# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007177
**Filing Date:** 2026-5
**Character Count:** 123816
**Document Hash:** 7c35f230d281a41e6c3ac1eafcabef6f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007177.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007177

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO FUNDS
- **CENTRAL INDEX KEY:** 0000810893

**ORGANIZATION NAME:**
- **EIN:** 952632339
- **STATE OF INCORPORATION:** MA
- **FISCAL YEAR END:** 0331

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043331

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 949-720-6000

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

## Series and Classes Contracts Data

### PIMCO Long-Term U.S. Government Fund (Series ID: S000009690)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026570 | Institutional | PGOVX           |
| C000026572 | A             | PFGAX           |
| C000026574 | C             | PFGCX           |
| C000064142 | I-2           | PLTPX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PIMCO Funds

- **b. Investment Company Act file number:** 811-05028

- **c. CIK number of Registrant:** 0000810893

- **d. LEI of Registrant:** 5493003B5Y5GR0Y25Y76

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO Long-Term U.S. Government Fund

- **b. EDGAR series identifier (if any):** S000009690

- **c. LEI of Series:** HSAHZUJT0Z4FBUGY5S47

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

- **a. Date of fiscal year-end:** 2026-03-31

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $1689810382.56

**Total Liabilities:** $960067292.25

**Net Assets:** $729743090.31

**Cash Not Reported:** $4982703.76

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 15604.999200 | **1-Year:** 21715.041500 | **5-Year:** 70343.622400 | **10-Year:** 18318.351500 | **30-Year:** 197.368500

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

- **3-Month:** 5.684300 | **1-Year:** 583.324300 | **5-Year:** 860.138200 | **10-Year:** 28.056400 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026572 | 0.06%                | 4.00%                | -4.23%               |
| Class ID C000026574 | -0.00%               | 3.94%                | -4.29%               |
| Class ID C000064142 | 0.08%                | 4.02%                | -4.21%               |
| Class ID C000026570 | 0.09%                | 4.03%                | -4.20%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-604655.79              | $-3687628.44                               |
| Month 2  | $448108.26               | $42597813.67                               |
| Month 3  | $-896256.66              | $-50081970.97                              |

**Designated Index Information**

- **Index Name:** Bloomberg US Long Treasury Total Return Unhedged Index

- **Index Identifier:** LUTLTRUU

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| SEQUOIA MORTGAGE TRUST 5                                                | SEQUOIA MORTGAGE TRUST SEMT 5 A                       | CUSIP: 81743WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1532 | PA      | $1525.75       | 0.00%             | 2026-10-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2469                                                        | FREDDIE MAC FHR 2469 FV                               | CUSIP: 31392RDQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2495 | PA      | $2495.01       | 0.00%             | 2030-06-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO DEUTSCHE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -1091250 | PA      | $-1092047.83   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/30 4.125                           | CUSIP: 91282CHW4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6200000 | PA      | $6248679.67    | 0.86%             | 2030-08-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/42 4                               | CUSIP: 912810TM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   65000000 | PA      | $58836425.70   | 8.06%             | 2042-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.75000 10/23/23-30Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2317622.98    | 0.32%             |  |  |  | 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        |       8841 | PA      | $4096.04       | 0.00%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.77500 03/03/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17309.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.23200 09/10/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $62347.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2026-B                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2026 B A1A 144A    | CUSIP: 78451PAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2200000 | PA      | $2202654.52    | 0.30%             | 2056-03-15      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/41 4.375                           | CUSIP: 912810QQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   29580000 | PA      | $28499636.64   | 3.91%             | 2041-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 885414 FN 06/36 FIXED 6.5                   | CUSIP: 31410CVF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        871 | PA      | $921.71        | 0.00%             | 2036-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REPU STATE STREET GLOBAL MARKE USD REPU SSB T         | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        | -273533239 | PA      | $-273533239.00 | -37.48%           |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-59                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 59 1A1           | CUSIP: 31394PPQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      24459 | PA      | $24925.48      | 0.00%             | 2043-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1997-55                                                      | FANNIE MAE FNR 1997 55 Z                              | CUSIP: 31359QCR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        235 | PA      | $234.65        | 0.00%             | 2027-05-18      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BANK OF AMERICA REVERSE REPO             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -8041875 | PA      | $-8071350.70   | -1.11%            |  |  |  | No            |                  2 | On Loan: No      |
| BBCMS MORTGAGE TRUST 2025-5C37                                          | BARCLAYS COMMERCIAL MORTGAGE S BBCMS 2025 5C37 A3     | CUSIP: 05494NAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1822639.50    | 0.25%             | 2058-09-15      | Fixed         | 5.01%                 | 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        |    5800000 | PA      | $5419828.10    | 0.74%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/46 2.5                             | CUSIP: 912810RS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2028000 | PA      | $1393933.13    | 0.19%             | 2046-05-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-118                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 118 PZ        | CUSIP: 38379EGM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2290770 | PA      | $2177041.89    | 0.30%             | 2044-08-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008865 G2 05/26 FLOATING VAR             | CUSIP: 36202KZ65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         17 | PA      | $17.34         | 0.00%             | 2026-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 878140 FN 07/36 FIXED 6.5                   | CUSIP: 31409TS58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1044 | PA      | $1079.74       | 0.00%             | 2036-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.43091 09/03/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $24835.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US LONG BOND(CBT) JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -900 | NC      | $3387655.49    | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/42 3.25                            | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22800000 | PA      | $18793078.07   | 2.58%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE               | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26363905 | PA      | $26835362.28   | 3.68%             | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-14                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 14 2A1      | CUSIP: 12667GCB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     115760 | PA      | $112952.28     | 0.02%             | 2035-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| BANK-2018-BN11                                                          | BANK BANK 2018 BN11 A3                                | CUSIP: 06540TAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     800000 | PA      | $792691.68     | 0.11%             | 2061-03-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080152 G2 01/28 FLOATING VAR             | CUSIP: 36225CE28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2032 | PA      | $2028.95       | 0.00%             | 2028-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR ULTRA FUT JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -1487 | NC      | $3889809.10    | 0.53%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS7                                     | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS7 A1       | CUSIP: 748940AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     246586 | PA      | $196866.10     | 0.03%             | 2036-06-25      | Fixed         | 6.00%                 | 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        |     579022 | PA      | $535446.56     | 0.07%             | 2044-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 901457 FN 10/36 FIXED 6.5                   | CUSIP: 31410YQJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2448 | PA      | $2534.11       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F032641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     700000 | PA      | $641814.89     | 0.09%             | 2056-04-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE               | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19300000 | PA      | $18214529.79   | 2.50%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 03/29 2.375                           | CUSIP: 91282CEE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   24500000 | PA      | $23500380.89   | 3.22%             | 2029-03-31      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.00000 06/17/26-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $103164.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/47 2.75                            | CUSIP: 912810RY6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     150000 | PA      | $106189.45     | 0.01%             | 2047-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO THE BANK OF NOVA REVERSE REPO            | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -85883150 | PA      | $-86116990.73  | -11.80%           |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/46 4.625                           | CUSIP: 912810UT3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8100000 | PA      | $7809539.02    | 1.07%             | 2046-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.84200 03/04/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-18234.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ROYAL BANK OF CANADA NY BRANCH REVERSE REPO USD       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -45312500 | PA      | $-45568742.19  | -6.24%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/51 2.375                           | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2400000 | PA      | $1502015.62    | 0.21%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -100000 | PA      | $-84050.78     | -0.01%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008971 G2 09/26 FLOATING VAR             | CUSIP: 36202K6G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         24 | PA      | $24.23         | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6000000 | NC      | $-31342.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.9914* 06/02/25-28Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-163328.30    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-4                                 | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 4 1A2        | CUSIP: 86363LAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     328435 | PA      | $309199.75     | 0.04%             | 2037-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.27750 09/16/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $45013.03      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90750 03/04/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3558.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.53200 08/20/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $23534.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2014-131                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2014 131 EZ        | CUSIP: 38379E2Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3533183 | PA      | $3309003.87    | 0.45%             | 2044-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 09/29 3.875                           | CUSIP: 91282CFL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   53200000 | PA      | $53213508.01   | 7.29%             | 2029-09-30      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.60500 08/28/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4680.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2026-INV2                                        | SEQUOIA MORTGAGE TRUST SEMT 2026 INV2 A26F 144A       | CUSIP: 81750PBB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2200000 | PA      | $2205421.02    | 0.30%             | 2056-04-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 826082 FN 07/35 FLOATING VAR                | CUSIP: 31407BXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5809 | PA      | $5914.19       | 0.00%             | 2035-07-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/43 3.875                           | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33100000 | PA      | $29421503.99   | 4.03%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 06/17/26-7Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $171374.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BENCHMARK 2024-V6 MORTGAGE TRUST                                        | BENCHMARK MORTGAGE TRUST BMARK 2024 V6 A3             | CUSIP: 081927AB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $2065226.00    | 0.28%             | 2057-03-15      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4700000 | NC      | $-13081.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2000-34                                                      | FANNIE MAE FNR 2000 34 F                              | CUSIP: 31358SSV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        480 | PA      | $479.87        | 0.00%             | 2030-10-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO DEUTSCHE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |     -73750 | PA      | $-73796.47     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VESSEL MANAGEMENT SERVICES INC                                          | VESSEL MANAGEMENT SERVIC US GOVT GUAR 08/36 3.432     | CUSIP: 228027AA6<br>LEI: 549300FGG4OD84UNFA43 | Long             | DBT              | CORP              | US        |    2886000 | PA      | $2626732.50    | 0.36%             | 2036-08-15      | Fixed         | 3.43%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 06/30 3.75                            | CUSIP: 91282CHJ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6600000 | PA      | $6558621.10    | 0.90%             | 2030-06-30      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 4.5 JUMBOS                          | CUSIP: 21H042653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2412506.80    | 0.33%             | 2056-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080059 G2 04/27 FLOATING VAR             | CUSIP: 36225CB54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         90 | PA      | $89.40         | 0.00%             | 2027-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 4 JUMBOS                            | CUSIP: 21H040640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8000000 | PA      | $7495109.60    | 1.03%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4745                                                 | FREDDIE MAC FHR 4745 CZ                               | CUSIP: 3137FDBN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10969111 | PA      | $10147711.26   | 1.39%             | 2048-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/50 2                               | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     310000 | PA      | $180550.78     | 0.02%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                             | PIMCO PRV SHORT TERM FLT III MUTUAL FUND              | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |       7719 | PA      | $75172.31      | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 07/21/21-10Y LCH              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $840073.38     | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/34 1.875                           | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1036430 | PA      | $1041919.08    | 0.14%             | 2034-07-15      | Fixed         | 1.88%                 | 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        |    5100000 | PA      | $5081671.88    | 0.70%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080054 G2 03/27 FLOATING VAR             | CUSIP: 36225CBY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        894 | PA      | $893.29        | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2003-1                       | BEAR STEARNS ASSET BACKED SECU BSABS 2003 1 A1        | CUSIP: 07384YGX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66212 | PA      | $66221.29      | 0.01%             | 2042-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2059                                                        | FREDDIE MAC FHR 2059 C                                | CUSIP: 3133TDV94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3422 | PA      | $3467.78       | 0.00%             | 2028-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/41 2                               | CUSIP: 912810TC2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45200000 | PA      | $31274515.51   | 4.29%             | 2041-11-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/53 3.625                           | CUSIP: 912810TR9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19400000 | PA      | $15560164.01   | 2.13%             | 2053-05-15      | Fixed         | 3.62%                 | 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        |      50711 | PA      | $42569.14      | 0.01%             | 2036-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| BENCHMARK MORTGAGE TRUST 2019-B9                                        | BENCHMARK MORTGAGE TRUST BMARK 2019 B9 A5             | CUSIP: 08160JAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3700000 | PA      | $3621012.40    | 0.50%             | 2052-03-15      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/55 4.75                            | CUSIP: 912810UM8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3200000 | PA      | $3119000.00    | 0.43%             | 2055-08-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE             | CUSIP: 01F052664<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     700000 | PA      | $701610.85     | 0.10%             | 2056-06-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                                 | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 3A1       | CUSIP: 07384MTK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2168 | PA      | $2202.41       | 0.00%             | 2033-04-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2003-AR1                                   | STRUCTURED ASSET MORTGAGE INVE SAMI 2003 AR1 A3       | CUSIP: 86358HRX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      28747 | PA      | $26866.13      | 0.00%             | 2033-10-19      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080000 G2 10/26 FLOATING VAR             | CUSIP: 36225CAA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        172 | PA      | $171.91        | 0.00%             | 2026-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/40 1.125                           | CUSIP: 912810SQ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   99760000 | PA      | $62225300.00   | 8.53%             | 2040-08-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2551                                                        | FREDDIE MAC FHR 2551 FD                               | CUSIP: 31393JAZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7996 | PA      | $7973.88       | 0.00%             | 2033-01-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4047                                                 | FREDDIE MAC FHR 4047 KB                               | CUSIP: 3137AQRS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5490399 | PA      | $4894333.83    | 0.67%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2477                                                        | FREDDIE MAC FHR 2477 FZ                               | CUSIP: 31392PU94<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2782 | PA      | $2784.73       | 0.00%             | 2031-06-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| ECMC GROUP STUDENT LOAN TRUST 2018-1A                                   | ECMC GROUP STUDENT LOAN TRUST ECMC 2018 1A A 144A     | CUSIP: 26828HAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     387010 | PA      | $385127.85     | 0.05%             | 2068-02-27      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/43 3.625                           | CUSIP: 912810RC4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15300000 | PA      | $13071339.88   | 1.79%             | 2043-08-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 5YR NOTE (CBT) JUN26 XCBT 20260630                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      -1540 | NC      | $1416226.30    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| BMO 2023-5C2 MORTGAGE TRUST                                             | BMO MORTGAGE TRUST BMO 2023 5C2 A3                    | CUSIP: 05610QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1800000 | PA      | $1899167.76    | 0.26%             | 2056-11-15      | Variable      | 7.05%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                                 | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1       | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        533 | PA      | $505.77        | 0.00%             | 2032-09-19      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.87400 03/05/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3641.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/51 1.875                           | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19100000 | PA      | $10609453.13   | 1.45%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/27 2.625                           | CUSIP: 91282CET4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2200000 | PA      | $2170566.40    | 0.30%             | 2027-05-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3001                                                        | FREDDIE MAC FHR 3001 YZ                               | CUSIP: 31395WBB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59179 | PA      | $58549.83      | 0.01%             | 2035-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.69387 03/01/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $50368.46      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90500 03/12/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7511.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 624085 FN 01/32 FIXED 6.5                   | CUSIP: 31389FJ60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1573 | PA      | $1627.40       | 0.00%             | 2032-01-01      | Fixed         | 6.50%                 | 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        |      68497 | PA      | $23764.92      | 0.00%             | 2036-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.66213 03/01/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $77094.58      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 560837 FN 10/30 FIXED 9                     | CUSIP: 31386EBE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        215 | PA      | $219.15        | 0.00%             | 2030-10-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008989 G2 10/26 FLOATING VAR             | CUSIP: 36202K7A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         15 | PA      | $14.57         | 0.00%             | 2026-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2990                                                        | FREDDIE MAC FHR 2990 LT                               | CUSIP: 31395V3N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6332107 | PA      | $6490472.86    | 0.89%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/47 2.75                            | CUSIP: 912810RZ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   22600000 | PA      | $15948007.76   | 2.19%             | 2047-11-15      | Fixed         | 2.75%                 | 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        |  111700000 | PA      | $87566691.13   | 12.00%            | 2048-11-15      | Fixed         | 3.38%                 | 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        |    3040000 | PA      | $3030737.48    | 0.42%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.36832 09/03/24-25Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $224994.69     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2005-6                                                     | IMPAC CMB TRUST IMM 2005 6 1A1                        | CUSIP: 45254NQG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     576733 | PA      | $539674.53     | 0.07%             | 2035-10-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/47 3                               | CUSIP: 912810RV2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11100000 | PA      | $8273835.88    | 1.13%             | 2047-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 313968 FN 12/27 FLOATING VAR                | CUSIP: 31374GW52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3749 | PA      | $3778.86       | 0.00%             | 2027-12-01      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO JPM CHASE                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5176500 | PA      | $-5188935.10   | -0.71%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                             | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A1    | CUSIP: 92922F5T1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8881 | PA      | $8423.03       | 0.00%             | 2045-11-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/43 3.125                           | CUSIP: 912810QZ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   59600000 | PA      | $47740530.95   | 6.54%             | 2043-02-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2585                                                        | FREDDIE MAC FHR 2585 FD                               | CUSIP: 31393MH61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3780 | PA      | $3776.68       | 0.00%             | 2032-12-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BANK OF AMERICA REVERSE REPO             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -43875000 | PA      | $-43875000.00  | -6.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/30 3.75                            | CUSIP: 91282CHF1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3900000 | PA      | $3876843.75    | 0.53%             | 2030-05-31      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO CREDIT AGRICOLE 03/14 VAR                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7090875 | PA      | $-7091615.60   | -0.97%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BANK OF AMERICA REVERSE REPO             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -13419000 | PA      | $-13421795.63  | -1.84%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.30000 12/02/24-29Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $620255.94     | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/28 1.5                             | CUSIP: 91282CDL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20700000 | PA      | $19494790.94   | 2.67%             | 2028-11-30      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 616624 G2 09/34 FIXED 6.5                | CUSIP: 36290TAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2886 | PA      | $2983.48       | 0.00%             | 2034-09-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2003-4                                           | SEQUOIA MORTGAGE TRUST SEMT 2003 4 2A1                | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40303 | PA      | $40563.00      | 0.01%             | 2033-07-20      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 616571 G2 08/34 FIXED 6.5                | CUSIP: 36290S6G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        307 | PA      | $317.41        | 0.00%             | 2034-08-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RESOLUTION FUNDING CORP                                                 | RESOLUTION FUNDING STRIP BONDS 10/28 0.00000          | CUSIP: 76116EHL7<br>LEI: N/A                  | Long             | DBT              | USGSE             | US        |    6371000 | PA      | $5781849.61    | 0.79%             | 2028-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.59900 08/28/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $19282.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                             | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1               | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         47 | PA      | $48.24         | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.64300 08/28/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5054.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4376                                                 | FREDDIE MAC FHR 4376 KZ                               | CUSIP: 3137BCU48<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5015227 | PA      | $4836949.67    | 0.66%             | 2042-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV INC 2004-WMC5                                | MERRILL LYNCH MORTGAGE INVESTO MLMI 2004 WMC5 M1      | CUSIP: 59020UMF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     356788 | PA      | $360150.02     | 0.05%             | 2035-07-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2927                                                        | FREDDIE MAC FHR 2927 YZ                               | CUSIP: 31395MLM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     209329 | PA      | $208513.26     | 0.03%             | 2035-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.28000 09/16/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $48871.39      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/27 4.125                           | CUSIP: 91282CLX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     200000 | PA      | $200882.81     | 0.03%             | 2027-11-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.85400 12/29/23-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-8084.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES2                                     | TOWD POINT MORTGAGE TRUST TPMT 2025 CES2 A1 144A      | CUSIP: 89183KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1151705 | PA      | $1152592.39    | 0.16%             | 2065-07-25      | Variable      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO DEUTSCHE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5850750 | PA      | $-5851359.45   | -0.80%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/42 2.375                           | CUSIP: 912810TF5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   28000000 | PA      | $20414843.68   | 2.80%             | 2042-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A      | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     274957 | PA      | $255965.04     | 0.04%             | 2046-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR6                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR6 A        | CUSIP: 929227QB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3213 | PA      | $3053.72       | 0.00%             | 2042-06-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  MAR27 XCME 20270615                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        214 | NC      | $-285452.46    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/34 1.75                            | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20419014 | PA      | $20340588.86   | 2.79%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/41 4.75                            | CUSIP: 912810QN1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10750000 | PA      | $10812988.34   | 1.48%             | 2041-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/45 4.75                            | CUSIP: 912810UJ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   18500000 | PA      | $18182753.86   | 2.49%             | 2045-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008959 G2 08/26 FLOATING VAR             | CUSIP: 36202K5U5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         51 | PA      | $51.32         | 0.00%             | 2026-08-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 10/30 4.875                           | CUSIP: 91282CJG7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2700000 | PA      | $2805521.48    | 0.38%             | 2030-10-31      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.46382 09/03/24-25Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $451926.38     | 0.06%             |  |  |  | No            |                  2 | 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        |        202 | PA      | $208.93        | 0.00%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.24000 09/16/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $21920.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/49 3                               | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   64143800 | PA      | $46867569.33   | 6.42%             | 2049-02-15      | Fixed         | 3.00%                 | 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        |     401612 | PA      | $362816.68     | 0.05%             | 2035-10-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7600000 | PA      | $7496343.75    | 1.03%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-24228.32     | -0.00%            |  |  |  | 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        |     526172 | PA      | $505798.52     | 0.07%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080133 G2 11/27 FLOATING VAR             | CUSIP: 36225CEF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2947 | PA      | $2964.62       | 0.00%             | 2027-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.55100 09/17/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17561.17      | 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        |   55590000 | PA      | $34589574.47   | 4.74%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ATRIUM HOTEL PORTFOLIO TRUST 2017-ATRM                                  | ATRIUM HOTEL PORTFOLIO TRUST AHPT 2017 ATRM A 144A    | CUSIP: 04965JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     578015 | PA      | $571007.05     | 0.08%             | 2036-12-15      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 09/30 4.625                           | CUSIP: 91282CHZ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2700000 | PA      | $2777097.66    | 0.38%             | 2030-09-30      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/52 2.25                            | CUSIP: 912810TD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4500000 | PA      | $2713447.26    | 0.37%             | 2052-02-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO JPM CHASE                                | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -7857000 | PA      | $-7858636.88   | -1.08%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC MILITARY HOUSING BONDS RESEC TRUST 2015-R1                  | FREDDIE MAC MILITARY HOUSING B FMMHR 2015 R1 A2 144A  | CUSIP: 35563CAJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6259955 | PA      | $5374120.87    | 0.74%             | 2052-10-25      | Variable      | 4.30%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                        | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A5            | CUSIP: 46630GAV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19220 | PA      | $19264.94      | 0.00%             | 2035-07-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/44 4.625                           | CUSIP: 912810UF3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10500000 | PA      | $10162441.38   | 1.39%             | 2044-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| WORLDWIDE PLAZA TRUST 2017-WWP                                          | WORLDWIDE PLAZA TRUST WPT 2017 WWP A 144A             | CUSIP: 98162JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1278960.16    | 0.18%             | 2036-11-10      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.69116 03/01/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $52650.43      | 0.01%             |  |  |  | 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        |      75976 | PA      | $73713.43      | 0.01%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-66                                               | FANNIE MAE FNR 2014 66 QZ                             | CUSIP: 3136ALFG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2306453 | PA      | $2206742.79    | 0.30%             | 2044-10-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO DEUTSCHE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3766000 | PA      | $-3771099.79   | -0.52%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 505597 FN 04/28 FLOATING VAR                | CUSIP: 31383KUW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        639 | PA      | $640.80        | 0.00%             | 2028-04-01      | Floating      | 6.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US ULTRA BOND CBT JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -519 | NC      | $2181825.65    | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 775852 FN 03/44 FLOATING VAR                | CUSIP: 31404Q5M7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      37912 | PA      | $38368.51      | 0.01%             | 2044-03-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 786067 FH 01/28 FLOATING VAR        | CUSIP: 31348SW42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2190 | PA      | $2193.90       | 0.00%             | 2028-01-01      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL A38713 FG 01/35 FIXED 6.5           | CUSIP: 31297UVE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        733 | PA      | $759.18        | 0.00%             | 2035-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008850 G2 04/26 FLOATING VAR             | CUSIP: 36202KZP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         13 | PA      | $12.76         | 0.00%             | 2026-04-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/43 3.875                           | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60400000 | PA      | $53550734.22   | 7.34%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/0.7* 03/30/21-10Y LCH              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1374148.01    | 0.19%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.63761 03/01/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9842.06       | 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        |     150000 | PA      | $110654.30     | 0.02%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL 786064 FH 01/28 FLOATING VAR        | CUSIP: 31348SWZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1440 | PA      | $1442.89       | 0.00%             | 2028-01-01      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.97500 03/31/26-28Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $80986.15      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008988 G2 10/26 FLOATING VAR             | CUSIP: 36202K6Z3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         42 | PA      | $41.61         | 0.00%             | 2026-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.67875 03/01/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $118529.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.71500 08/07/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5699.23       | 0.00%             |  |  |  | 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        |     151582 | PA      | $79362.57      | 0.01%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A      | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     112617 | PA      | $109665.50     | 0.02%             | 2035-05-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2026-A                                        | NELNET STUDENT LOAN TRUST NSLT 2026 A A1A 144A        | CUSIP: 64032UAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2397664 | PA      | $2368610.05    | 0.32%             | 2061-02-21      | Fixed         | 4.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4790                                                        | FREDDIE MAC FHR 4790 F                                | CUSIP: 3137F5BX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1033207 | PA      | $1013414.51    | 0.14%             | 2043-10-15      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.65543 03/01/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $16949.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-33                                               | FANNIE MAE FNR 2014 33 PZ                             | CUSIP: 3136AKAL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3597433 | PA      | $3307169.44    | 0.45%             | 2044-06-25      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATL MTGE ASSOC 2003-65                                      | GOVERNMENT NATIONAL MORTGAGE A GNR 2003 65 ZA         | CUSIP: 38374BRG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     382767 | PA      | $381958.87     | 0.05%             | 2033-08-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO BANK OF MONTREAL REVERSE REPO.           | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5604000 | PA      | $-5616356.83   | -0.77%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2004-WMC3                                     | MASTR ASSET BACKED SECURITIES MABS 2004 WMC3 M1       | CUSIP: 57643LFN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     546038 | PA      | $538337.79     | 0.07%             | 2034-10-25      | Floating      | 4.62%                 | 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        |    1567034 | PA      | $1479013.36    | 0.20%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 4677                                                        | FREDDIE MAC FHR 4677 KT                               | CUSIP: 3137BXHP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1670553 | PA      | $1441398.48    | 0.20%             | 2042-12-15      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| PMT LOAN TRUST 2026-INV3                                                | PMT LOAN TRUST PMTLT 2026 INV3 A36 144A               | CUSIP: 69383WBP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1500000 | PA      | $1503709.35    | 0.21%             | 2057-02-25      | Floating      | 5.02%                 | 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        |   23211030 | PA      | $22363243.84   | 3.06%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034       | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2         | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2050300 | PA      | $1992029.60    | 0.27%             | 2054-07-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 2YR NOTE (CBT) JUN26 XCBT 20260630                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        259 | NC      | $-732.62       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/47 3                               | CUSIP: 912810RX8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   17300000 | PA      | $12862820.23   | 1.76%             | 2047-05-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/52 4                               | CUSIP: 912810TL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   51650000 | PA      | $44388736.20   | 6.08%             | 2052-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASHFORD HOSPITALITY TRUST 2018-ASHF                                     | ASHFORD HOSPITALITY TRUST AHT1 2018 ASHF A 144A       | CUSIP: 04410RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68015 | PA      | $68019.34      | 0.01%             | 2035-04-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080051 G2 03/27 FLOATING VAR             | CUSIP: 36225CBV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        389 | PA      | $388.57        | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 902150 FN 10/36 FIXED 6.5                   | CUSIP: 31411AH32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8829 | PA      | $9132.94       | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/40 1.375                           | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9060000 | PA      | $5838922.30    | 0.80%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/53 3.625                           | CUSIP: 912810TN8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   51800000 | PA      | $41585687.50   | 5.70%             | 2053-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/35 2.125                           | CUSIP: 91282CML2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1854900 | PA      | $1886823.98    | 0.26%             | 2035-01-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AS8270 FN 11/46 FIXED 2.5                   | CUSIP: 3138WJFL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      98506 | PA      | $85454.71      | 0.01%             | 2046-11-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2001-28                                                      | FANNIE MAE FNR 2001 28 PZ                             | CUSIP: 313920DM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      71143 | PA      | $72491.16      | 0.01%             | 2031-07-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR NOTE (CBT)JUN26 XCBT 20260618                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        300 | NC      | $-332163.07    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2143                                                        | FREDDIE MAC FHR 2143 FG                               | CUSIP: 3133TKM23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        426 | PA      | $425.62        | 0.00%             | 2029-04-15      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SOFR/2.39500 10/25/23-5Y CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-503555.02    | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/54 4.625                           | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4600000 | PA      | $4387250.00    | 0.60%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.08500 03/31/26-28Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $95784.61      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/45 4.625                           | CUSIP: 912810UQ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2400000 | PA      | $2315250.00    | 0.32%             | 2045-11-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 10/29 4.125                           | CUSIP: 91282CLR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500000 | PA      | $504160.16     | 0.07%             | 2029-10-31      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.60000 01/17/24-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5553.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/53 4.125                           | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13000000 | PA      | $11404453.06   | 1.56%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1                                | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1         | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      27069 | PA      | $27068.77      | 0.00%             | 2038-04-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/34 4                               | CUSIP: 91282CJZ5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   38100000 | PA      | $37588031.25   | 5.15%             | 2034-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2016-667M                 | COMM MORTGAGE TRUST COMM 2016 667M A 144A             | CUSIP: 12636GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2800000 | PA      | $2714939.92    | 0.37%             | 2036-10-10      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/52 3                               | CUSIP: 912810TJ7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60000000 | PA      | $42666796.80   | 5.85%             | 2052-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/45 5                               | CUSIP: 912810UL0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3900000 | PA      | $3951796.88    | 0.54%             | 2045-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FEDERAL FARM CREDIT BANKS (AKA: FEDERAL FARM CREDIT BANKS FUNDING CORP) | FEDERAL FARM CREDIT BANK BONDS 07/29 5.125            | CUSIP: 31331VEG7<br>LEI: 254900C5LP6DN9OP9V83 | Long             | DBT              | USGSE             | US        |     675000 | PA      | $699358.06     | 0.10%             | 2029-07-09      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO CIBC                                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -25822000 | PA      | $-25878937.52  | -3.55%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO DEUTSCHE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -3936000 | PA      | $-3947541.22   | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3612.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.61000 12/12/22-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15182.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-8A LLC                        | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 8A A 144A   | CUSIP: 05377RHM9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1700000 | PA      | $1764982.16    | 0.24%             | 2030-02-20      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080123 G2 10/27 FLOATING VAR             | CUSIP: 36225CD52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        329 | PA      | $329.24        | 0.00%             | 2027-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING LLC 2022-2A                                     | HERTZ VEHICLE FINANCING LLC HERTZ 2022 2A A 144A      | CUSIP: 42806MAN9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1200000 | PA      | $1173729.72    | 0.16%             | 2028-06-26      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   26600000 | PA      | $26202914.14   | 3.59%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-1997-38                                                      | FANNIE MAE FNR 1997 38 PH                             | CUSIP: 31359PXL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        172 | PA      | $173.11        | 0.00%             | 2027-05-17      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-30                                                      | FANNIE MAE FNR 2007 30 MZ                             | CUSIP: 31396VHC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      83844 | PA      | $83376.01      | 0.01%             | 2037-04-25      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.80000 06/03/24-7Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-185366.46    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  SEP27 XCME 20271214                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        214 | NC      | $-175422.22    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                        | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A2A 144A        | CUSIP: 89178WBB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $829266.57     | 0.11%             | 2060-01-25      | Variable      | 3.10%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/30 4.375                           | CUSIP: 91282CJM4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     400000 | PA      | $407296.88     | 0.06%             | 2030-11-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  MTGE SEC INC 1997-6                                       | BEAR STEARNS MORTGAGE SECURITI BSMSI 1997 6 3A        | CUSIP: 073914WC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         14 | PA      | $13.85         | 0.00%             | 2030-06-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TRUST 2006-NLC1                                | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 NLC1 A1 144A | CUSIP: 83611DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     124930 | PA      | $33038.49      | 0.00%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE               | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   19000000 | PA      | $19332349.14   | 2.65%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008968 G2 09/26 FLOATING VAR             | CUSIP: 36202K6D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        572 | PA      | $572.23        | 0.00%             | 2026-09-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -4700000 | NC      | $-13513.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  JUN27 XCME 20270914                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        214 | NC      | $-247469.26    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| SLAM 2025-1A LTD                                                        | SLAM LLC SLAM 2025 1A A 144A                          | CUSIP: 78450TAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     950194 | PA      | $962774.46     | 0.13%             | 2050-05-15      | Fixed         | 5.81%                 | No            |                  2 | On Loan: No      |
| HILTON USA TRUST 2016-HHV                                               | HILTON USA TRUST HILT 2016 HHV A 144A                 | CUSIP: 43300LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2130000 | PA      | $2119167.67    | 0.29%             | 2038-11-05      | Fixed         | 3.72%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-73                                                      | FANNIE MAE FNR 2007 73 A1                             | CUSIP: 31396V4Q8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      28030 | PA      | $27524.36      | 0.00%             | 2037-07-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3001                                                        | FREDDIE MAC FHR 3001 BZ                               | CUSIP: 31395W6J1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      59179 | PA      | $58549.83      | 0.01%             | 2035-07-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 03/30 3.625                           | CUSIP: 91282CGS4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3900000 | PA      | $3860314.46    | 0.53%             | 2030-03-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/52 2.875                           | CUSIP: 912810TG3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20400000 | PA      | $14152101.59   | 1.94%             | 2052-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/41 1.75                            | CUSIP: 912810TA6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   60400000 | PA      | $40400757.89   | 5.54%             | 2041-08-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE               | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15436095 | PA      | $15716957.53   | 2.15%             | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RALI SERIES 2005-QO1 TRUST                                              | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO1 A1       | CUSIP: 761118EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     125502 | PA      | $85743.68      | 0.01%             | 2035-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080408 G2 05/30 FLOATING VAR             | CUSIP: 36225CN28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17814 | PA      | $17819.27      | 0.00%             | 2030-05-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/48 3                               | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   47000000 | PA      | $34506445.43   | 4.73%             | 2048-08-15      | Fixed         | 3.00%                 | 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        |    7970000 | PA      | $8200575.69    | 1.12%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 970372 FN 02/38 FIXED 7                     | CUSIP: 31414MQZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4855 | PA      | $5101.39       | 0.00%             | 2038-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/40 1.125                           | CUSIP: 912810SR0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   10470000 | PA      | $6598962.92    | 0.90%             | 2040-05-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -6000000 | NC      | $-5355.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2002-21                                                      | FANNIE MAE FNR 2002 21 FD                             | CUSIP: 31392CRD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        476 | PA      | $477.89        | 0.00%             | 2032-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 851183 FN 04/36 FIXED 6.5                   | CUSIP: 31408GUG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2594 | PA      | $2696.70       | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 802467 FN 11/34 FLOATING VAR                | CUSIP: 31405XQU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      14373 | PA      | $14747.97      | 0.00%             | 2034-11-01      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/44 4.5                             | CUSIP: 912810TZ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13100000 | PA      | $12532248.10   | 1.72%             | 2044-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NATEXIS BANQUE REVERSE REPO              | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -66520648 | PA      | $-66618174.17  | -9.13%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 080030 G2 01/27 FLOATING VAR             | CUSIP: 36225CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        280 | PA      | $279.64        | 0.00%             | 2027-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-81656.81     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 06/29 3.25                            | CUSIP: 91282CEV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20800000 | PA      | $20425843.78   | 2.80%             | 2029-06-30      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.84200 12/26/23-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2365.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/43 4.375                           | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39300000 | PA      | $37107029.35   | 5.08%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| TENNESSEE VALLEY AUTHORITY (TVA)                                        | TENN VALLEY AUTH BONDS 05/30 0.00000                  | CUSIP: 88059FBG5<br>LEI: 549300HE1ISW43LNKM54 | Long             | DBT              | USGA              | US        |    7400000 | PA      | $6257306.87    | 0.86%             | 2030-05-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | REVERSE REPO DEUTSCHE REVERSE REPO                    | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -5321250 | PA      | $-5325708.02   | -0.73%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL 008894 G2 06/26 FLOATING VAR             | CUSIP: 36202K3B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         35 | PA      | $34.52         | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 564318 FN 11/30 FIXED 9                     | CUSIP: 31386H4B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         40 | PA      | $40.85         | 0.00%             | 2030-11-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 06/17/26-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $96734.70      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-3                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A     | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     274300 | PA      | $274445.29     | 0.04%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/44 4.625                           | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2800000 | PA      | $2716382.82    | 0.37%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2990                                                        | FREDDIE MAC FHR 2990 DZ                               | CUSIP: 31395UZZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1100356 | PA      | $1144483.76    | 0.16%             | 2035-06-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 944027 FN 08/37 FIXED 6.5                   | CUSIP: 31413FHC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        358 | PA      | $374.88        | 0.00%             | 2037-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 06/32 4                               | CUSIP: 91282CNJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26200000 | PA      | $26085375.00   | 3.57%             | 2032-06-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL 732218 FN 06/43 FLOATING VAR                | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30926 | PA      | $31243.97      | 0.00%             | 2043-06-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.89000 03/03/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6935.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.52738 09/03/24-25Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $89638.56      | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE               | CUSIP: 01F040651<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6900000 | PA      | $6506270.13    | 0.89%             | 2056-05-13      | Fixed         | 4.00%                 | 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        |       3855 | PA      | $3789.39       | 0.00%             | 2035-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2014-52                                               | FANNIE MAE FNR 2014 52 AZ                             | CUSIP: 3136AKE74<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3210908 | PA      | $3087012.31    | 0.42%             | 2044-09-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                           | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     220089 | PA      | $204904.08     | 0.03%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| INVITATION HOMES TRUST 2024-SFR1                                        | INVITATION HOMES TRUST IHSFR 2024 SFR1 A 144A         | CUSIP: 46188DAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3191996 | PA      | $3111928.13    | 0.43%             | 2041-09-17      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.00000 02/26/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1427.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/45 3                               | CUSIP: 912810RP5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     680000 | PA      | $514223.44     | 0.07%             | 2045-11-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR9                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR9 2A       | CUSIP: 93363DAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     152881 | PA      | $134795.07     | 0.02%             | 2046-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                                     | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1           | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     143542 | PA      | $140171.07     | 0.02%             | 2044-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2002-W5                                            | FANNIEMAE WHOLE LOAN FNW 2002 W5 A11                  | CUSIP: 31392DJ78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     221127 | PA      | $230063.74     | 0.03%             | 2032-06-25      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer