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                              | SUMITOMO MITSUI FINL GRP SR UNSECURED 01/28 5.52          | CUSIP: 86562MCR9<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    300000 | PA      | $309116.46    | 0.22%             | 2028-01-13      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260303                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.77259 03/04/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $35757.96     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                                  | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 08/32 1   | CUSIP: ACI1VHWN6<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    500000 | PA      | $269499.30    | 0.20%             | 2032-08-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $985.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-3.39        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $0.28         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $2645.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 5A1        | CUSIP: 02152AAY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16428 | PA      | $7277.54      | 0.01%             | 2037-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                     | NIGERIA OMO BILL OMO260629                                | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 710770000 | PA      | $445950.52    | 0.32%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-2670.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED 03/28 VAR                  | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $199784.53    | 0.15%             | 2028-03-13      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-749.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CZK BOUGHT USD 20260212                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $-1564.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL QI6291 FR 05/54 FIXED 6                 | CUSIP: 3133WC7C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1242823 | PA      | $1279326.04   | 0.93%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICA TREASURY BILL 7.93  13.05.2026               | CUSIP: ACI2X3D53<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   2400000 | PA      | $141753.08    | 0.10%             | 2026-05-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                      | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1         | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1663 | PA      | $1527.25      | 0.00%             | 2036-12-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT AUD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-926.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                               | US TREASURY N/B 08/49 2.25                                | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    400000 | PA      | $250968.75    | 0.18%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $9838.18      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260617                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-3888.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                     | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 196486480 | PA      | $1276334.23   | 0.93%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $3616.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                       | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                       | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  80000000 | PA      | $444443.31    | 0.32%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $5084.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/4.00000 06/20/24-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-244.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB0827 FN 04/54 FIXED 6                         | CUSIP: 3140A94M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1292585 | PA      | $1337617.49   | 0.97%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BULGARIAN GOVT                                                                   | BULGARIA SR UNSECURED REGS 07/45 4.125                    | CUSIP: ACI2YSLY5<br>LEI: 529900PG0XCL4LICL838 | Long             | DBT              | NUSS              | BG        |    200000 | PA      | $225960.40    | 0.16%             | 2045-07-18      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $-1001.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | DEUTSCHE BANK AKTIENGESELLSCH SLA SE ICE                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |         1 | NC      | $-90.81       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-1276.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-1312.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                                 | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A            | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    168071 | PA      | $154572.21    | 0.11%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A2           | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     12225 | PA      | $12214.89     | 0.01%             | 2035-07-19      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $136.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-16.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260310                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $219.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260109                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-4397.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                                 | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25       | CUSIP: BKVDQPII1<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    500000 | PA      | $273059.61    | 0.20%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-8                                              | BANC OF AMERICA FUNDING CORPOR BAFC 2005 8 3A4            | CUSIP: 05946XZ48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     10004 | PA      | $10168.77     | 0.01%             | 2036-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RZO8 PIMCO FXVAN PUT USD KRW 1380.0000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -795000 | NC      | $-1113.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-HE5                                                     | ACE SECURITIES CORP. ACE 2005 HE5 M4                      | CUSIP: 004421RH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    302553 | PA      | $303317.69    | 0.22%             | 2035-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBA4A2 PIMCO SWAPTION 3.625 CALL USD 202601            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-45.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                                 | TREASURY CORP VICTORIA LOCAL GOVT G 12/32 4.25            | CUSIP: ACI06FV19<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    300000 | PA      | $191874.48    | 0.14%             | 2032-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                               | FANNIE MAE FNR 2004 63 FA                                 | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       155 | PA      | $152.58       | 0.00%             | 2034-08-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                       | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/35 3   | CUSIP: ACI2TFSN6<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    200000 | PA      | $233408.82    | 0.17%             | 2035-04-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                                           | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1          | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       587 | PA      | $575.63       | 0.00%             | 2030-12-15      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS PLN 2.58500 10/14/21-8Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |         1 | NC      | $-14018.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260706                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-53.09       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI GOVT                                                                   | ABU DHABI GOVT INT L SR UNSECURED 144A 04/54 5.5          | CUSIP: 29135LAU4<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |    400000 | PA      | $409212.30    | 0.30%             | 2054-04-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $4678.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                        | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7         | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   6000000 | PA      | $2037029.54   | 1.48%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $-4459.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $218.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $27.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-5680.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-4598.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL 004239 G2 09/38 FIXED 6                      | CUSIP: 36202EV89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       737 | PA      | $748.41       | 0.00%             | 2038-09-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.71500 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $4671.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $2784.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $1782.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                          | FREDDIE MAC FHR 4579 SD                                   | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     53435 | PA      | $2712.00      | 0.00%             | 2038-01-15      | Floating      | 1.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBEWA3 PIMCO SWAPTION 3.882 PUT USD 2026012            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -700000 | NC      | $-2070.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                    | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1574099 | PA      | $1434815.72   | 1.04%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 4.75     | CUSIP: 80413TBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    300000 | PA      | $304240.55    | 0.22%             | 2028-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-16945.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $1816.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD INR BOUGHT USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-160.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 3.5 JUMBOS                              | CUSIP: 21H032621<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    500000 | PA      | $455038.75    | 0.33%             | 2056-02-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-13493.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                      | FRANCE (GOVT OF) BONDS 144A REGS 06/49 3                  | CUSIP: ACI2MHL63<br>LEI: 969500KCGF3SUYJHPV70 | Short            | DBT              | NUSS              | FR        |   -800000 | PA      | $-762544.97   | -0.55%            | 2049-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $3082.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -116000 | NC      | $-38.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RXM4 PIMCO FXVAN PUT USD BRL 5.40000000              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    300000 | NC      | $1785.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2011-RR4                                                          | BCAP LLC TRUST BCAP 2011 RR4 7A1 144A                     | CUSIP: 05533XAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    280313 | PA      | $154374.73    | 0.11%             | 2037-04-26      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $86.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS KRW 2.75000 03/18/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |         1 | NC      | $-791.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT SGD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $926.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $1354.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICAN T BILLS BILLS 06/26 0.00000                 | CUSIP: ACI30CS02<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   1200000 | PA      | $70431.16     | 0.05%             | 2026-06-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                            | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2D              | CUSIP: 61749NAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1638839 | PA      | $826271.13    | 0.60%             | 2036-08-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CAD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-5844.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QATARENERGY                                                                      | QATAR ENERGY SR UNSECURED 144A 07/31 2.25                 | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |    200000 | PA      | $180266.00    | 0.13%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-0.40        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $3947.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | CAN 5YR BOND FUT  MAR26 XMOD 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |       -11 | NC      | $5995.08      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $654.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                            | WELLS FARGO + COMPANY SR UNSECURED 01/35 VAR              | CUSIP: 95000U3K7<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    300000 | PA      | $313183.96    | 0.23%             | 2035-01-23      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR EUR ESTRON/1.92272 03/10/25-5Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-24616.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/18/24-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-9628.34     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A1            | CUSIP: 86359BGF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1228 | PA      | $1190.02      | 0.00%             | 2034-02-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $1292.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $104.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $190.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $115.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-48                                                               | FANNIE MAE FNR 2006 48 TF                                 | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4192 | PA      | $4160.88      | 0.00%             | 2036-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/1.69500 06/30/22-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-129587.63   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| OBX TRUST 2018-1                                                                 | ONSLOW BAY FINANCIAL LLC OBX 2018 1 A2 144A               | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     47127 | PA      | $46252.00     | 0.03%             | 2057-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1251.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-7                               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 7 6A            | CUSIP: 07384MYW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       804 | PA      | $781.49       | 0.00%             | 2033-10-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                        | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5      | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    800000 | PA      | $815872.00    | 0.59%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOUTH KOREA GOVT AS BP MYC                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-3607.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2003-1                                                   | GSR MORTGAGE LOAN TRUST GSR 2003 1 A2                     | CUSIP: 36229RJJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       538 | PA      | $541.42       | 0.00%             | 2033-03-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| LCM 30 LTD                                                                       | LCM LTD PARTNERSHIP LCM 30A AR 144A                       | CUSIP: 50200YAQ1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    160744 | PA      | $160851.82    | 0.12%             | 2031-04-20      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-63                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 63 3A1          | CUSIP: 12668AXF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64560 | PA      | $60431.93     | 0.04%             | 2035-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL MA5546 FN 11/54 FIXED 6.5                       | CUSIP: 31418FEU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     90930 | PA      | $94520.42     | 0.07%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/3.75000 03/18/26-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $41049.86     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CZK SOLD USD 20260313                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |         1 | NC      | $1293.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KZT BOUGHT USD 20260604                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-94.63       | -0.00%            |  |  |  | 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        |     87896 | PA      | $39358.10     | 0.03%             | 2036-06-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT THB SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $2.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | AUST 3YR BOND FUT MAR26 XSFE 20260316                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         7 | NC      | $146.36       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| PERU GOVT                                                                        | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15             | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    100000 | PA      | $32106.16     | 0.02%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12        | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     32788 | PA      | $9827.74      | 0.01%             | 2037-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A         | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       843 | PA      | $847.23       | 0.00%             | 2045-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1         | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    137212 | PA      | $115246.47    | 0.08%             | 2036-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                             | JYSKE REALKREDIT A/S COVERED REGS 10/50 1                 | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |         4 | PA      | $0.48         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $4705.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | OIS CAD CAONREPO/3.2500 06/21/23-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         1 | NC      | $34373.85     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-3305.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.93000 06/25/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $10275.26     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                      | FRANCE (GOVT OF) BONDS 144A REGS 02/30 2.75               | CUSIP: ACI2NSRJ4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   4300000 | PA      | $5066953.49   | 3.68%             | 2030-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR1                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR1 A            | CUSIP: 92922FLD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4145 | PA      | $4213.16      | 0.00%             | 2034-03-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-41071.15    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-1595.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.75000 12/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $20876.44     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT BRL SOLD USD 20260303                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-9795.68     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EUR SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $80423.86     | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260320                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1726.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $4324.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                                | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/37 3.75     | CUSIP: ACI2V6MH2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    100000 | PA      | $115644.38    | 0.08%             | 2037-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $283.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2133.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TRY SOLD USD 20260323                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $1260.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.99801 02/13/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $5758.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                             | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581          | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   1400000 | PA      | $1480372.10   | 1.08%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL BF0334 FN 01/59 FIXED 3.5                       | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    248870 | PA      | $227220.95    | 0.17%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA UNSECURED 144A 04/33 2                            | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $95643.65     | 0.07%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                                     | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/30 4.5      | CUSIP: 00402AAA9<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |    200000 | PA      | $201762.77    | 0.15%             | 2030-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                                | SOUTH AFRICA TREASURY BILL SOUTH AFRICAN T BILLS 7.775  2 | CUSIP: ACI2YZPV1<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   4300000 | PA      | $250869.25    | 0.18%             | 2026-07-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT EGP SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |         1 | NC      | $3340.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GCAT 2023-NQM4 TRUST                                                             | GCAT GCAT 2023 NQM4 A1 144A                               | CUSIP: 36171FAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    497326 | PA      | $475771.34    | 0.35%             | 2067-05-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.70000 03/31/26-9Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3856.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR GBP SONIO/4.00000 03/17/26-2Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $186611.94    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                                                 | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1                | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       628 | PA      | $612.88       | 0.00%             | 2035-02-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | AUST 10Y BOND FUT MAR26 XSFE 20260316                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |      -117 | NC      | $-14514.29    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL DB0770 FN 03/54 FIXED 6                         | CUSIP: 3140A92C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1170490 | PA      | $1205314.93   | 0.88%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD KZT BOUGHT USD 20260303                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $-60.48       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS NZD 3.50000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |         1 | NC      | $34596.57     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $448.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                                  | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1                | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     37249 | PA      | $28299.79     | 0.02%             | 2035-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.80611 03/03/25-30Y* LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $13106.79     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A           | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       674 | PA      | $660.84       | 0.00%             | 2042-08-25      | Floating      | 5.43%                 | No            |                  2 | 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        |     37375 | PA      | $14993.54     | 0.01%             | 2037-04-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT KZT SOLD USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |         1 | NC      | $889.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                             | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5                | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    534680 | PA      | $68581.78     | 0.05%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $20904.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-4947.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE BACKED SEC 2007-1                                         | MERRILL LYNCH MORTGAGE BACKED MLMBS 2007 1 2A1            | CUSIP: 59024NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2541 | PA      | $2190.81      | 0.00%             | 2037-04-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $400.86       | 0.00%             |  |  |  | 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        |     43285 | PA      | $3687.15      | 0.00%             | 2036-03-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $7067.24      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UB8QA3 PIMCO SWAPTION 3.798 PUT USD 2026010            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-746.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $1584.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-2                                             | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 2 23A           | CUSIP: 07384MN57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1426 | PA      | $1300.12      | 0.00%             | 2034-05-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-25989.77    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SI2117 FR 01/54 FIXED 6.5               | CUSIP: 3133USK67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    774996 | PA      | $805581.15    | 0.59%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD GBP BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-79575.48    | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ILS SOLD USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $706.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | 317UBC0A2 PIMCO SWAPTION 3.919 PUT USD 2026011            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -500000 | NC      | $-245.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2023-NQM3 TRUST                                                             | PRESTON RIDGE PARTNERS MORTGAG PRPM 2023 NQM3 A1 144A     | CUSIP: 69380TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    322310 | PA      | $325685.19    | 0.24%             | 2068-11-25      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                             | GNMA II TBA 30 YR 2.5 JUMBOS                              | CUSIP: 21H022622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    600000 | PA      | $517523.44    | 0.38%             | 2056-02-19      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA ROMANIA                                           | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $120222.96    | 0.09%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                              | BANCA MONTE DEI PASCHI S COVERED REGS 10/27 0.875         | CUSIP: ACI1FY8R5<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    300000 | PA      | $349232.76    | 0.25%             | 2027-10-08      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| GCAT TRUST 2022-INV2                                                             | GCAT GCAT 2022 INV2 A5 144A                               | CUSIP: 36168FAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    315032 | PA      | $276476.62    | 0.20%             | 2052-04-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                                            | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2          | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       770 | PA      | $738.37       | 0.00%             | 2034-03-19      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | CCS USD R USSOFR/JPYMUTKCALM-42.5 GLM                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |         1 | NC      | $4917.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AO7562 FN 10/42 FIXED 3                         | CUSIP: 3138LYML8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3294 | PA      | $3048.58      | 0.00%             | 2042-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT DKK SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $1676.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                                | HSBC HOLDINGS PLC SR UNSECURED REGS 03/32 VAR             | CUSIP: ACI2DH0D1<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $250470.47    | 0.18%             | 2032-03-10      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    745000 | NC      | $414.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MYR SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |         1 | NC      | $1687.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260210                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $-38.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-7486.72     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE                                       | TERWIN MORTGAGE TRUST TMTS 2003 6HE A1                    | CUSIP: 881561CE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      7481 | PA      | $6895.55      | 0.01%             | 2033-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                     | ROMANIA SR UNSECURED 144A 05/37 5.625                     | CUSIP: ACI2P7GW1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    100000 | PA      | $114524.41    | 0.08%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | EURO-BUND FUTURE  MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -54 | NC      | $111453.80    | 0.08%             |  |  |  | No            |                  1 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-8                                             | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 5A1            | CUSIP: 22541NX20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        68 | PA      | $69.97        | 0.00%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ZAR BOUGHT USD 20260422                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-4729.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | RFR USD SOFR/3.98104 09/01/23-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $29711.79     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |         1 | NC      | $2626.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHILIP MORRIS INTERNATIONAL INC                                                  | PHILIP MORRIS INTL INC PHILIP MORRIS INTL INC             | CUSIP: 718172DH9<br>LEI: HL3H1H2BGXWVG3BSWR90 | Long             | DBT              | CORP              | US        |    150000 | PA      | $155516.35    | 0.11%             | 2031-02-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| KREDITANSTALT FUER WIEDERAUFBAU (KFW)                                            | KFW GOVT GUARANT REGS 12/27 0.0000                        | CUSIP: BM99XKII4<br>LEI: 549300GDPG70E3MBBU98 | Long             | DBT              | CORP              | DE        |   1200000 | PA      | $1351489.39   | 0.98%             | 2027-12-15      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-3553.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                      | CANADIAN GOVERNMENT BONDS 06/34 3                         | CUSIP: 135087R48<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |   1500000 | PA      | $1068195.71   | 0.78%             | 2034-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL CA6106 FN 06/50 FIXED 4                         | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     95319 | PA      | $91472.67     | 0.07%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT TWD SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-489.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT RON SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |         1 | NC      | $-1822.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                          | GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25           | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    150000 | PA      | $147320.67    | 0.11%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260330                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $197.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL SD8439 FR 06/54 FIXED 6                 | CUSIP: 3132DWLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34692 | PA      | $35640.53     | 0.03%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2021-INV1                                                         | PMT LOAN TRUST 2021 INV1 PMTLT 2021 INV1 A3 144A          | CUSIP: 69359YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    295936 | PA      | $247888.56    | 0.18%             | 2051-07-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260223                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $8056.30      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $2068.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CONSECO FINANCE SECUR CORP 2001-1                                                | CONSECO FINANCE SECURITIZATION CNF 2001 1 A5              | CUSIP: 20846QGC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    169537 | PA      | $172483.00    | 0.13%             | 2031-07-01      | Variable      | 7.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                             | FNMA POOL AS0203 FN 08/43 FIXED 3                         | CUSIP: 3138W9GM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8711 | PA      | $8052.44      | 0.01%             | 2043-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                            | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5               | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     34386 | PA      | $33032.42     | 0.02%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260324                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1383.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-4186.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-4486.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | IRS EUR 0.06350 11/17/22-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $69042.60     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT GBP SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $1094.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-6450.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT CNY SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $99.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                      | STATE OF ISRAEL SR UNSECURED 03/34 5.5                    | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    200000 | PA      | $207451.28    | 0.15%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $652.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $243.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                              | BOUGHT MXN SOLD USD 20260309                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $3105.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer