# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007211
**Filing Date:** 2026-5
**Character Count:** 949230
**Document Hash:** 92063ca06a520d711e4ede197d30df3c
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007211.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007211

**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:** 261043381

**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 All Asset: Multi-RAE PLUS Fund (Series ID: S000069547)

| Class ID   | Class Name                           | Ticker Symbol   |
|:---|:---|:---|
| C000221900 | PIMCO All Asset: Multi-RAE PLUS Fund |  |

## 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:** (866) 746-2606

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

- **a. Name of Series:** PIMCO All Asset: Multi-RAE PLUS Fund

- **b. EDGAR series identifier (if any):** S000069547

- **c. LEI of Series:** 549300106MVSE68XN136

**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:** $6635311640.58

**Total Liabilities:** $4929751048.43

**Net Assets:** $1705560592.15

**Cash Not Reported:** $15025184.16

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -450609.883600 | **1-Year:** 279352.130100 | **5-Year:** 482364.860400 | **10-Year:** 31999.733900 | **30-Year:** -61382.479800

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

- **3-Month:** 7172.398600 | **1-Year:** 39501.189000 | **5-Year:** 148822.355800 | **10-Year:** 31616.030200 | **30-Year:** 1.383800

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000221900 | 6.58%                | 6.08%                | -9.50%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5474156.04              | $1816791.42                                |
| Month 2  | $5287711.34              | $3339609.96                                |
| Month 3  | $-1509611.33             | $-34308075.38                              |

**Designated Index Information**

- **Index Name:** 33.33% S&P 500 Index, 33.33% MSCI Emerging Markets Index, 33.33% MSCI EAFE Net Total Return Index

- **Index Identifier:** M2EF, NDDUEAFE, SPTR

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| FNMA PASS THRU POOLS                                                      | FNMA POOL 973231 FN 10/36 FIXED 6                       | CUSIP: 31414QVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          38 | PA      | $39.23        | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-144551.35   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $6408.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $12346.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -67960000 | PA      | $-62167702.60 | -3.65%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-4                                             | GSAA HOME EQUITY TRUST GSAA 2007 4 A2                   | CUSIP: 3622EBAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1280121 | PA      | $346088.10    | 0.02%             | 2037-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-7361.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSRPM MORTGAGE LOAN TRUST 2006-1                                          | GSRPM MORTGAGE LOAN TRUST GSRPM 2006 1 M2 144A          | CUSIP: 362334NW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      883882 | PA      | $1000771.06   | 0.06%             | 2035-03-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2019-2 DAC 19-2A                                         | CARLYLE EURO CLO CGMSE 2019 2A A1R 144A                 | CUSIP: ACI1ZPM05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2765053 | PA      | $3199304.10   | 0.19%             | 2032-08-15      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9YOA1 PIMCO SWAPTION 4.255 PUT USD 2026080          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    29000000 | NC      | $181528.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Z7A7 PIMCO SWAPTION 3.222 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1300000 | NC      | $3462.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-6568.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-65                                                        | FANNIE MAE FNR 2007 65 KF                               | CUSIP: 31396WLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5901 | PA      | $5846.80      | 0.00%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF12                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF12 A5         | CUSIP: 32027GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5423718 | PA      | $5120184.88   | 0.30%             | 2036-09-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $79447.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-FX1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 FX1 A3         | CUSIP: 17309YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       82406 | PA      | $48067.17     | 0.00%             | 2036-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                      | GSAMP TRUST GSAMP 2007 FM1 A2C                          | CUSIP: 3622MAAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      250871 | PA      | $124008.04    | 0.01%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-145189.57   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-155242.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI3810 FN 06/41 FIXED 4.5                     | CUSIP: 3138AHGU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         314 | PA      | $310.76       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0IA0 PIMCO SWAPTION 2.995 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2600000 | NC      | $3832.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN 2007-PA4                                     | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1       | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2035 | PA      | $1925.94      | 0.00%             | 2037-07-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-140019.43   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-2555.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-18502.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-19675.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-11                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 11 A1A        | CUSIP: 41162GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4137 | PA      | $3774.30      | 0.00%             | 2036-12-19      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 13.245 09/02/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-475386.49   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $424.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260626                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $22927.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH9                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH9 A1         | CUSIP: 749241AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      104060 | PA      | $87964.23     | 0.01%             | 2037-11-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A        | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3663858 | PA      | $3410891.59   | 0.20%             | 2046-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-17637.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2006-19                 | COUNTRYWIDE HOME LOANS CWHL 2006 19 1A7                 | CUSIP: 12543XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      156736 | PA      | $69617.80     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 697575 GN 11/38 FIXED 5                       | CUSIP: 36296P6L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1102 | PA      | $1126.00      | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 3A1        | CUSIP: 74923HAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32256 | PA      | $27846.65     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-494.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                      | GSAMP TRUST GSAMP 2007 FM2 A2B                          | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      914684 | PA      | $563158.54    | 0.03%             | 2037-01-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $264.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF14                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF14 A1         | CUSIP: 32027LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9939288 | PA      | $9300310.13   | 0.55%             | 2036-10-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| CAIRN CLO VII BV 16-7A                                                    | CAIRN CLO BV CRNCL 2016 7A A1R 144A                     | CUSIP: ACI1G9KT1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      335154 | PA      | $387868.27    | 0.02%             | 2030-01-31      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                            | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                 | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      342735 | PA      | $318157.02    | 0.02%             | 2036-10-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13       | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90233 | PA      | $88628.57     | 0.01%             | 2036-12-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A83575 FG 12/38 FIXED 5               | CUSIP: 3129296L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1828 | PA      | $1850.39      | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                        | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M3         | CUSIP: 04542BKU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4107952 | PA      | $3983891.42   | 0.23%             | 2035-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $852.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1                                   | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 1A        | CUSIP: 939336PL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          17 | PA      | $17.18        | 0.00%             | 2033-02-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| PUBLIC POWER GENERATION AGENCY                                            | PUBLIC PWR GENERATION AGY NE R PUBPWR 01/41 FIXED 7.242 | CUSIP: 744434CW9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       20000 | PA      | $22127.40     | 0.00%             | 2041-01-01      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $12216.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-351.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSST TRS EQUITY SOFR+20 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-55444.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $21835.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0268 FN 12/29 FIXED 5                       | CUSIP: 31417YJN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         287 | PA      | $289.63       | 0.00%             | 2029-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBQXA5 PIMCO FPPSWAPTION 4.296 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    10800000 | NC      | $636179.40    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-4                                                         | FANNIE MAE FNR 2007 4 SL                                | CUSIP: 31396PMQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15191 | PA      | $1765.08      | 0.00%             | 2037-02-25      | Floating      | 3.42%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 2A        | CUSIP: 939355AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      548348 | PA      | $523541.05    | 0.03%             | 2047-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17                     | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL17 AS 144A    | CUSIP: 55287HAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11200000 | PA      | $11172483.50  | 0.66%             | 2040-02-18      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                                     | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 5A2          | CUSIP: 576433C53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7172 | PA      | $6402.84      | 0.00%             | 2035-07-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.22000 01/08/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-78052.76    | -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        |      100000 | PA      | $87726.56     | 0.01%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 735896 FN 09/35 FIXED VAR                     | CUSIP: 31402RRR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         588 | PA      | $616.76       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD0220 FN 10/38 FIXED VAR                     | CUSIP: 31418MG63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          10 | PA      | $10.39        | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BANK OF AMERICA CORPORATION SNR S* ICE                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $29874.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOFTBANK GROUP CORP SNR JP SP GST                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-611.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3289                                                          | FREDDIE MAC FHR 3289 FG                                 | CUSIP: 31397FNM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11103 | PA      | $11002.08     | 0.00%             | 2037-03-15      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257372 FN 09/28 FIXED 6                       | CUSIP: 31371N2D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         696 | PA      | $709.90       | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A                                 | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 A A2FX 144A    | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      336306 | PA      | $325158.07    | 0.02%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-6232.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $2872.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-65667.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-3                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 3 1A          | CUSIP: 542514NT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15022 | PA      | $14943.36     | 0.00%             | 2045-08-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $11420.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC31A0 PIMCO SWAPTION 4.084 PUT USD 2026050          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -32800000 | NC      | $-108246.56   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2C            | CUSIP: 61749NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      332458 | PA      | $165389.76    | 0.01%             | 2036-08-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2004-QA4                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA4 CB1        | CUSIP: 76110HZE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27946 | PA      | $28123.41     | 0.00%             | 2034-09-25      | Floating      | 6.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.50000 06/18/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-594124.55   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR39                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR39 A1        | CUSIP: 45660KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       57006 | PA      | $52236.27     | 0.00%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $5278.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $22546.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $2306.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH6339 FN 04/41 FIXED 4.5                     | CUSIP: 3138A8BH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         150 | PA      | $148.12       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    10900000 | NC      | $630506.14    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RU20INTR TRS EQUITY SOFR+12 GST                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $1561.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTURAL ASSET-BACKED CERTIFICATES WMABS SERIES TRUST 2007-HE1  | WASHINGTON MUTUAL ASSET BACKED WMABS 2007 HE1 2A1       | CUSIP: 93935KAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      674750 | PA      | $212502.60    | 0.01%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $692.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SNB7 PIMCO CDSOPT PUT USD 101.37500000 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -33900000 | NC      | $-62837.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2      | CUSIP: 12668AKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3501 | PA      | $1936.39      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 310122 FN 06/28 FIXED VAR                     | CUSIP: 31374CPF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         624 | PA      | $625.75       | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-78                                                 | FANNIE MAE FNR 2025 78 FA                               | CUSIP: 3136BW7E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7577926 | PA      | $7614158.71   | 0.45%             | 2055-09-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-463.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAEMLN TRS EQUITY SOFR+63 MEI                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-19175737.12 | -1.12%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-A                                            | FREMONT HOME LOAN TRUST FHLT 2005 A M3                  | CUSIP: 35729PHN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7507 | PA      | $7486.12      | 0.00%             | 2035-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 11/40 12.75                  | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 18911500000 | PA      | $5012488.27   | 0.29%             | 2040-11-28      | Fixed         | 12.75%                | 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        |     6057704 | PA      | $5885542.00   | 0.35%             | 2054-07-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $13793.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 735961 FN 09/35 FLOATING VAR                  | CUSIP: 31402RTS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         286 | PA      | $289.97       | 0.00%             | 2035-09-01      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $8356.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $7229.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-112009.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A         | CUSIP: 92927BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23907 | PA      | $20411.00     | 0.00%             | 2047-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-932061.22   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260720                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $135271.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $95532.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-FRE1                                     | MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1         | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6286136 | PA      | $6255892.75   | 0.37%             | 2035-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2006-2                                     | ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 A4           | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       71712 | PA      | $71563.15     | 0.00%             | 2036-09-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.45000 05/05/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $34480.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $573332.65    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 698340 GN 05/39 FIXED 5                       | CUSIP: 36296QZD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         935 | PA      | $955.30       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI8831 FN 08/41 FIXED 4.5                     | CUSIP: 3138ANY56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         272 | PA      | $269.38       | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 2A        | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      391589 | PA      | $327253.75    | 0.02%             | 2046-11-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $413.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $2874.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-1                                     | DEUTSCHE ALT A SECURITIES INC DBALT 2005 1 1A1          | CUSIP: 251510CV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40368 | PA      | $39883.82     | 0.00%             | 2035-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 1A           | CUSIP: 12667HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34390 | PA      | $33795.32     | 0.00%             | 2047-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 2A1         | CUSIP: 07384MXB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1170 | PA      | $1158.88      | 0.00%             | 2033-08-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA2 A5        | CUSIP: 126694S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2615 | PA      | $2391.23      | 0.00%             | 2046-05-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-16IP                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 16IP A1        | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2348 | PA      | $1765.59      | 0.00%             | 2045-07-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFENT TRS EQUITY SOFR+64 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-26620912.32 | -1.56%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 01/37 8.5                | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    44000000 | PA      | $2430430.38   | 0.14%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX MAIN44 5Y ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $-8486.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Y5A2 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    37700000 | NC      | $2233182.12   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-2                                       | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 2 A2            | CUSIP: 655378AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2849388 | PA      | $2374917.50   | 0.14%             | 2037-06-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2006-1                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 1 MV1           | CUSIP: 126670TW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1813649 | PA      | $1780596.81   | 0.10%             | 2036-05-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $3420.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAUTA2 PIMCO SWAPTION 3.174 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2600000 | NC      | $1038.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE0508 FN 10/40 FIXED VAR                     | CUSIP: 31419AR66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         215 | PA      | $212.85       | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED CTFS 2006-HE3                              | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE3 1A        | CUSIP: 93934MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1412240 | PA      | $1344225.31   | 0.08%             | 2036-08-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05250 FG 03/38 FIXED 5               | CUSIP: 3128M7EX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1671 | PA      | $1691.50      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                     | ATHENE GLOBAL FUNDING SECURED 144A 07/30 5.033          | CUSIP: 04685A4R9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     8800000 | PA      | $8712686.14   | 0.51%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H09 FA          | CUSIP: 38380LFE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      336090 | PA      | $342740.48    | 0.02%             | 2068-04-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL3185 FN 02/39 FIXED VAR                     | CUSIP: 3138EKRF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1676 | PA      | $1742.27      | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-2863.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-8249.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G03050 FG 07/37 FIXED 5               | CUSIP: 3128M4WK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1769 | PA      | $1791.24      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC1                                              | ACE SECURITIES CORP. ACE 2006 NC1 M1                    | CUSIP: 004421UU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      783379 | PA      | $752918.34    | 0.04%             | 2035-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -2339475 | NC      | $-2065.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SIS6 PIMCO CDSOPT PUT USD 96.58984375 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    39000000 | NC      | $327065.70    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-0.86        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $123.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 960213 FN 09/27 FIXED 5.5                     | CUSIP: 31414AGW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          20 | PA      | $19.94        | 0.00%             | 2027-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                              | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                      | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2172 | PA      | $2163.94      | 0.00%             | 2042-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $15406.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HUF BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-6977.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA39A4 PIMCO SWAPTION 3.075 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2800000 | NC      | $5591.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 881635 FN 02/36 FIXED 5.5                     | CUSIP: 31409XPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         530 | PA      | $545.64       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005 8                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 8 1A1          | CUSIP: 225458W87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      158203 | PA      | $121090.16    | 0.01%             | 2035-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $38.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-72108.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1005.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-6                                          | TOWD POINT MORTGAGE TRUST TPMT 2017 6 B1 144A           | CUSIP: 89175JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1031000 | PA      | $880297.18    | 0.05%             | 2057-10-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2019-1 DAC 19-1A                                        | BLACK DIAMOND CLO LTD BLACK 2019 1A A1R 144A            | CUSIP: ACI20P3Q5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1782457 | PA      | $2062396.83   | 0.12%             | 2032-05-15      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 995279 FN 12/38 FIXED VAR                     | CUSIP: 31416BUC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          18 | PA      | $19.23        | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 843325 FN 10/35 FIXED 5.5                     | CUSIP: 31407W4J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          61 | PA      | $61.60        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PHP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $2409.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3218 FN 12/32 FIXED 3                       | CUSIP: 31418CSG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2660214 | PA      | $2570342.06   | 0.15%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-33373.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $996.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-20088.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-23957.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BN0508 FN 09/48 FIXED 3.5                     | CUSIP: 3140JGR64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      103051 | PA      | $95989.67     | 0.01%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SEQ4 PIMCO FXVAN CALL USD BRL 5.70000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -5680000 | NC      | $-6446.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-43555.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $4464.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A1        | CUSIP: 92927XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       62401 | PA      | $55074.98     | 0.00%             | 2037-06-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 745516 FN 05/36 FIXED VAR                     | CUSIP: 31403DGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1295 | PA      | $1336.84      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 5A1        | CUSIP: 92925VAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       94063 | PA      | $88655.71     | 0.01%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0032 FN 12/54 FIXED VAR                     | CUSIP: 3140W0BA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1964992 | PA      | $1959753.11   | 0.11%             | 2054-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-2785.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0620 G2 09/55 FIXED 4                    | CUSIP: 3618N5VN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      394411 | PA      | $369855.92    | 0.02%             | 2055-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-47576.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    41500000 | NC      | $63163.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA2 2A1        | CUSIP: 55275NAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4784414 | PA      | $4330973.75   | 0.25%             | 2046-12-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1998.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SKO2 PIMCO CDSOPT PUT USD 0.85 20260520            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -32900000 | NC      | $-26736.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-6151.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $525.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-32                                                 | FANNIE MAE FNR 2007 32 JS                               | CUSIP: 31396VDT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      165086 | PA      | $20795.96     | 0.00%             | 2037-04-25      | Floating      | 3.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 922039 FN 02/37 FIXED 5.5                     | CUSIP: 31412DLU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3213 | PA      | $3317.60      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-WL3                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 WL3 2A4       | CUSIP: 542514SW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6076996 | PA      | $5571847.36   | 0.33%             | 2036-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 677312 GN 09/38 FIXED 5                       | CUSIP: 36295QN55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         322 | PA      | $327.49       | 0.00%             | 2038-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-QH2                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH2 A1 144A     | CUSIP: 12668JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      167350 | PA      | $150880.75    | 0.01%             | 2037-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2007-2AX                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 2AX 2A1         | CUSIP: 61751TAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3306950 | PA      | $1111175.89   | 0.07%             | 2036-12-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $28662.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA2391 G2 11/44 FLOATING VAR               | CUSIP: 36179QUQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       94236 | PA      | $96285.69     | 0.01%             | 2044-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $57020.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAODA3 PIMCO SWAPTION 4.093 PUT USD 2027010          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   232900000 | NC      | $352447.57    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $4373.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB2858 FN 01/39 FIXED 5.5                     | CUSIP: 31416YE87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12052 | PA      | $12354.85     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1                               | IMPAC SECURED ASSETS CORP. IMSA 2005 1 4A               | CUSIP: 45254TRR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10663 | PA      | $10322.23     | 0.00%             | 2035-07-25      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    10100000 | NC      | $15372.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 06/20/24-2Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $13581.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A1      | CUSIP: 92922F7P7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4009441 | PA      | $3732370.96   | 0.22%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A    | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1141701 | PA      | $1106957.66   | 0.06%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-2587.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-12417.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021-SJ2                                        | TOWD POINT MORTGAGE TRUST TPMT 2021 SJ2 A1A 144A        | CUSIP: 89180LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2480071 | PA      | $2427441.29   | 0.14%             | 2061-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875              | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   195600000 | PA      | $11360607.52  | 0.67%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 760393 GN 10/41 FIXED 5                       | CUSIP: 36176ARN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4972 | PA      | $4971.06      | 0.00%             | 2041-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA10A7 PIMCO SWAPTION 3.0475 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2800000 | NC      | $4862.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $3860.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1             | CUSIP: 61750SAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16148 | PA      | $14610.65     | 0.00%             | 2036-10-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-7.03        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                           | BEAR STEARNS ALT A TRUST BALTA 2005 5 22A1              | CUSIP: 07386HUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39819 | PA      | $22929.09     | 0.00%             | 2035-07-25      | Variable      | 5.07%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                                    | OZLM LTD OZLM 2019 24A A2AR 144A                        | CUSIP: 67113DBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4050000 | PA      | $4058069.83   | 0.24%             | 2032-07-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1C4      | CUSIP: 92925CBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      667235 | PA      | $665876.74    | 0.04%             | 2045-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 357639 FN 11/34 FIXED 5.5                     | CUSIP: 31376KHQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          47 | PA      | $48.12        | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA2                                     | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA2 2A1        | CUSIP: 74958XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88563 | PA      | $76429.14     | 0.00%             | 2037-04-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA38A5 PIMCO SWAPTION 3.325 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1400000 | NC      | $5535.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-1 LTD                                                  | WELLFLEET CLO LTD WELF 2021 1A A1R 144A                 | CUSIP: 94950CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1900000 | PA      | $1902135.75   | 0.11%             | 2034-04-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257163 FN 04/28 FIXED 5                       | CUSIP: 31371NTU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          39 | PA      | $38.68        | 0.00%             | 2028-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $164.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 5A1         | CUSIP: 863579VV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17368 | PA      | $8560.05      | 0.00%             | 2035-08-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                                   | FREDDIE MAC FHR 5580 FE                                 | CUSIP: 3137HMXR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8619579 | PA      | $8677190.86   | 0.51%             | 2055-09-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 774296 GN 03/42 FIXED 5                       | CUSIP: 36176R7H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4785 | PA      | $4776.45      | 0.00%             | 2042-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $1050.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                             | HEALTHCARE RLTY HLDGS LP COMPANY GUAR 03/30 2.4         | CUSIP: 42225UAL8<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |      241000 | PA      | $220224.26    | 0.01%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $2031.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-11548.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 932035 FN 03/38 FIXED 6                       | CUSIP: 31412QPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         102 | PA      | $107.20       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 09/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-5631892.69  | -0.33%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 894959 FN 08/36 FIXED 6                       | CUSIP: 31410RJC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          37 | PA      | $38.37        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $2171.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A69435 FG 12/37 FIXED 6               | CUSIP: 3128L1PU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         117 | PA      | $121.35       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC7KA0 PIMCO SWAPTION 3.951 PUT USD 2026062          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -21600000 | NC      | $-126260.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAROA4 PIMCO SWAPTION 3.646 PUT USD 2026041          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -17700000 | NC      | $-138937.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 763688 FN 01/34 FIXED 5.5                     | CUSIP: 31404BND0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5786 | PA      | $5837.78      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A      | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9524 | PA      | $8580.14      | 0.00%             | 2046-12-25      | Floating      | 3.83%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD9988 FN 09/40 FIXED 4.5                     | CUSIP: 31418YC20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         191 | PA      | $184.21       | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR4                                         | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR4 2A1A             | CUSIP: 23332UEM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2684 | PA      | $2424.16      | 0.00%             | 2045-08-19      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-449.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3848                                                   | FREDDIE MAC FHR 3848 WX                                 | CUSIP: 3137A9D52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60412 | PA      | $61199.04     | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05737 FG 05/35 FIXED 6.5             | CUSIP: 3128M7V60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10408 | PA      | $10777.38     | 0.00%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-2732.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $3120.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.70000 03/28/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $28576.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3           | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84827 | PA      | $91747.85     | 0.01%             | 2037-09-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $31141.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A75692 FG 04/38 FIXED 5               | CUSIP: 3128L9KD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3015 | PA      | $3049.94      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-105.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A47673 FG 11/35 FIXED 5               | CUSIP: 3128K8Q25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          85 | PA      | $86.04        | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JOINT STOCK COMPANY DEVELOPMENT BANK OF KAZAKHSTAN                        | DEVELOPMENT BANK OF KAZA SR UNSECURED 144A 10/28 18.4   | CUSIP: 48129VAF3<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | CORP              | KZ        |   372000000 | PA      | $799813.26    | 0.05%             | 2028-10-16      | Fixed         | 18.40%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-3879.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 1A          | CUSIP: 542514RH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      173990 | PA      | $172978.81    | 0.01%             | 2036-02-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL2                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M4        | CUSIP: 542514NE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5466000 | PA      | $5081559.82   | 0.30%             | 2035-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 692340 GN 02/39 FIXED 5                       | CUSIP: 36296JEM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5457 | PA      | $5551.00      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                      | GSAMP TRUST GSAMP 2007 NC1 A2B                          | CUSIP: 3622MGAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       89480 | PA      | $44401.95     | 0.00%             | 2046-12-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL V85233 FG 03/49 FIXED 4               | CUSIP: 3132LAY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       94895 | PA      | $91037.31     | 0.01%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888129 FN 02/37 FIXED VAR                     | CUSIP: 31410FVW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32212 | PA      | $33259.81     | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 704480 GN 04/39 FIXED 5                       | CUSIP: 36296XUD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2012 | PA      | $2054.80      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256885 FN 09/27 FIXED 6                       | CUSIP: 31371NJ63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1368 | PA      | $1395.19      | 0.00%             | 2027-09-01      | Fixed         | 6.00%                 | 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      | $-4334.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-807.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-6761.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS2                                      | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS2 A1 144A       | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2796646 | PA      | $2803629.90   | 0.16%             | 2061-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     7200000 | NC      | $437358.96    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-2335.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260713                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-7932.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.74200 03/26/26-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $38695.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $52.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   136229000 | PA      | $135005833.89 | 7.92%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-12236.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBA2 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     3770525 | NC      | $11239.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A2        | CUSIP: 12667GL84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12574 | PA      | $12217.07     | 0.00%             | 2035-08-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                   | GSG BIDCO LTD SR SECURED 144A 06/36 5.375               | CUSIP: ACI38RGS3<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |     2200000 | PA      | $2525400.96   | 0.15%             | 2036-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-2                                               | BEAR STEARNS ASSET BACKED SECU BSABS 2004 2 M1          | CUSIP: 073879GZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165642 | PA      | $165884.90    | 0.01%             | 2034-08-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-10                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 10 1AF5         | CUSIP: 12666PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1764975 | PA      | $1280602.72   | 0.08%             | 2046-09-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 865115 FN 02/36 FIXED 5.5                     | CUSIP: 31409ADU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          98 | PA      | $100.69       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-7941.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A48943 FG 05/36 FIXED 5.5             | CUSIP: 3128K95C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2358 | PA      | $2431.55      | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $2212.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 701603 GN 02/39 FIXED 5                       | CUSIP: 36296UNU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15598 | PA      | $15932.37     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 782468 GN 11/38 FIXED 5                       | CUSIP: 36241KW53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12747 | PA      | $13020.00     | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA5JA8 PIMCO FPPSWAPTION 3.1625 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  1576700000 | NC      | $5333660.76   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 698099 GN 04/39 FIXED 5                       | CUSIP: 36296QRU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         120 | PA      | $122.30       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                          | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV3              | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2828119 | PA      | $2767365.39   | 0.16%             | 2037-04-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QZ5154 FR 10/55 FIXED 6               | CUSIP: 31427CWQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2069279 | PA      | $2120294.59   | 0.12%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2005-OPT1                                    | SG MORTGAGE SECURITIES TRUST SGMS 2005 OPT1 M4          | CUSIP: 81879MAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5879000 | PA      | $4999584.49   | 0.29%             | 2035-10-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $3018.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     4641000 | PA      | $1446446.56   | 0.08%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+32 CBK                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-287369.20   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-12                                   | COUNTRYWIDE HOME LOANS CWHL 2006 12 A1                  | CUSIP: 125432AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      231550 | PA      | $106766.01    | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-WM1                                              | ACE SECURITIES CORP. ACE 2007 WM1 A2D                   | CUSIP: 004424AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3408908 | PA      | $1393190.87   | 0.08%             | 2036-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE4                                        | MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A2          | CUSIP: 576449AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460362 | PA      | $131118.14    | 0.01%             | 2036-11-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                   | REACH FINANCIAL LLC REACH 2025 1A B 144A                | CUSIP: 75525PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1000000 | PA      | $1008088.50   | 0.06%             | 2032-08-16      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                      | GSAMP TRUST GSAMP 2007 NC1 A2A                          | CUSIP: 3622MGAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      122330 | PA      | $60704.84     | 0.00%             | 2046-12-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB3                                    | CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4       | CUSIP: 12489WQX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      642144 | PA      | $593567.62    | 0.03%             | 2036-03-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $5820.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257057 FN 01/28 FIXED 5                       | CUSIP: 31371NQJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         124 | PA      | $124.44       | 0.00%             | 2028-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1DA3 PIMCO SWAPTION 3.038 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2800000 | NC      | $4817.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-7                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 7 2A6            | CUSIP: 22942KAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7083 | PA      | $6014.88      | 0.00%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G18666 FG 11/32 FIXED 3               | CUSIP: 3128MMW41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2041124 | PA      | $1984363.17   | 0.12%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-30776.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1417.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -3770525 | NC      | $-3012.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $3446.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5920000 | PA      | $5191884.87   | 0.30%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $7802.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1405.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $604.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1218538.69  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20261130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $109655.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CSMC TRUST 2021-RPL4                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL4 A1 144A     | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2818817 | PA      | $2811021.44   | 0.16%             | 2060-12-27      | Variable      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $26824.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF5                                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A4         | CUSIP: 32027EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2757261 | PA      | $2572672.30   | 0.15%             | 2036-04-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 889532 FN 04/38 FIXED VAR                     | CUSIP: 31410KHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         156 | PA      | $160.56       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-74503.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LUCA RE LTD                                                               | LUCA RE LTD UNSECURED 144A 07/31 VAR                    | CUSIP: 54930CAA3<br>LEI: 2549001YET1TWKCC6Y26 | Long             | DBT              | CORP              | BM        |      300000 | PA      | $309165.00    | 0.02%             | 2031-07-22      | Floating      | 10.80%                | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                                     | IVORY COAST SR UNSECURED REGS 03/48 6.625               | CUSIP: ACI11JW62<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     3600000 | PA      | $3593908.21   | 0.21%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-775.80      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-2376.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5420 FN 07/54 FIXED 5.5                     | CUSIP: 31418FAW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3516777 | PA      | $3538051.82   | 0.21%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1LA4 PIMCO SWAPTION 3.317 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1400000 | NC      | $5289.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-S1                                                       | GSAMP TRUST GSAMP 2006 S1 A2A                           | CUSIP: 3623413A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1256 | PA      | $88.16        | 0.00%             | 2035-11-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 970785 FN 11/38 FIXED 6                       | CUSIP: 31414M6W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         219 | PA      | $226.23       | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG       | CUSIP: 952NPHII6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $385000.00    | 0.02%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3                                | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 3 A1 144A       | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27620 | PA      | $27161.83     | 0.00%             | 2065-04-25      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-7755.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST-2006-2                                       | SAXON ASSET SECURITIES TRUST SAST 2006 2 M2             | CUSIP: 80556XAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8365000 | PA      | $7241327.04   | 0.42%             | 2036-09-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-398.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC6EA9 PIMCO SWAPTION 3.62 CALL USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1100000 | NC      | $-1374.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRT& RES FIN 2006-BC3                                      | SPECIALTY UNDERWRITING + RESID SURF 2006 BC3 A2C        | CUSIP: 84751WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34300 | PA      | $20963.83     | 0.00%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFENT TRS EQUITY SOFR+68 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-9705783.56  | -0.57%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS1                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS1 M3         | CUSIP: 76110WM52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4965866 | PA      | $4882470.74   | 0.29%             | 2035-02-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 902340 FN 11/36 FIXED 5.5                     | CUSIP: 31411APZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          28 | PA      | $28.67        | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 904605 FN 11/36 FIXED 6                       | CUSIP: 31411DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         153 | PA      | $158.45       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-7230.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                         | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2D        | CUSIP: 81377AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      707044 | PA      | $267910.47    | 0.02%             | 2036-07-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2B            | CUSIP: 61753EAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      249744 | PA      | $114807.01    | 0.01%             | 2037-01-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $6920.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 2A1        | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       79958 | PA      | $74290.33     | 0.00%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US225401AL29 CREDIT SUISSE GROUP AG       | CUSIP: 952NPL005<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     1006000 | PA      | $352100.00    | 0.02%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 623958 GN 12/35 FIXED 5                       | CUSIP: 36291CE76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         233 | PA      | $236.20       | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | INF SWAP US IT 2.4525 07/20/22-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2970.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3442 FN 08/48 FIXED 3.5                     | CUSIP: 31418CZG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      478178 | PA      | $444224.78    | 0.03%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/2.75000 06/21/23-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6393682.98   | 0.37%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAOYA0 PIMCO SWAPTION 3.857 PUT USD 2026100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   248900000 | NC      | $475623.01    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS CAD CAONREPO/3.0000 09/16/26-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-188943.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-3861.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                             | GSAA HOME EQUITY TRUST GSAA 2007 5 1AV1                 | CUSIP: 3622ECAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      167272 | PA      | $58875.79     | 0.00%             | 2037-05-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2020-4                                           | ANGEL OAK MORTGAGE TRUST AOMT 2020 4 A1 144A            | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14872 | PA      | $14476.22     | 0.00%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL C91175 FG 05/28 FIXED 5               | CUSIP: 3128P7JU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         379 | PA      | $380.14       | 0.00%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-1089.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 782387 GN 08/38 FIXED 5                       | CUSIP: 36241KUL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3978 | PA      | $4106.73      | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR ULTRA FUT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -892 | NC      | $2389855.32   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257204 FN 05/28 FIXED 5.5                     | CUSIP: 31371NU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          89 | PA      | $89.18        | 0.00%             | 2028-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-4432.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 2A1         | CUSIP: 126670KK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      199731 | PA      | $183578.04    | 0.01%             | 2036-03-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AW1350 FN 02/44 FIXED 4.5                     | CUSIP: 3138XQQC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3851 | PA      | $3800.91      | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-5882.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE4                       | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE4 1A4       | CUSIP: 07386RAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13644000 | PA      | $11851926.09  | 0.69%             | 2037-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2788.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA5IA9 PIMCO FPPSWAPTION 3.1625 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  1576700000 | NC      | $9774278.64   | 0.57%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     7400000 | NC      | $438427.06    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE2                                              | ACE SECURITIES CORP. ACE 2007 HE2 A2C                   | CUSIP: 00443PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      277656 | PA      | $147589.13    | 0.01%             | 2036-12-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 813586 FN 03/35 FLOATING VAR                  | CUSIP: 31406L2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          11 | PA      | $11.71        | 0.00%             | 2035-03-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $53414.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SEP6 PIMCO FXVAN PUT USD BRL 5.12000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -5680000 | NC      | $-35488.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-37774.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-3                                            | LUMINENT MORTGAGE TRUST LUM 2006 3 22A1                 | CUSIP: 55027AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1641134 | PA      | $1061482.26   | 0.06%             | 2036-04-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| FHF TRUST 2023-1A                                                         | FIRST HELP FINANCIAL LLC FHF 2023 1A A2 144A            | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      840577 | PA      | $843540.44    | 0.05%             | 2028-06-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A2         | CUSIP: 07384MR87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3591 | PA      | $3409.80      | 0.00%             | 2034-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-1819.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $58960.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 783314 GN 12/40 FIXED 5                       | CUSIP: 36241LVF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3147 | PA      | $3214.45      | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 970853 FN 12/38 FIXED 6                       | CUSIP: 31414NBW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4221 | PA      | $4374.09      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAEMLN TRS EQUITY SOFR+59 MEI                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-595797.00   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A6       | CUSIP: 92922F3L0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10166 | PA      | $9370.32      | 0.00%             | 2035-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 782562 GN 02/39 FIXED 5                       | CUSIP: 36241KZ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      181284 | PA      | $184873.27    | 0.01%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAUQA5 PIMCO SWAPTION 3.674 PUT USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -24500000 | NC      | $-200228.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A3       | CUSIP: 83612NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115651 | PA      | $30703.32     | 0.00%             | 2037-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3965 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5MP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29827 | PA      | $27758.35     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $830.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-31                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 31 2A1        | CUSIP: 12667GZB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140715 | PA      | $131836.04    | 0.01%             | 2035-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $9624.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $3570.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SOX8 PIMCO CDSOPT PUT USD 96.10156250 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -19700000 | NC      | $-32853.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 7.35        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      700000 | PA      | $722683.53    | 0.04%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      184483 | PA      | $147198.82    | 0.01%             | 2037-10-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 4A1        | CUSIP: 86360JAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9175 | PA      | $2911.97      | 0.00%             | 2046-05-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 824601 FN 12/34 FIXED 5.5                     | CUSIP: 31407ADE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          45 | PA      | $45.68        | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-4                                             | GSAA HOME EQUITY TRUST GSAA 2006 4 2A1                  | CUSIP: 362334FF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152775 | PA      | $18347.81     | 0.00%             | 2036-03-25      | Floating      | 3.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PHP SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-66547.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $31762.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASCENT EDUCATION FUNDING TRUST 2024-A                                     | ASCENT EDUCATION FUNDING TRUST ASCNT 2024 A A 144A      | CUSIP: 04362VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      622828 | PA      | $635921.92    | 0.04%             | 2050-10-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR1                                         | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR1 A2A              | CUSIP: 23332UAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17075 | PA      | $15759.39     | 0.00%             | 2044-09-19      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $813.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS COP IBR/8.59000 09/02/25-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $726230.01    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256601 FN 02/27 FIXED 6                       | CUSIP: 31371NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          36 | PA      | $36.72        | 0.00%             | 2027-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 905334 FN 12/36 FIXED 6                       | CUSIP: 31411DY78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           6 | PA      | $6.47         | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $2549.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-109.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI1673 FN 06/41 FIXED 4.5                     | CUSIP: 3138AE2F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3027 | PA      | $2972.38      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $985.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                         | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2A        | CUSIP: 81377GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2036580 | PA      | $656734.03    | 0.04%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                        | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1         | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1868 | PA      | $1744.91      | 0.00%             | 2035-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A      | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      109417 | PA      | $103374.49    | 0.01%             | 2035-07-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                      | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3        | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      232994 | PA      | $225066.22    | 0.01%             | 2037-02-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 741620 FN 10/33 FIXED 5.5                     | CUSIP: 31402X4D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          49 | PA      | $49.76        | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-12829.96    | -0.00%            |  |  |  | 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        |    56050000 | PA      | $56178983.38  | 3.29%             | 2056-06-11      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $20228.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1347049.01   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                                   | FREDDIE MAC FHR 5580 FA                                 | CUSIP: 3137HMXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21163936 | PA      | $21335800.16  | 1.25%             | 2055-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB1                                   | SPECIALTY UNDERWRITING + RESID SURF 2006 AB1 A4         | CUSIP: 84751PKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130621 | PA      | $127926.48    | 0.01%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-7901.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZWA9 PIMCO SWAPTION 3.239 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1800000 | NC      | $5176.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $1798.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 3A          | CUSIP: 41161QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       53703 | PA      | $27241.30     | 0.00%             | 2036-06-19      | Floating      | 4.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $6963.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 920078 FN 12/36 FIXED 5.5                     | CUSIP: 31412BFT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         313 | PA      | $323.31       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-8773.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-5                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M4           | CUSIP: 86358ETJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      161642 | PA      | $157904.94    | 0.01%             | 2035-06-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-22594.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-6                                             | SEQUOIA MORTGAGE TRUST SEMT 2004 6 A2                   | CUSIP: 81744FCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48752 | PA      | $49043.54     | 0.00%             | 2034-07-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL C91308 FG 06/30 FIXED 5               | CUSIP: 3128P7NZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         809 | PA      | $817.48       | 0.00%             | 2030-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PHP BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $3694.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1752.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $7724.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RHA8 PIMCO FXVAN PUT USD ZAR 18.00000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    11560000 | NC      | $826146.96    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA6                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA6 A1         | CUSIP: 74922MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       68699 | PA      | $64654.27     | 0.00%             | 2036-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 10/34 7.25                   | CUSIP: ACI17K571<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 11416200000 | PA      | $2188178.81   | 0.13%             | 2034-10-18      | Fixed         | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-30948.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFENT TRS EQUITY SOFR+61 BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-686496.30   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.35000 04/29/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $20185.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB1129 FN 06/30 FIXED 4.5                     | CUSIP: 31416WHF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13008 | PA      | $13025.94     | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                            | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A1B         | CUSIP: 93935HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      318792 | PA      | $81230.53     | 0.00%             | 2036-09-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 07/26 0.00000                             | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3973000 | PA      | $3928960.97   | 0.23%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 2A1                | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2732 | PA      | $2659.93      | 0.00%             | 2035-11-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 907746 FN 01/37 FIXED 6                       | CUSIP: 31411GP71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4707 | PA      | $4892.02      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-176.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2                  | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A4       | CUSIP: 46628TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       52552 | PA      | $24752.03     | 0.00%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE3                                                      | GSAMP TRUST GSAMP 2005 HE3 M4                           | CUSIP: 362341BT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      157842 | PA      | $153972.41    | 0.01%             | 2035-06-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR6                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR6 A6         | CUSIP: 25150RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3890050 | PA      | $3432305.59   | 0.20%             | 2037-02-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2469 FR 09/55 FIXED 5.5             | CUSIP: 31427PW75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6711731 | PA      | $6844848.04   | 0.40%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CMBX.NA.AAA.16 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-50180.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0034 FR 06/54 FIXED 6.5             | CUSIP: 31427MBC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2813934 | PA      | $2980155.60   | 0.17%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-4238.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3         | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29751 | PA      | $7828.64      | 0.00%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH5752 FN 11/47 FIXED 3.5                     | CUSIP: 3140GUMA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      126154 | PA      | $117718.53    | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-111                                                       | FANNIE MAE FNR 2010 111 FC                              | CUSIP: 31398NWE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3503 | PA      | $3483.54      | 0.00%             | 2040-10-25      | Floating      | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.00000 09/16/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-2009543.16  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $43673.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $20021.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BX8350 FN 04/53 FIXED 4.5                     | CUSIP: 3140NDH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      800699 | PA      | $777723.77    | 0.05%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                        | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A3 144A        | CUSIP: 30336CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1373317 | PA      | $1382668.75   | 0.08%             | 2029-04-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3                                | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT3 1A1       | CUSIP: 83612KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      591409 | PA      | $523876.67    | 0.03%             | 2037-08-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-7736.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                        | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15             | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3651429.31   | 0.21%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-66                                                        | FANNIE MAE FNR 2003 66 SA                               | CUSIP: 31393C4W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8509 | PA      | $753.18       | 0.00%             | 2033-07-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25               | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   352430000 | PA      | $16741687.68  | 0.98%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE1266 FN 09/41 FIXED 4.5                     | CUSIP: 31419BMQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60418 | PA      | $59825.93     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD3661 FN 05/40 FIXED 4.5                     | CUSIP: 31418RB75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1096 | PA      | $1085.14      | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $302.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL3365 FN 05/41 FIXED VAR                     | CUSIP: 3138EKW35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       68372 | PA      | $71758.64     | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY WELLS FARGO + COMPANY             | CUSIP: ACI2Q2RG4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2443295.48   | 0.14%             | 2032-07-22      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20261228                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $17241.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1        | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         102 | PA      | $95.80        | 0.00%             | 2034-11-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A       | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      408977 | PA      | $261559.75    | 0.02%             | 2036-01-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-WMC2                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 WMC2 A1        | CUSIP: 59020U6H3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    59463530 | PA      | $14370634.44  | 0.84%             | 2037-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $5527.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $63150.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260526                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $26857.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A            | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4814655 | PA      | $4884484.92   | 0.29%             | 2037-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-31692.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB0770 FN 03/54 FIXED 6                       | CUSIP: 3140A92C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      811122 | PA      | $829945.93    | 0.05%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | INF SWAP US IT 2.5225 03/27/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $49756.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2005-3                                       | MASTR SPECIALIZED LOAN TRUST MASD 2005 3 M1 144A        | CUSIP: 576436CP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      397533 | PA      | $383641.85    | 0.02%             | 2035-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $3460.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $345.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-52.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A A1 144A    | CUSIP: 03290AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $479317.38    | 0.03%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2006-2                                   | MASTR ASSET SECURITIZATION TRU MASTR 2006 2 1A26        | CUSIP: 55274QBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73982 | PA      | $39150.67     | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR1                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR1 1A1A       | CUSIP: 92925CCC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      836812 | PA      | $758135.80    | 0.04%             | 2046-01-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A47333 FG 10/35 FIXED 5               | CUSIP: 3128K8EE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         900 | PA      | $909.62       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A1        | CUSIP: 12667GL76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      706745 | PA      | $615060.98    | 0.04%             | 2035-08-25      | Variable      | 2.99%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 782958 GN 05/40 FIXED 5                       | CUSIP: 36241LJB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1798 | PA      | $1836.48      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 704506 GN 05/39 FIXED 5                       | CUSIP: 36296XU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21277 | PA      | $21732.31     | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AA0836 FN 01/39 FIXED 4.5                     | CUSIP: 31416H4W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3209 | PA      | $3177.36      | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A        | CUSIP: 41161PSK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73188 | PA      | $69260.72     | 0.00%             | 2035-06-20      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 09/29 5.303       | CUSIP: 345397G23<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1791220.99   | 0.11%             | 2029-09-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5573                                                   | FREDDIE MAC FHR 5573 FD                                 | CUSIP: 3137HMSJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6003951 | PA      | $6054565.78   | 0.35%             | 2055-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-20                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 20 3A1         | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6954 | PA      | $6917.67      | 0.00%             | 2035-01-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PHP SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-31.13       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS4                                       | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS4 AIIB       | CUSIP: 76110WRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36388 | PA      | $35213.50     | 0.00%             | 2033-06-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1308.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A1             | CUSIP: 61753KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2521366 | PA      | $940784.58    | 0.06%             | 2037-03-25      | Floating      | 4.01%                 | 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        |      980000 | PA      | $976478.13    | 0.06%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $58295.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $344357.12    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G04264 FG 04/38 FIXED 5.5             | CUSIP: 3128M6B98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          41 | PA      | $42.24        | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $7286.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-28838.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1                                  | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AII        | CUSIP: 76112BR36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12024 | PA      | $11091.29     | 0.00%             | 2035-12-25      | Floating      | 4.23%                 | 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        |      127880 | PA      | $119047.01    | 0.01%             | 2046-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $298.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB0829 FN 04/54 FIXED 6                       | CUSIP: 3140A94P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      667734 | PA      | $690647.42    | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SON0 PIMCO CDSOPT CALL USD 94.23437500 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -9100000 | NC      | $-30441.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-892.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    60750000 | PA      | $60049333.80  | 3.52%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2191.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SP09 PIMCO CDSOPT PUT USD 94.37500000 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -3000000 | NC      | $-11357.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 1A1 144A   | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50022 | PA      | $23165.36     | 0.00%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-61013.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA - PETROPERU SA                                      | PETROLEOS DEL PERU SA SR UNSECURED REGS 06/47 5.625     | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |     3300000 | PA      | $2318580.00   | 0.14%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $2200.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $22490.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1873.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CLP 4.59000 01/09/26-4Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |           1 | NC      | $6002.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-7496.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                               | REPUBLIC OF PANAMA EUR TERM LOAN 2                      | CUSIP: BA000HCH9<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | NUSS              | IE        |     2000000 | PA      | $2330005.48   | 0.14%             | 2027-04-01      | Floating      | 4.92%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G03355 FG 08/37 FIXED 5               | CUSIP: 3128M5BY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1426 | PA      | $1444.09      | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PHP SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-858.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2                            | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA2 1A1        | CUSIP: 55275NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4647281 | PA      | $3615106.17   | 0.21%             | 2046-12-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE1                                   | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE1 A3         | CUSIP: 45071KDD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      159221 | PA      | $82892.06     | 0.00%             | 2036-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL2935 FN 02/43 FIXED VAR                     | CUSIP: 3138EKHM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9782 | PA      | $9239.52      | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1153.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-32172.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-2156.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-10234.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $11166.50     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-13974.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      473400 | PA      | $347560.67    | 0.02%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     7200000 | NC      | $357161.76    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZXA8 PIMCO SWAPTION 2.989 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     3500000 | NC      | $4982.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-D                          | NAVIENT STUDENT LOAN TRUST NAVSL 2021 DA C 144A         | CUSIP: 63942CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2684899 | PA      | $2505748.95   | 0.15%             | 2060-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $689.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                                           | GSR MORTGAGE LOAN TRUST GSR 2007 4F 3A8                 | CUSIP: 362669BJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       51437 | PA      | $31906.59     | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      413000 | PA      | $412168.72    | 0.02%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 12.81 01/27/26-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-147149.47   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 03/32 8.25               | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    33700000 | PA      | $1944776.54   | 0.11%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $177.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                           | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     1210000 | PA      | $1169381.33   | 0.07%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 672595 GN 02/38 FIXED 5                       | CUSIP: 36295KGC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          28 | PA      | $28.38        | 0.00%             | 2038-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $25465.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR14                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR14 A1        | CUSIP: 939336V91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21981 | PA      | $21516.89     | 0.00%             | 2035-01-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-WF1                                     | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 WF1 A3          | CUSIP: 65537BAC4<br>LEI: N0RUIPD25XQCBR0TK507 | Long             | ABS-MBS          | CORP              | US        |    10025471 | PA      | $2509086.69   | 0.15%             | 2036-06-25      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 910669 FN 02/37 FIXED 6                       | CUSIP: 31411KW66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10805 | PA      | $11087.90     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA5HA0 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    61000000 | NC      | $3454369.00   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R4                                    | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R4 M5          | CUSIP: 03072SC60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1949978.60   | 0.11%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2                                  | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS2 A3A        | CUSIP: 76112B2D1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60330 | PA      | $59990.05     | 0.00%             | 2036-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 870821 FN 10/36 FIXED 6                       | CUSIP: 31409GPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         492 | PA      | $508.24       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-2542.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3383 FN 06/48 FIXED 3.5                     | CUSIP: 31418CXM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24104 | PA      | $22412.13     | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3238 FN 01/48 FIXED 3.5                     | CUSIP: 31418CS47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32952 | PA      | $30655.72     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $169504.75    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $4205.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-1F                                           | GSR MORTGAGE LOAN TRUST GSR 2007 1F 2A4                 | CUSIP: 3622MPAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3441 | PA      | $8944.90      | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO MORGAN STANLEY                             | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -2997188 | PA      | $-3017318.78  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1495.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH8643 FN 04/41 FIXED 4.5                     | CUSIP: 3138AAS93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         421 | PA      | $417.35       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $2603.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $80.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-24770.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED REGS 07/39 6.75                    | CUSIP: ACI2W14X7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     4700000 | PA      | $5433039.29   | 0.32%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CLP SOLD USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-552289.62   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $3825.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                                           | DAE FUNDING LLC COMPANY GUAR 144A 03/28 3.375           | CUSIP: 23371DAG9<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1733752.89   | 0.10%             | 2028-03-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA        | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       96325 | PA      | $91570.73     | 0.01%             | 2037-09-25      | Floating      | 4.45%                 | 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        |      143547 | PA      | $139785.26    | 0.01%             | 2035-05-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 970952 FN 12/38 FIXED 6                       | CUSIP: 31414NEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2449 | PA      | $2558.50      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC SR UNSECURED 06/31 VAR                | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      300000 | PA      | $277322.82    | 0.02%             | 2031-06-04      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/29 5.8         | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      700000 | PA      | $708060.05    | 0.04%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-39164.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-6658.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2D            | CUSIP: 61749BAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      517514 | PA      | $269998.46    | 0.02%             | 2036-10-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-73293.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $144969.37    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888893 FN 08/37 FIXED VAR                     | CUSIP: 31410GRN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1251 | PA      | $1291.53      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $5934.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $1439.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC6DA0 PIMCO SWAPTION 3.9 PUT USD 20260420           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1100000 | NC      | $-6230.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $83226.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-4                                   | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 4 M1          | CUSIP: 69121PAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9366560 | PA      | $8600594.66   | 0.50%             | 2036-08-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL 847415 FH 06/35 FLOATING VAR          | CUSIP: 3128JRGY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         276 | PA      | $285.82       | 0.00%             | 2035-06-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $13548.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 06/18/25-15Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $525688.53    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-2267.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH4226 FN 03/41 FIXED 4.5                     | CUSIP: 3138A5VU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         158 | PA      | $154.96       | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC8                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC8 2A3       | CUSIP: 232434AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9942982 | PA      | $8747951.24   | 0.51%             | 2036-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 03/18/26-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $44156.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSPA MONETIZATION TRUST                                                   | GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422   | CUSIP: 36298GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      120233 | PA      | $121046.36    | 0.01%             | 2029-10-09      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 697914 GN 03/39 FIXED 5                       | CUSIP: 36296QK32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32851 | PA      | $33554.04     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF10                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF10 A5         | CUSIP: 32027NWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      277141 | PA      | $263269.27    | 0.02%             | 2035-11-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-5                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 5 A1            | CUSIP: 02660KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10478663 | PA      | $2459728.96   | 0.14%             | 2046-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 2YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          83 | NC      | $-55734.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 1A1         | CUSIP: 68403FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      460191 | PA      | $332114.12    | 0.02%             | 2037-04-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR19                                      | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR19 A1       | CUSIP: 949789AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11632 | PA      | $10929.85     | 0.00%             | 2036-12-25      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A           | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67713 | PA      | $62794.30     | 0.00%             | 2035-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A3        | CUSIP: 92925VAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12613 | PA      | $10987.82     | 0.00%             | 2037-02-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                      | KEURIG DR PEPPER                                        | CUSIP: 49271KDQ4<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $1695165.54   | 0.10%             | 2026-04-24      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $4328.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 745281 FN 01/36 FIXED VAR                     | CUSIP: 31403C6S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         703 | PA      | $737.06       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A1             | CUSIP: 617526AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      329904 | PA      | $209309.75    | 0.01%             | 2036-11-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $5453.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3951                                                   | FREDDIE MAC FHR 3951 US                                 | CUSIP: 3137AHVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22679 | PA      | $21166.78     | 0.00%             | 2040-02-15      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2003-W10                                            | ARGENT SECURITIES INC. ARSI 2003 W10 M1                 | CUSIP: 040104EN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      162029 | PA      | $156425.86    | 0.01%             | 2034-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SOZ3 PIMCO CDSOPT CALL USD 97.37500000 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -3000000 | NC      | $-14483.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PHP SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-2786.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG       | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $1540000.00   | 0.09%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 836552 FN 10/35 FLOATING VAR                  | CUSIP: 31407PL97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         733 | PA      | $752.13       | 0.00%             | 2035-10-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $15074.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERADXULN TRS EQUITY SOFR+26.5 MEI                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-78367.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 4A5                | CUSIP: 362341SF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7412 | PA      | $6760.20      | 0.00%             | 2035-09-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                                            | ARGENT SECURITIES INC. ARSI 2006 W3 A2C                 | CUSIP: 040104SR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15447211 | PA      | $4708927.70   | 0.28%             | 2036-04-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 931353 FN 06/39 FIXED 5.5                     | CUSIP: 31412PWN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3620 | PA      | $3689.15      | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                            | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A5          | CUSIP: 93935HAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      610033 | PA      | $157854.76    | 0.01%             | 2036-09-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 2A3       | CUSIP: 02150JAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      107651 | PA      | $42954.84     | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE1                                     | MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 M2             | CUSIP: 61744CKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17229 | PA      | $17237.47     | 0.00%             | 2034-12-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888820 FN 07/37 FIXED VAR                     | CUSIP: 31410GPD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6773 | PA      | $6993.07      | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $16467.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $8188.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP CBK                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $2031800.71   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 5.00000 09/16/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-133248.81   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-6394.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO LTD 21                                                            | KKR FINANCIAL CLO LTD KKR 21 B 144A                     | CUSIP: 48252KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3850000 | PA      | $3857233.42   | 0.23%             | 2031-04-15      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $15980.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1           | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7151 | PA      | $6411.69      | 0.00%             | 2046-05-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 190363 FN 11/35 FIXED VAR                     | CUSIP: 31368HML4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         729 | PA      | $753.11       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 724275 GN 09/39 FIXED 5                       | CUSIP: 3620AAT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         713 | PA      | $725.15       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-C                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1B 144A      | CUSIP: 83207DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      829095 | PA      | $838209.11    | 0.05%             | 2052-11-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G02869 FG 11/35 FIXED 5               | CUSIP: 3128M4QW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2420 | PA      | $2446.39      | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FA0713 FN 07/54 FIXED VAR                     | CUSIP: 3140W0YK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2760480 | PA      | $2901528.04   | 0.17%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $65851.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                                     | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 6A3         | CUSIP: 863579C30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28728 | PA      | $26795.04     | 0.00%             | 2035-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A2D            | CUSIP: 61753VAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14871881 | PA      | $4648976.89   | 0.27%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H060655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32710000 | PA      | $33225231.89  | 1.95%             | 2056-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLW3 PIMCO CDSOPT PUT USD 97.28125000 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -8000000 | NC      | $-27420.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 1A          | CUSIP: 23246LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24944 | PA      | $24116.30     | 0.00%             | 2047-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-21232.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.09000 01/22/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $36835.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 26CB A4       | CUSIP: 12667GTQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         134 | PA      | $94.71        | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                              | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 0.0000      | CUSIP: ACI1Q6QQ6<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     2790000 | PA      | $2338717.50   | 0.14%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1905.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR1                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR1 1A3        | CUSIP: 251510LD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       92691 | PA      | $93384.03     | 0.01%             | 2036-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    20400000 | NC      | $31048.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8200 FN 06/54 FIXED VAR                     | CUSIP: 3140XQDE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1610015 | PA      | $1643823.10   | 0.10%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11010000 | PA      | $11046518.52  | 0.65%             | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-HE4                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE4 A2D        | CUSIP: 59023EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      174694 | PA      | $35738.49     | 0.00%             | 2037-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-3199.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-997.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 725946 FN 11/34 FIXED VAR                     | CUSIP: 31402DP79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $6.80         | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A53791 FG 11/36 FIXED 5               | CUSIP: 3128KGF86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         264 | PA      | $262.44       | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-990.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | JPN 10Y BOND(OSE) JUN26 XOSE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         -93 | NC      | $914838.76    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797SM0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      200000 | PA      | $199556.99    | 0.01%             | 2026-04-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 995894 FN 04/39 FIXED VAR                     | CUSIP: 31416CKF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3378 | PA      | $3545.35      | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 819567 FN 04/35 FIXED 5.5                     | CUSIP: 31406TQU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         349 | PA      | $360.10       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 658746 FN 08/36 FIXED 6                       | CUSIP: 31390WZK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          46 | PA      | $48.16        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-7962.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                      | BAYER US FINANCE LLC COMPANY GUAR 144A 11/30 6.375      | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |      400000 | PA      | $420758.52    | 0.02%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-41642.75    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2021-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 B A 144A        | CUSIP: 78449YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3134481 | PA      | $2966602.82   | 0.17%             | 2051-07-17      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2C        | CUSIP: 59024LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      611127 | PA      | $169455.34    | 0.01%             | 2037-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-4739.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD9398 FN 06/40 FIXED 4.5                     | CUSIP: 31418XNQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         454 | PA      | $449.16       | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-25                                                 | FANNIE MAE FNR 2007 25 FB                               | CUSIP: 31396VCB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         411 | PA      | $405.91       | 0.00%             | 2037-04-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                        | F+G GLOBAL FUNDING SECURED 144A 01/30 5.875             | CUSIP: 30321L2J0<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |      500000 | PA      | $506875.92    | 0.03%             | 2030-01-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG       | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      200000 | PA      | $70000.00     | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S1                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S1 1A19       | CUSIP: 46627MER4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1635040 | PA      | $819923.89    | 0.05%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SB53 PIMCO CDSOPT CALL USD 0.5 20260617            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -142900000 | NC      | $-56469.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | YI4360529 NIGERIA OMO BILL                              | CUSIP: 990ACHUB3<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | US        |  1602400000 | PA      | $1004083.49   | 0.06%             | 2027-01-28      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-3                                          | NOVASTAR HOME EQUITY LOAN NHEL 2006 3 A2C               | CUSIP: 66988WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      182913 | PA      | $83905.01     | 0.00%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 969064 FN 03/38 FIXED 5.5                     | CUSIP: 31414LB98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7020 | PA      | $7223.79      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1         | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      216129 | PA      | $181395.83    | 0.01%             | 2037-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-70201.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-12286.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $6.98         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC62A2 PIMCO SWAPTION 3.7825 PUT USD 202606          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -25100000 | NC      | $-236015.30   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $9197.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-1                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 1 A1          | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2497 | PA      | $2425.00      | 0.00%             | 2036-02-25      | Floating      | 5.95%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2006-HE2                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE2 M3         | CUSIP: 17309LAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3282000 | PA      | $3110815.47   | 0.18%             | 2036-08-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $7376.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 1A1        | CUSIP: 12668BDC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       52834 | PA      | $51121.76     | 0.00%             | 2036-01-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AU0949 FN 08/43 FIXED 3.5                     | CUSIP: 3138X0BT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12684 | PA      | $12008.57     | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5       | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21460 | PA      | $21453.19     | 0.00%             | 2036-10-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3891                                                          | FREDDIE MAC FHR 3891 BF                                 | CUSIP: 3137ADTZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18968 | PA      | $18879.82     | 0.00%             | 2041-07-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURI CORP TRUS 2007-NC1                                       | HSI ASSET SECURITIZATION CORPO HASC 2007 NC1 A3         | CUSIP: 40430TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      688569 | PA      | $447818.10    | 0.03%             | 2037-04-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $450.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3         | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3934567 | PA      | $2289959.54   | 0.13%             | 2037-01-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 675179 GN 03/38 FIXED 5                       | CUSIP: 36295NCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          68 | PA      | $68.96        | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-2                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 2 B 144A       | CUSIP: 69545GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5099464 | PA      | $5103451.10   | 0.30%             | 2032-10-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A3       | CUSIP: 83613FAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      968419 | PA      | $765331.71    | 0.04%             | 2037-10-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-5                                             | COUNTRYWIDE HOME LOANS CWHL 2007 5 A51                  | CUSIP: 12544VCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3411 | PA      | $1575.71      | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-356.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-60400.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 995113 FN 09/36 FIXED VAR                     | CUSIP: 31416BN61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          14 | PA      | $14.01        | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1CA4 PIMCO SWAPTION 3.288 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1400000 | NC      | $4817.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $89023.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB0204 FN 12/38 FIXED 5.5                     | CUSIP: 31416VGN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         230 | PA      | $237.21       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $249.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.15000 08/25/27-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1114838.88  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 995721 FN 03/39 FIXED VAR                     | CUSIP: 31416CD29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1401 | PA      | $1466.69      | 0.00%             | 2039-03-01      | Fixed         | 6.00%                 | 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        |    -2100000 | NC      | $-5845.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI2430 FN 05/41 FIXED 4.5                     | CUSIP: 3138AFVY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9587 | PA      | $9487.37      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3305 FN 03/48 FIXED 3.5                     | CUSIP: 31418CU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104248 | PA      | $96845.65     | 0.01%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $1347034.93   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL AL2279 GN 03/45 FIXED 3.5                     | CUSIP: 36183XQ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25526 | PA      | $23998.45     | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 04/31 VAR                | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      250000 | PA      | $244667.29    | 0.01%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-929.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 962068 FN 03/38 FIXED 6                       | CUSIP: 31414CJM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2700 | PA      | $2814.70      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $633236.94    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G08789 FG 11/47 FIXED 4               | CUSIP: 3128MJ2X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60518 | PA      | $58225.13     | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3311                                                          | FREDDIE MAC FHR 3311 FN                                 | CUSIP: 31397H6P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1160 | PA      | $1146.30      | 0.00%             | 2037-05-15      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PHP BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $2582.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-2220.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2D            | CUSIP: 61753EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      179679 | PA      | $82612.81     | 0.00%             | 2037-01-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2838472.44   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $28397.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-CP1                                   | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 CP1 1A1       | CUSIP: 68402YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1515109 | PA      | $1403031.29   | 0.08%             | 2037-03-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-438.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W1                                             | ARGENT SECURITIES INC. ARSI 2005 W1 A1                  | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       44511 | PA      | $41199.31     | 0.00%             | 2035-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-337289.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PHP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $2123.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CLP SOLD USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-334414.34   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF9                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF9 2A4         | CUSIP: 320276AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3500000 | PA      | $3291823.15   | 0.19%             | 2036-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $18137.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      512081 | PA      | $496828.56    | 0.03%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $103762.43    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+28 MYI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-1181323.07  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G02410 FG 01/36 FIXED 5               | CUSIP: 3128M4AK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         372 | PA      | $374.57       | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $15207.04     | 0.00%             |  |  |  | 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        |   206110000 | PA      | $209795799.17 | 12.30%            | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $451.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLUE RIDGE RE LTD                                                         | BLUE RIDGE RE LTD UNSECURED 144A 01/29 VAR              | CUSIP: 096003AC2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $251525.00    | 0.01%             | 2029-01-08      | Floating      | 7.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1138.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $3047.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL3681 FN 10/40 FIXED VAR                     | CUSIP: 3138ELCT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26332 | PA      | $27636.03     | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2004-R10                                      | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R10 M2         | CUSIP: 03072SVS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84426 | PA      | $82790.94     | 0.00%             | 2034-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | BONOS DE TESORERIA SR UNSECURED 08/32 6.15              | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     7200000 | PA      | $2163744.94   | 0.13%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $129.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                       | NOMURA HOLDINGS INC SR UNSECURED 07/30 2.679            | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |      409000 | PA      | $374318.03    | 0.02%             | 2030-07-16      | Fixed         | 2.68%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5           | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      582000 | PA      | $521751.76    | 0.03%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAURA4 PIMCO SWAPTION 3.174 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    23200000 | NC      | $9268.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                             | ARGENT SECURITIES INC. ARSI 2006 M1 A1                  | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      392220 | PA      | $359353.93    | 0.02%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 726315 GN 09/39 FIXED 5                       | CUSIP: 3620AC3Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2614 | PA      | $2647.94      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1870.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR9                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR9 1A        | CUSIP: 939346AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       46827 | PA      | $42746.12     | 0.00%             | 2046-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS COP IBR/8.93300 10/28/25-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $590843.73    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-4                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A11          | CUSIP: 02660LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30216 | PA      | $15185.86     | 0.00%             | 2046-10-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A2                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1        | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48506 | PA      | $25879.90     | 0.00%             | 2036-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OH1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OH1 A1B       | CUSIP: 02150KAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      853063 | PA      | $850318.35    | 0.05%             | 2047-04-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.51000 04/09/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $28174.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7       | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    42500000 | PA      | $13382022.47  | 0.78%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4826 FR 09/55 FIXED 5.5             | CUSIP: 3142GVLG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5720548 | PA      | $5834012.59   | 0.34%             | 2055-09-01      | Fixed         | 5.50%                 | 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        |    15650000 | PA      | $15436549.96  | 0.91%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 880623 FN 04/36 FIXED 5.5                     | CUSIP: 31409WLC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         913 | PA      | $943.12       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CLP 4.67600 01/09/26-5Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |           1 | NC      | $5516.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFXNT TRS EQUITY SOFR+30 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-225370.44   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2005-AA10                   | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA10 2A1      | CUSIP: 32051GA88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13830 | PA      | $10449.46     | 0.00%             | 2035-12-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SAUDI ARABIA GOVT EM SP BRC                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-35925.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ0179 FN 01/48 FIXED 3.5                     | CUSIP: 3140H1FV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4338 | PA      | $4026.68      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG       | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $980000.00    | 0.06%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA2028 FN 04/48 FIXED 3.5                     | CUSIP: 3140Q9HE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27873 | PA      | $26072.23     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 902110 FN 10/36 FIXED 6                       | CUSIP: 31411AGT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         412 | PA      | $423.53       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1        | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       44293 | PA      | $41530.50     | 0.00%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $791.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 769481 FN 02/34 FIXED 5.5                     | CUSIP: 31404H2N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         238 | PA      | $240.05       | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZHA6 PIMCO SWAPTION 3.215 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1300000 | NC      | $3447.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                   | GA GLOBAL FUNDING TRUST SECURED 144A 01/35 5.9          | CUSIP: 36143L2S3<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |      900000 | PA      | $893697.26    | 0.05%             | 2035-01-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                         | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A         | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      603770 | PA      | $616760.94    | 0.04%             | 2041-02-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS11                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS11 1A4       | CUSIP: 75115EAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      809784 | PA      | $676215.88    | 0.04%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ5277 FN 10/32 FIXED 4.41                    | CUSIP: 3140Q02K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3336788 | PA      | $3336867.78   | 0.20%             | 2032-10-01      | Fixed         | 4.41%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                               | ILLINOIS ST ILS 02/35 FIXED 6.63                        | CUSIP: 452152BM2<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |       45000 | PA      | $47142.71     | 0.00%             | 2035-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 932548 FN 02/40 FIXED 5.5                     | CUSIP: 31412RBR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         252 | PA      | $259.15       | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256715 FN 05/27 FIXED 6                       | CUSIP: 31371NDU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          77 | PA      | $78.27        | 0.00%             | 2027-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-22A                                  | STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1        | CUSIP: 86359AYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          44 | PA      | $43.42        | 0.00%             | 2033-06-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                              | BONOS TESORERIA PESOS BONDS 144A REGS 10/29 5.8         | CUSIP: ACI2QBM79<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  1255000000 | PA      | $1379787.32   | 0.08%             | 2029-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-77                                                 | FANNIE MAE FNR 2024 77 FM                               | CUSIP: 3136BTRF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4673813 | PA      | $4684255.00   | 0.27%             | 2054-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $49404.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $499.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $72556.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1112126.80   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9479 FN 11/54 FIXED 5.5                     | CUSIP: 3140QVQ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5647409 | PA      | $5786529.27   | 0.34%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUND TRUST 2006-OH1                                   | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1         | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      100938 | PA      | $94537.48     | 0.01%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFUNT TRS EQUITY SOFR+1 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-660741.22   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Y3A4 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    11100000 | NC      | $657515.16    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3          | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      368066 | PA      | $89517.02     | 0.01%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-3783.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SC60 PIMCO CDSOPT PUT USD 102.32812500 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -11300000 | NC      | $-46856.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2006-1                             | STRUCTURED ASSET INVESTMENT LO SAIL 2006 1 A4           | CUSIP: 86358EA97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50031 | PA      | $47677.13     | 0.00%             | 2036-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3356 FN 05/48 FIXED 3.5                     | CUSIP: 31418CWS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26975 | PA      | $25034.73     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/20/24-20Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1350356.29   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 966578 FN 02/38 FIXED 6                       | CUSIP: 31414HJX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1308 | PA      | $1361.30      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3B       | CUSIP: 17311XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3698085 | PA      | $2760455.13   | 0.16%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 865188 FN 02/36 FIXED 6                       | CUSIP: 31409AF53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          24 | PA      | $25.13        | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RU20INTR TRS EQUITY SOFR+28 MYI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-361894.05   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 914370 FN 03/37 FIXED 6                       | CUSIP: 31411S2B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          21 | PA      | $21.51        | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.75000 09/16/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-3256460.05  | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797SL2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1500000 | PA      | $1498798.17   | 0.09%             | 2026-04-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-ASP1                                             | ACE SECURITIES CORP. ACE 2007 ASP1 A1                   | CUSIP: 00442JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    27214236 | PA      | $11594744.89  | 0.68%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $50171.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0ZA1 PIMCO SWAPTION 3.2975 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1400000 | NC      | $4879.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC SR UNSECURED 05/34 VAR                     | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      500000 | PA      | $525173.91    | 0.03%             | 2034-05-09      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CLP SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-169063.49   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2          | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         244 | PA      | $237.55       | 0.00%             | 2034-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2B        | CUSIP: 59022QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2171806 | PA      | $1061310.03   | 0.06%             | 2037-08-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-210836.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-850.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 2A2         | CUSIP: 61745M4P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       51360 | PA      | $46336.04     | 0.00%             | 2035-07-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2                            | AMERICAN HOME MORTGAGE INVESTM AHM 2007 2 13A1          | CUSIP: 02660CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22457 | PA      | $13007.60     | 0.00%             | 2047-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-7074.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-346.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A3       | CUSIP: 92922F4C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90974 | PA      | $86438.27     | 0.01%             | 2035-12-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-1687.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC7LA9 PIMCO SWAPTION 3.651 CALL USD 202606          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    21800000 | NC      | $193562.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260520                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $69258.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SD8446 FR 07/54 FIXED 5.5             | CUSIP: 3132DWL35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3010698 | PA      | $3028604.91   | 0.18%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                       | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR            | CUSIP: 92849FAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      250000 | PA      | $248800.00    | 0.01%             | 2030-01-08      | Floating      | 7.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-9448.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3922                                                   | FREDDIE MAC FHR 3922 GS                                 | CUSIP: 3137AFHT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      133692 | PA      | $127381.14    | 0.01%             | 2041-09-15      | Floating      | 3.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-5174.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-7                                              | LEHMAN MORTGAGE TRUST LMT 2006 7 1A2                    | CUSIP: 52520QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      401706 | PA      | $177587.16    | 0.01%             | 2036-11-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS5                                      | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS5 A1 144A       | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2159662 | PA      | $2162826.13   | 0.13%             | 2067-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-29997.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                      | GSAMP TRUST GSAMP 2007 NC1 A2C                          | CUSIP: 3622MGAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      442498 | PA      | $219569.33    | 0.01%             | 2046-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1       | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       88511 | PA      | $79162.15     | 0.00%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 988580 FN 08/38 FIXED 6                       | CUSIP: 31415TFV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          56 | PA      | $58.65        | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20261207                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $357900.48    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   155500000 | PA      | $155499999.99 | 9.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | DEUTSCHE BANK AKTIENGESELLSCH SLA SE ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |           1 | NC      | $-21562.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-4                                   | THORNBURG MORTGAGE SECURITIES TMST 2004 4 3A            | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29050 | PA      | $28885.42     | 0.00%             | 2044-12-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-486.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC2                                    | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A         | CUSIP: 585525FX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7714 | PA      | $7718.82      | 0.00%             | 2032-08-15      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RH91 PIMCO FXVAN PUT USD ZAR 17.00000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |   -23130000 | NC      | $-740136.87   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A5         | CUSIP: 32028GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2929 | PA      | $3122.60      | 0.00%             | 2036-11-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.70000 02/20/24-25Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1621759.17   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A83067 FG 11/38 FIXED 5               | CUSIP: 312929MQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         411 | PA      | $415.78       | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260604                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-9876.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $1709.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL3480 FN 07/40 FIXED VAR                     | CUSIP: 3138EK2N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4803 | PA      | $4969.93      | 0.00%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-16AX                                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 2A2        | CUSIP: 617487AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27239 | PA      | $7480.39      | 0.00%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G04731 FG 04/38 FIXED 5.5             | CUSIP: 3128M6SU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         933 | PA      | $963.34       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN 2006-1                                         | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 1 A5           | CUSIP: 83611MKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      618942 | PA      | $587557.10    | 0.03%             | 2036-02-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A1 144A   | CUSIP: 17312TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1269667 | PA      | $862235.24    | 0.05%             | 2037-05-25      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                               | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |        4173 | PA      | $40644.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $28856.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI7525 FR 06/54 FIXED 6               | CUSIP: 3133WELE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1709019 | PA      | $1746617.58   | 0.10%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+35.5 ULO                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-3448107.66  | -0.20%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -41500000 | NC      | $-16766.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Y4A3 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    11100000 | NC      | $569942.82    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-27205.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $27505.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3B         | CUSIP: 59024FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1835841 | PA      | $424594.83    | 0.02%             | 2037-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G04668 FG 03/38 FIXED 5               | CUSIP: 3128M6QV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1237 | PA      | $1252.61      | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-124                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 124 HF          | CUSIP: 38381PHD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    13462448 | PA      | $13583349.18  | 0.80%             | 2055-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 754031 FN 12/33 FLOATING VAR                  | CUSIP: 31403NVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         200 | PA      | $204.99       | 0.00%             | 2033-12-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2C            | CUSIP: 61750MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      551107 | PA      | $231475.61    | 0.01%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | YI4360438 NIGERIA OMO BILL                              | CUSIP: 990ACHTT6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  1285900000 | PA      | $810672.23    | 0.05%             | 2027-01-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | REPUBLIC OF COLOMBIA SR UNSECURED 11/54 8.375           | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     2800000 | PA      | $2899316.00   | 0.17%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-17635.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256713 FN 05/27 FIXED 5                       | CUSIP: 31371NDS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1150 | PA      | $1149.77      | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                                   | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6499017 | PA      | $6541662.81   | 0.38%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-441.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ2553 FN 12/47 FIXED 3.5                     | CUSIP: 3140H3ZT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4502 | PA      | $4199.38      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 1A1       | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      678969 | PA      | $470533.01    | 0.03%             | 2037-06-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA1                                                   | BCAP LLC TRUST BCAP 2007 AA1 2A1                        | CUSIP: 05530PAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1282988 | PA      | $1203982.80   | 0.07%             | 2037-03-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                        | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A4          | CUSIP: 55275RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      235542 | PA      | $112385.67    | 0.01%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20261026                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $164882.46    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20H                                  | SMALL BUSINESS ADMINISTRATION SBAP 2008 20H 1           | CUSIP: 83162CRY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       11028 | PA      | $11155.86     | 0.00%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-1162.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $3731.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                   | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1           | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20052 | PA      | $17562.75     | 0.00%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 776488 FN 03/34 FLOATING VAR                  | CUSIP: 31404RUM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3435 | PA      | $3520.45      | 0.00%             | 2034-03-01      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 05/07/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-23762.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2764                                                          | FREDDIE MAC FHR 2764 ZG                                 | CUSIP: 31394TYD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32663 | PA      | $33472.28     | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 920077 FN 12/36 FIXED 5.5                     | CUSIP: 31412BFS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8485 | PA      | $8737.54      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL0520 FN 07/41 FIXED VAR                     | CUSIP: 3138EGSJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7510 | PA      | $7722.37      | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-8520.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A73952 FG 02/38 FIXED 5               | CUSIP: 3128L7L96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4661 | PA      | $4715.62      | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 69 A1         | CUSIP: 12668AN27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4170 | PA      | $3832.57      | 0.00%             | 2035-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 542828 GN 06/35 FIXED 5                       | CUSIP: 36212TA53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         715 | PA      | $714.62       | 0.00%             | 2035-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A      | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4914 | PA      | $4288.62      | 0.00%             | 2046-07-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                               | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/28 3             | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2226508.10   | 0.13%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2006-A                                   | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 A M2          | CUSIP: 73316PJX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2821347 | PA      | $2723895.53   | 0.16%             | 2036-02-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                             | GSAA HOME EQUITY TRUST GSAA 2006 5 2A1                  | CUSIP: 362334GR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      127700 | PA      | $40547.09     | 0.00%             | 2036-03-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $19890.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-193.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $71953.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $11720.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA SR UNSECURED 04/29 2.25            | CUSIP: ACI1N5XG5<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  1864245680 | PA      | $440620.97    | 0.03%             | 2029-04-18      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-4N                                                   | LEHMAN XS TRUST LXS 2007 4N 3A1A                        | CUSIP: 52524HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4037791 | PA      | $3793955.62   | 0.22%             | 2047-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | INF SWAP US IT 2.5025 03/25/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2407.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS9843 FN 11/54 FIXED VAR                     | CUSIP: 3140XR5D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4131952 | PA      | $4356518.39   | 0.26%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-B                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1           | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2457 | PA      | $2100.24      | 0.00%             | 2047-04-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2442.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SJW6 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -3120000 | NC      | $-6155.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -10100000 | NC      | $-4080.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -22200000 | NC      | $-8991.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                                   | GSG BIDCO LTD SR SECURED 144A 06/31 4.7                 | CUSIP: ACI38RGT1<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |     2100000 | PA      | $2407879.32   | 0.14%             | 2031-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PHP SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-2827.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2B            | CUSIP: 617538AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5877122 | PA      | $2955050.09   | 0.17%             | 2036-12-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $11765.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 899170 FN 02/37 FIXED 5.5                     | CUSIP: 31410V6F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          93 | PA      | $96.42        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3                | ACE SECURITIES CORP. ACE 2005 HE3 M4                    | CUSIP: 004421NF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4760000 | PA      | $4464420.66   | 0.26%             | 2035-05-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G04847 FG 10/38 FIXED 5.5             | CUSIP: 3128M6WG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         790 | PA      | $813.39       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/20/24-15Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1336757.79   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.06300 12/06/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-8740.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.73000 12/31/30-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $2963.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 823384 FN 05/35 FIXED 5.5                     | CUSIP: 31406XXM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         891 | PA      | $899.25       | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                    | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M2          | CUSIP: 03072SQ40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1300000 | PA      | $1257596.08   | 0.07%             | 2035-11-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UARPA3 PIMCO SWAPTION 3.146 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    14700000 | NC      | $1755.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1B        | CUSIP: 939336X57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      295506 | PA      | $286806.70    | 0.02%             | 2045-01-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-53.86       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A2         | CUSIP: 86359LRY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8343 | PA      | $7219.37      | 0.00%             | 2036-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-4                                            | GSR MORTGAGE LOAN TRUST GSR 2004 4 2A2                  | CUSIP: 36228FD45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3402 | PA      | $3354.97      | 0.00%             | 2032-04-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3960 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5MJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24821 | PA      | $23048.77     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR2                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR2 A1A       | CUSIP: 93934FMN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36060 | PA      | $33336.69     | 0.00%             | 2046-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-1F                                           | GSR MORTGAGE LOAN TRUST GSR 2006 1F 5A1                 | CUSIP: 3623417Z6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      216893 | PA      | $75527.79     | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $6526.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256597 FN 02/37 FIXED 5.5                     | CUSIP: 31371M7J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          11 | PA      | $10.87        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAV0A1 PIMCO SWAPTION 3.26 CALL USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    26800000 | NC      | $17921.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-52802.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PHP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $323.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.97000 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $23821.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3136                                                          | FREDDIE MAC FHR 3136 NS                                 | CUSIP: 31396NH41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4183 | PA      | $373.91       | 0.00%             | 2036-04-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9318 FN 10/54 FIXED 5.5                     | CUSIP: 3140QVK86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4321189 | PA      | $4420868.95   | 0.26%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 993265 FN 05/39 FIXED 4.5                     | CUSIP: 31415YMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         100 | PA      | $99.41        | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-E                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E 2A6         | CUSIP: 05949AHA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2660 | PA      | $2592.35      | 0.00%             | 2034-06-25      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H040657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    50000000 | PA      | $46813185.00  | 2.74%             | 2056-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $1679.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.52000 03/27/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-42374.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 05/29 2.375                             | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2075100 | PA      | $1987110.90   | 0.12%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9YNA2 PIMCO SWAPTION 3.505 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    29000000 | NC      | $170224.20    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-2095.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 895096 FN 08/36 FIXED 6                       | CUSIP: 31410RNM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           9 | PA      | $9.71         | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                           | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2              | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7626 | PA      | $7392.47      | 0.00%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                                 | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/35 5.7         | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |      500000 | PA      | $504202.50    | 0.03%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-25274.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH2695 FN 01/41 FIXED 4.5                     | CUSIP: 3138A37H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12731 | PA      | $12606.58     | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 725495 FN 02/34 FLOATING VAR                  | CUSIP: 31402C7G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          95 | PA      | $97.02        | 0.00%             | 2034-02-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFENT TRS EQUITY SOFR+59 BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-6651549.73  | -0.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $5453.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH9277 FN 02/48 FIXED 3.5                     | CUSIP: 3140GYJX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       78405 | PA      | $73065.40     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH4268 FN 04/41 FIXED 4.5                     | CUSIP: 3138A5W65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1117 | PA      | $1094.54      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    57917212 | PA      | $59872589.17  | 3.51%             | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 669739 GN 07/37 FIXED 6                       | CUSIP: 36295GBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         945 | PA      | $982.87       | 0.00%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $30524.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-3R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 3R 29A2 144A     | CUSIP: 22943YUN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17957 | PA      | $12103.92     | 0.00%             | 2037-01-27      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-F1                              | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 F1 2A6         | CUSIP: 59023YAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36412 | PA      | $10964.26     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 844532 FN 11/35 FLOATING VAR                  | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          45 | PA      | $45.42        | 0.00%             | 2035-11-01      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $2852.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J3                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J3 1A1        | CUSIP: 12667GDA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20392 | PA      | $15065.77     | 0.00%             | 2035-05-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3430.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-50336.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-107766.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB0827 FN 04/54 FIXED 6                       | CUSIP: 3140A94M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      662778 | PA      | $682816.86    | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-6252.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A2      | CUSIP: 92922F7Q5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      190964 | PA      | $176491.86    | 0.01%             | 2045-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US225401AR98 CREDIT SUISSE GROUP AG       | CUSIP: 952NPGII8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     2400000 | PA      | $840000.00    | 0.05%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                   | GA GLOBAL FUNDING TRUST SR SECURED 144A 04/32 5.5       | CUSIP: 36143L2T1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |      400000 | PA      | $394713.76    | 0.02%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G04468 FG 07/38 FIXED 5               | CUSIP: 3128M6JM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1007 | PA      | $1019.17      | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 1A          | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       44800 | PA      | $23591.28     | 0.00%             | 2036-05-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-19CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 19CB A1       | CUSIP: 12667GFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      737773 | PA      | $454236.05    | 0.03%             | 2035-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-32                                                 | FANNIE MAE FNR 2007 32 SA                               | CUSIP: 31396VDR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       97284 | PA      | $8135.25      | 0.00%             | 2037-04-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 748501 GN 06/40 FIXED 5                       | CUSIP: 3620C4RW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9572 | PA      | $9718.10      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-43420.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI6075 FR 05/54 FIXED 6               | CUSIP: 3133WCXC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1565589 | PA      | $1601109.52   | 0.09%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-111307.55   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $36851.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A7       | CUSIP: 02146TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      538560 | PA      | $278678.08    | 0.02%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-QH1                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH1 A1 144A     | CUSIP: 12669HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76075 | PA      | $73086.15     | 0.00%             | 2037-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 972305 FN 02/38 FIXED 6                       | CUSIP: 31414PU64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5393 | PA      | $5660.39      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $32910.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 707284 GN 02/39 FIXED 5                       | CUSIP: 36297BXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8128 | PA      | $8301.79      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | 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        |          31 | PA      | $31.69        | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $7452.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RALI TRUST 2006-QO7                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO7 1A1        | CUSIP: 751150AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5620998 | PA      | $4716182.11   | 0.28%             | 2046-09-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA18 A1       | CUSIP: 23244GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4749161 | PA      | $4351148.32   | 0.26%             | 2046-12-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-SP2                                                      | RAAC SERIES RAAC 2006 SP2 M2                            | CUSIP: 74919PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4988845 | PA      | $4867484.27   | 0.29%             | 2036-02-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A3       | CUSIP: 02147QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37477 | PA      | $20435.52     | 0.00%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                                    | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A2A        | CUSIP: 84751NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2027564 | PA      | $1098955.14   | 0.06%             | 2037-11-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+29 MYI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-4180764.72  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-29028.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                            | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000     | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |     3900000 | PA      | $3053856.00   | 0.18%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 676882 GN 03/38 FIXED 5                       | CUSIP: 36295P6T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         143 | PA      | $146.03       | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS AUD 4.50000 09/20/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-1282210.07  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $14768.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 988588 FN 08/38 FIXED 5.5                     | CUSIP: 31415TF54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         771 | PA      | $792.84       | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | 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      | $-10243.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                      | BAYER US FINANCE LLC COMPANY GUAR 144A 11/33 6.5        | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |      200000 | PA      | $212770.24    | 0.01%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLT0 PIMCO CDSOPT CALL USD 98.20703125 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -19900000 | NC      | $-52623.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL AL5265 GN 02/45 FIXED 3.5                     | CUSIP: 36184BZ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8184 | PA      | $7693.96      | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $770.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL3223 FN 09/41 FIXED VAR                     | CUSIP: 3138EKSM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8007 | PA      | $8247.47      | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256197 FN 04/36 FIXED 6                       | CUSIP: 31371MRS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          46 | PA      | $47.83        | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5388 FN 06/54 FIXED 5.5                     | CUSIP: 31418E7A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1732315 | PA      | $1742794.53   | 0.10%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A36784 FG 09/35 FIXED 5               | CUSIP: 31297SRD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          95 | PA      | $95.74        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6       | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     6200000 | PA      | $1819217.79   | 0.11%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-12R                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 12R 2A2 144A     | CUSIP: 12651DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11086354 | PA      | $10259754.64  | 0.60%             | 2037-11-30      | Floating      | 3.63%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 487821 GN 03/39 FIXED 5                       | CUSIP: 36210B4E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2350 | PA      | $2390.59      | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9YMA3 PIMCO SWAPTION 3.255 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    32600000 | NC      | $93920.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $190412.29    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AP2                                     | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AP2 A5          | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17362 | PA      | $8188.36      | 0.00%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI6798 FR 05/54 FIXED 6               | CUSIP: 3133WDRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      759814 | PA      | $780374.84    | 0.05%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 13.9271 05/08/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-146693.87   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1065.56     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSLT TRS EQUITY SOFR+60 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-204081.57   | -0.01%            |  |  |  | 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        |        1550 | PA      | $1513.85      | 0.00%             | 2044-07-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                   | NTT FINANCE CORP SR UNSECURED 144A 07/30 4.876          | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      400000 | PA      | $402647.06    | 0.02%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $6922.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-3960.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-1                                      | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A2          | CUSIP: 61751QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      874065 | PA      | $416170.61    | 0.02%             | 2036-12-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 08/29 11                     | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 75032100000 | PA      | $18917897.00  | 1.11%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL C02054 FG 01/35 FIXED 5.5             | CUSIP: 31292JH78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         100 | PA      | $100.43       | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                                   | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1          | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20020 | PA      | $19926.32     | 0.00%             | 2036-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $1564.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE0245 FN 12/38 FIXED VAR                     | CUSIP: 31419AHX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4738 | PA      | $4972.37      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $162674.26    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $6294.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SAUDI ARABIA GOVT EM SP JPM                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-70584.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI3936 FR 04/54 FIXED 6               | CUSIP: 3133WALR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      673477 | PA      | $688632.42    | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                      | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A       | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4488637 | PA      | $4493430.56   | 0.26%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40 LTD 2019-1A                                | OCTAGON INVESTMENT PARTNERS 40 OCT40 2019 1A A1RR 144A  | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2200000 | PA      | $2200711.63   | 0.13%             | 2035-01-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2007-AR1                                         | DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 1A1A             | CUSIP: 23333YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      481777 | PA      | $404830.87    | 0.02%             | 2047-04-19      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 4 LTD 2016-4A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 4A AR 144A     | CUSIP: 03329TAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      700000 | PA      | $668179.97    | 0.04%             | 2039-04-27      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260819                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $58330.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-20103.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | PEMEX LCDS SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $1473.71      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9634 FN 12/54 FIXED 4.5                     | CUSIP: 3140QVV43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1545628 | PA      | $1519289.24   | 0.09%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $401252.93    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.28000 11/22/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-16859.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.07100 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $58877.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                                  | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A     | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24808 | PA      | $22779.51     | 0.00%             | 2042-05-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1907.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 889983 FN 10/38 FIXED VAR                     | CUSIP: 31410KXL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         382 | PA      | $400.56       | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A       | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      223614 | PA      | $188182.87    | 0.01%             | 2036-12-19      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $356.05       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A1 144A        | CUSIP: 61753NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1393477 | PA      | $1261594.46   | 0.07%             | 2037-02-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-4                                   | AEGIS ASSET BACKED SECURITIES AABST 2005 4 M2           | CUSIP: 00764MGH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      588207 | PA      | $573020.89    | 0.03%             | 2035-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                                     | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A         | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5581 | PA      | $5713.82      | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | 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        |    -2100000 | NC      | $-6038.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-14556.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 908588 FN 02/37 FIXED 6                       | CUSIP: 31411HND8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1462 | PA      | $1490.44      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 B 144A      | CUSIP: 55284AAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12800000 | PA      | $12814522.11  | 0.75%             | 2036-10-16      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1B      | CUSIP: 23243AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1019769 | PA      | $1072203.16   | 0.06%             | 2046-09-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | FED FUND 30DAY    MAY26 XCBT 20260529                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         190 | NC      | $-306507.80   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W1                                             | ARGENT SECURITIES INC. ARSI 2006 W1 A2C                 | CUSIP: 040104RF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      694018 | PA      | $652058.02    | 0.04%             | 2036-03-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-4456.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC1RA6 PIMCO SWAPTION 4.75 PUT USD 20260904          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    47100000 | NC      | $112324.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2953996.37  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE3                                     | MORGAN STANLEY CAPITAL INC MSAC 2004 HE3 M1             | CUSIP: 61744CDH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      482735 | PA      | $500720.87    | 0.03%             | 2034-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2347.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $14613.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A        | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      269777 | PA      | $240671.75    | 0.01%             | 2046-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-60                                                 | FANNIE MAE FNR 2011 60 OA                               | CUSIP: 31397U3F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       64373 | PA      | $56153.12     | 0.00%             | 2039-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 2CB 1A9       | CUSIP: 02149HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73785 | PA      | $36372.07     | 0.00%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/2.00000 06/18/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-1592082.53  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                  | CUSIP: 989RJPII3<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    50000000 | PA      | $2769387.60   | 0.16%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3               | DEUTSCHE ALT A SECURITIES INC DBALT 2007 3 2A1          | CUSIP: 25151KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      147467 | PA      | $116046.81    | 0.01%             | 2047-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBSFA1 PIMCO SWAPTION 3.449 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    30000000 | NC      | $213.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 2A1        | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24050 | PA      | $21900.13     | 0.00%             | 2035-11-20      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q49387 FG 07/47 FIXED 4               | CUSIP: 3132WPND5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49996 | PA      | $48016.39     | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 813595 FN 10/35 FLOATING VAR                  | CUSIP: 31406L3C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         366 | PA      | $376.67       | 0.00%             | 2035-10-01      | Floating      | 6.30%                 | 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      | $-8192.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2006-11                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 11 2A2          | CUSIP: 61749WAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       57436 | PA      | $22614.24     | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20270115                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $399756.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $5029.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 2A2              | CUSIP: 46630GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23485 | PA      | $22840.32     | 0.00%             | 2035-07-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-13T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 13T1 A11      | CUSIP: 12668BZM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31799 | PA      | $14782.23     | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/18/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $364675.79    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 919658 FN 09/37 FIXED 6                       | CUSIP: 31412AWT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         570 | PA      | $586.60       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-2662.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.61000 03/24/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-38266.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 5YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        5159 | NC      | $-6359486.76  | -0.37%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICAT 2007-3                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 3 2A3           | CUSIP: 12668UAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       80848 | PA      | $78148.02     | 0.00%             | 2047-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $635714.01    | 0.04%             |  |  |  | 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        |      145600 | PA      | $90596.19     | 0.01%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-11934.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 4.48500 12/02/30-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-2625.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A1         | CUSIP: 17309BAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      298999 | PA      | $145697.66    | 0.01%             | 2036-05-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR NOTE (CBT)JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         865 | NC      | $-1787218.04  | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                               | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                 | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      800000 | PA      | $18002.86     | 0.00%             | 2026-05-20      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-6                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 6 3A4          | CUSIP: 05950RBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5207 | PA      | $4869.86      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $6404.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.84000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3700.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-3685.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 829708 FN 06/35 FLOATING VAR                  | CUSIP: 31407FYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         135 | PA      | $138.95       | 0.00%             | 2035-06-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4936.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/16/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $474915.78    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $5753.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-12812.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $408.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260819                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-81852.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-12309.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.0535* 09/02/25-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-270002.05   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.38000 12/31/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-50388.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 604550 GN 08/33 FIXED 5                       | CUSIP: 36200MTF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2900 | PA      | $2961.01      | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 835751 FN 08/35 FIXED 4.5                     | CUSIP: 31407NQC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          66 | PA      | $65.27        | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-4334.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $124496.04    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1      | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6637 | PA      | $6711.73      | 0.00%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 900134 FN 09/36 FIXED 6                       | CUSIP: 31410XBB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          80 | PA      | $82.90        | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 674114 GN 06/38 FIXED 5                       | CUSIP: 36295L3X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         443 | PA      | $448.76       | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R11                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R11 M4         | CUSIP: 03072SWT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      847271 | PA      | $809866.43    | 0.05%             | 2034-11-25      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD0461 FN 09/36 FIXED VAR                     | CUSIP: 31418MQP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13478 | PA      | $13944.01     | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ3573 FR 02/55 FIXED 6.5             | CUSIP: 3142GT6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2307137 | PA      | $2411723.76   | 0.14%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 682705 FN 01/33 FIXED 5.5                     | CUSIP: 31400BNW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          28 | PA      | $28.38        | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-1                                   | THORNBURG MORTGAGE SECURITIES TMST 2004 1 II2A          | CUSIP: 885220EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19586 | PA      | $19255.67     | 0.00%             | 2044-03-25      | Floating      | 2.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 753095 FN 12/33 FIXED 5.5                     | CUSIP: 31403MUU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         639 | PA      | $642.72       | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZS8935 FR 01/29 FIXED 6.5             | CUSIP: 3132A94U8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         535 | PA      | $540.59       | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 747724 GN 08/40 FIXED 5                       | CUSIP: 3620C3VR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11782 | PA      | $11957.45     | 0.00%             | 2040-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA1                                       | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA1 1A1       | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         736 | PA      | $408.83       | 0.00%             | 2035-03-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 725690 FN 08/34 FIXED VAR                     | CUSIP: 31402DF70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          13 | PA      | $13.22        | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                                    | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A2 144A    | CUSIP: 16678RDL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50441 | PA      | $49042.42     | 0.00%             | 2036-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1         | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39529 | PA      | $31091.51     | 0.00%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $2949.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                   | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 1A         | CUSIP: 93364EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76904 | PA      | $73521.69     | 0.00%             | 2037-05-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $2155.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 981705 FN 06/38 FIXED 4.5                     | CUSIP: 31415BDJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         645 | PA      | $633.64       | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2010-16                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 16 B9 144A       | CUSIP: 12644WAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      367042 | PA      | $329470.06    | 0.02%             | 2050-06-25      | Variable      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-2322.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $804.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-2971.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CLP SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-116761.98   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $11305.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4         | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2011 | PA      | $1966.31      | 0.00%             | 2036-06-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3 MONTH SOFR FUT  MAR27 XCME 20270615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -23 | NC      | $26139.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $7503.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSLT TRS EQUITY SOFR+37 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $215439.87    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $330738.15    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-16791.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1107.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                          | BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1             | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3315 | PA      | $3248.77      | 0.00%             | 2036-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UCA9A6 PIMCO SWAPTION 3.589 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -25300000 | NC      | $-93685.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 697852 GN 02/39 FIXED 5                       | CUSIP: 36296QH51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6498 | PA      | $6582.10      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2003-BC9                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC9 2A         | CUSIP: 86358EDG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91921 | PA      | $90868.47     | 0.01%             | 2033-08-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RU20INTR TRS EQUITY SOFR+44 BOA                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-2843730.21  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                                  | LEHMAN XS TRUST LXS 2007 15N 2A1                        | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33523 | PA      | $33151.99     | 0.00%             | 2037-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 811801 FN 02/35 FLOATING VAR                  | CUSIP: 31406J3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         240 | PA      | $245.31       | 0.00%             | 2035-02-01      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $7919.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $31620.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE3                                    | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE3 M1        | CUSIP: 04541GJT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      469598 | PA      | $495611.79    | 0.03%             | 2034-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFENT TRS EQUITY SOFR+52 BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-4900233.34  | -0.29%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   361262788 | PA      | $373431368.67 | 21.89%            | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC9MA4 PIMCO SWAPTION 4.075 PUT USD 2026040          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1100000 | NC      | $238.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-20610.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C                            | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 C M1          | CUSIP: 73316MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      190833 | PA      | $183479.70    | 0.01%             | 2036-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A1                | CUSIP: 362341RT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         148 | PA      | $148.21       | 0.00%             | 2035-09-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 831286 FN 02/36 FIXED 6                       | CUSIP: 31407HRF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         881 | PA      | $921.68       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H052652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    33150000 | PA      | $33298967.48  | 1.95%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-32702.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-8933.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 965040 FN 09/38 FIXED 4.5                     | CUSIP: 31414FS51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         997 | PA      | $986.72       | 0.00%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PHP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $2331.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-4135.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 1A1              | CUSIP: 466247H89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      452354 | PA      | $397620.19    | 0.02%             | 2036-04-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 916326 FN 04/37 FIXED 6                       | CUSIP: 31411WA31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1440 | PA      | $1478.16      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-63                                                        | FANNIE MAE FNR 2007 63 FC                               | CUSIP: 31396WTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2678 | PA      | $2650.91      | 0.00%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3977 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5M32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10608 | PA      | $9868.42      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $4141.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $6561.19      | 0.00%             |  |  |  | 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        |    27300000 | PA      | $26484732.46  | 1.55%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.84199 12/02/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1010243.85   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-H1                                                       | GSAMP TRUST GSAMP 2007 H1 A2B                           | CUSIP: 36245YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1350959 | PA      | $683131.77    | 0.04%             | 2047-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $5290.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.00000 06/21/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2994453.26   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | SOUTH AFRICAN T BILLS BILLS 06/26 0.00000               | CUSIP: ACI30CS02<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    13600000 | PA      | $793973.97    | 0.05%             | 2026-06-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL0869 FN 06/29 FIXED VAR                     | CUSIP: 3138EG6F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6744 | PA      | $6742.46      | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $13207.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH5201 FN 09/47 FIXED 3.5                     | CUSIP: 3140GTX70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11058 | PA      | $10349.47     | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $22964.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-98071.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-9338.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256962 FN 11/27 FIXED 6                       | CUSIP: 31371NMK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         388 | PA      | $396.07       | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC30A1 PIMCO SWAPTION 4.088 PUT USD 2026050          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -10900000 | NC      | $-35249.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                             | GSAA HOME EQUITY TRUST GSAA 2007 5 2A3A                 | CUSIP: 3622ECAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      238960 | PA      | $103261.48    | 0.01%             | 2047-04-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 758900 FN 12/33 FLOATING VAR                  | CUSIP: 31403VDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          55 | PA      | $56.11        | 0.00%             | 2033-12-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ECONOMIC DEVELOPMENT FINANCING AUTHORITY                     | PENNSYLVANIA ST ECON DEV FING PASDEV 06/39 FIXED 6.532  | CUSIP: 70869PFT9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |        5000 | PA      | $5431.49      | 0.00%             | 2039-06-15      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256151 FN 03/36 FIXED 5.5                     | CUSIP: 31371MQC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          67 | PA      | $68.87        | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH4246 FN 04/41 FIXED 4.5                     | CUSIP: 3138A5WG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1545 | PA      | $1521.72      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 928382 FN 06/37 FIXED 5.5                     | CUSIP: 31412LM72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1224 | PA      | $1262.00      | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $71017.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $538.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A        | CUSIP: 92925DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9011 | PA      | $8375.99      | 0.00%             | 2046-12-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 720199 GN 07/39 FIXED 5                       | CUSIP: 3620A6DC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2095 | PA      | $2139.93      | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $2660.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A3                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A3 6A1         | CUSIP: 59023CAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25984 | PA      | $24724.28     | 0.00%             | 2036-05-25      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-22                                                 | FANNIE MAE FNR 2007 22 SW                               | CUSIP: 31396PT92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27107 | PA      | $2164.75      | 0.00%             | 2037-03-25      | Floating      | 2.27%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 686678 GN 05/38 FIXED 5                       | CUSIP: 36296B2K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          57 | PA      | $57.73        | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $1628.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-42719.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $86925.92     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A3B       | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1979525 | PA      | $1355845.56   | 0.08%             | 2037-05-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                                        | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A2             | CUSIP: 59020UVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4235 | PA      | $3905.38      | 0.00%             | 2035-04-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAANA2 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    21000000 | NC      | $1189209.00   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                   | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3278 | PA      | $3269.60      | 0.00%             | 2034-11-21      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA2994 FN 05/47 FIXED 3.5                     | CUSIP: 31418CKG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5098 | PA      | $4767.73      | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4371.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-7.21        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-A                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2004 A 1A3          | CUSIP: 06051GAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         273 | PA      | $279.55       | 0.00%             | 2034-09-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-87                                                        | FANNIE MAE FNR 2009 87 HS                               | CUSIP: 31398FR45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14854 | PA      | $1258.54      | 0.00%             | 2039-11-25      | Floating      | 2.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG46 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-12158864.22 | -0.71%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $18582.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-162631.45   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 555800 FN 10/33 FIXED VAR                     | CUSIP: 31385XNR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         387 | PA      | $393.94       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                           | BEAR STEARNS ALT A TRUST BALTA 2005 9 21A1              | CUSIP: 07386HXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35600 | PA      | $32924.45     | 0.00%             | 2035-11-25      | Floating      | 4.34%                 | 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        |    -2000000 | NC      | $-1785.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA4ZA3 PIMCO FPPSWAPTION 4.6275 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    24300000 | NC      | $1354785.75   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-1                                          | TOWD POINT MORTGAGE TRUST TPMT 2018 1 A1 144A           | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13148 | PA      | $13094.31     | 0.00%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MYR SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-12783.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260715                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $146396.08    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SEO9 PIMCO FXVAN PUT USD BRL 5.32000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     5680000 | NC      | $167792.88    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1       | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9894 | PA      | $9401.31      | 0.00%             | 2046-03-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 946254 FN 09/37 FIXED 6                       | CUSIP: 31413HWP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         337 | PA      | $353.46       | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $299644.31    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $34085.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A        | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1998 | PA      | $1711.54      | 0.00%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA48A3 PIMCO FPPSWAPTION 4.628 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    30700000 | NC      | $1712025.41   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL AL2172 GN 02/45 FIXED 3.5                     | CUSIP: 36183XMV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8320 | PA      | $7817.11      | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ3342 FR 01/55 FIXED 6.5             | CUSIP: 3142GTWC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2147541 | PA      | $2273887.75   | 0.13%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-10                                                      | IMPAC CMB TRUST IMM 2004 10 1A1                         | CUSIP: 45254NLJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      117637 | PA      | $115677.97    | 0.01%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                                  | HYATT HOTELS CORP SR UNSECURED 03/32 5.75               | CUSIP: 448579AV4<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |      200000 | PA      | $205559.15    | 0.01%             | 2032-03-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9460000 | PA      | $9121193.41   | 0.53%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1         | CUSIP: 12668AWH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30836 | PA      | $29514.24     | 0.00%             | 2035-12-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UCAAA4 PIMCO SWAPTION 3.889 PUT USD 2026043          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    24200000 | NC      | $75511.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 716784 GN 04/39 FIXED 5                       | CUSIP: 3620A2J56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5748 | PA      | $5822.28      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-4                                      | WELLS FARGO HOME EQUITY TRUST WFHET 2005 4 M3           | CUSIP: 9497EMAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       94253 | PA      | $94240.83     | 0.01%             | 2035-12-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5575                                                   | FREDDIE MAC FHR 5575 FC                                 | CUSIP: 3137HN2X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21921009 | PA      | $22085762.62  | 1.29%             | 2055-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $6731.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-1803.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUXL 30Y BND JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |           1 | NC      | $-1526.83     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-8268.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.68500 12/02/30-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $5960.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR2                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR2 A1         | CUSIP: 86359LSM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29138 | PA      | $27592.99     | 0.00%             | 2036-02-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-35871.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4430.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC63A1 PIMCO SWAPTION 3.4425 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    24700000 | NC      | $114136.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                              | BONOS TESORERIA PESOS UNSECURED 144A REGS 09/30 4.7     | CUSIP: ACI13NCW6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   365000000 | PA      | $386058.45    | 0.02%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR3                                         | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR3 2A1              | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         192 | PA      | $183.80       | 0.00%             | 2044-07-19      | Floating      | 4.91%                 | 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        |    48470000 | PA      | $46773681.84  | 2.74%             | 2056-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-7                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 7 3AF          | CUSIP: 86361BAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26294 | PA      | $20944.48     | 0.00%             | 2036-08-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    59300000 | NC      | $85273.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 995482 FN 01/39 FIXED VAR                     | CUSIP: 31416B2P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         243 | PA      | $250.21       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                             | EGYPT GOVERNMENT BOND BONDS 10/30 19.698                | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   125400000 | PA      | $2258878.75   | 0.13%             | 2030-10-14      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA8                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A2         | CUSIP: 74922QAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      198350 | PA      | $187519.87    | 0.01%             | 2036-09-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+27 BRC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-9194799.51  | -0.54%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-4901.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-89302.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-105.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A4           | CUSIP: 12669VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7600000 | PA      | $6716922.56   | 0.39%             | 2047-10-25      | Floating      | 4.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $987.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 688442 GN 05/38 FIXED 5                       | CUSIP: 36296DZF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         705 | PA      | $716.32       | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260520                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $65023.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 697946 GN 03/39 FIXED 5                       | CUSIP: 36296QL31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2101 | PA      | $2127.99      | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.40000 04/09/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $6403.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $1699.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE1                       | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE1 M1        | CUSIP: 07384YPX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      979321 | PA      | $1008672.37   | 0.06%             | 2034-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q53756 FG 01/48 FIXED 4               | CUSIP: 3132XWE64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      274694 | PA      | $263562.90    | 0.02%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006 GP4                                                  | LEHMAN XS TRUST LXS 2006 GP4 3A5                        | CUSIP: 525161AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      506845 | PA      | $534185.10    | 0.03%             | 2046-08-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-22995.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI6291 FR 05/54 FIXED 6               | CUSIP: 3133WC7C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      632105 | PA      | $646186.37    | 0.04%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $9028.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MYR SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-5813.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 745418 FN 04/36 FIXED VAR                     | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1387 | PA      | $1431.88      | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $40140.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                  | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 3A1       | CUSIP: 94985GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       57576 | PA      | $50889.37     | 0.00%             | 2037-07-25      | Fixed         | 6.25%                 | 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        |   134000000 | PA      | $136343936.04 | 7.99%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $18635.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-2219.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                           | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1              | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         541 | PA      | $522.93       | 0.00%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11                      | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE11 M3       | CUSIP: 073879PA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3518428 | PA      | $3559595.54   | 0.21%             | 2034-12-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 1A1        | CUSIP: 17307G2Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6545 | PA      | $6372.45      | 0.00%             | 2035-10-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                         | MF1 MULTIFAMILY HOUSING MORTGA MF1 2024 FL14 A 144A     | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $1000483.92   | 0.06%             | 2039-03-19      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888817 FN 08/37 FIXED VAR                     | CUSIP: 31410GPA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         438 | PA      | $447.63       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-52986.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCN3 PIMCO CDSOPT PUT USD 102.23437500 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -5800000 | NC      | $-18741.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-18560.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 12/17/25-2Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1528.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSLT TRS EQUITY SOFR+63 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-173377.90   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A      | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1529381 | PA      | $1536463.61   | 0.09%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4079                                                   | FREDDIE MAC FHR 4079 WZ                                 | CUSIP: 3137ARVQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      557278 | PA      | $520413.30    | 0.03%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER CAP I2002-AM3                                  | MORGAN STANLEY DEAN WITTER CAP MSDWC 2002 AM3 A3        | CUSIP: 61746WWR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16845 | PA      | $16995.13     | 0.00%             | 2033-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 6A1                | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1002 | PA      | $966.04       | 0.00%             | 2035-07-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRUST 2006-W1              | STRUCTURED ASSET SECURITIES CO SASC 2006 W1A A5 144A    | CUSIP: 86361CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2489581 | PA      | $2335552.34   | 0.14%             | 2046-08-25      | Floating      | 4.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAUZA5 PIMCO SWAPTION 3.56 PUT USD 20260428          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -27300000 | NC      | $-357774.69   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC SR UNSECURED 11/33 VAR                     | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     2800000 | PA      | $3132106.85   | 0.18%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH2712 FN 04/47 FIXED 3.5                     | CUSIP: 3140GRAN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21505 | PA      | $20048.73     | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-8973.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-4376.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $879.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                             | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A1                  | CUSIP: 12669GYY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27082 | PA      | $24191.81     | 0.00%             | 2035-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q63559 FG 05/49 FIXED 3.5             | CUSIP: 3132VP5V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      148230 | PA      | $137732.14    | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-1875.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 745257 FN 01/36 FIXED VAR                     | CUSIP: 31403C5S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         138 | PA      | $144.46       | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                  | AMERICAN EXPRESS CO SR UNSECURED 01/36 VAR              | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     3900000 | PA      | $3971750.25   | 0.23%             | 2036-01-30      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-2246.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-4714.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 12/20/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $584762.10    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE3                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE3 A2D            | CUSIP: 61749HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1718500 | PA      | $1669710.97   | 0.10%             | 2036-04-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-325.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-15                                                        | FANNIE MAE FNR 2006 15 FC                               | CUSIP: 31395BVE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         678 | PA      | $668.47       | 0.00%             | 2036-03-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    22200000 | NC      | $31923.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1        | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11809 | PA      | $11990.49     | 0.00%             | 2036-03-25      | Floating      | 6.05%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A77292 FG 04/38 FIXED 5               | CUSIP: 3128LBC55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1402 | PA      | $1419.13      | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $24243.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                              | ACE SECURITIES CORP. ACE 2006 HE4 A2A                   | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         480 | PA      | $184.95       | 0.00%             | 2036-10-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 754744 FN 11/33 FIXED 5.5                     | CUSIP: 31403QP53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         209 | PA      | $210.03       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A2       | CUSIP: 23243AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10016 | PA      | $9711.34      | 0.00%             | 2046-09-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 840699 FN 09/35 FIXED 5.5                     | CUSIP: 31407T7L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         107 | PA      | $109.84       | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                         | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2B        | CUSIP: 81377GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15976 | PA      | $5151.04      | 0.00%             | 2036-08-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 828809 FN 08/35 FLOATING VAR                  | CUSIP: 31407EYE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1587 | PA      | $1616.84      | 0.00%             | 2035-08-01      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A39333 FG 10/35 FIXED 5               | CUSIP: 31297VLN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         130 | PA      | $130.81       | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING II LTD                                              | ROMARK CREDIT FUNDING, LTD. RCF 2021 2A A 144A          | CUSIP: 77588JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $476043.00    | 0.03%             | 2039-10-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                                    | OZLM LTD OZLM 2019 24A A1CR 144A                        | CUSIP: 67113DBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6650000 | PA      | $6658084.47   | 0.39%             | 2032-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-5                                                   | MORTGAGEIT TRUST MHL 2005 5 A1                          | CUSIP: 61915RAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84166 | PA      | $84285.29     | 0.00%             | 2035-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AK8453 FN 04/42 FIXED 4.5                     | CUSIP: 3138EDMB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         305 | PA      | $301.40       | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-2                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 2 5A1          | CUSIP: 863579V47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16221 | PA      | $12994.53     | 0.00%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 688013 GN 10/38 FIXED 5                       | CUSIP: 36296DK23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         834 | PA      | $849.07       | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3MO EURO EURIBOR  JUN27 IFLL 20270614                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         -20 | NC      | $36673.05     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $25133.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-80179.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -42090000 | PA      | $-33893958.67 | -1.99%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 3 LTD 2016-3A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 3A A1R 144A    | CUSIP: 03330EAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $477979.40    | 0.03%             | 2039-01-28      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC0TA6 PIMCO SWAPTION 3.6 PUT USD 20260602           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -26400000 | NC      | $-377786.64   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-A                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 A 2A2         | CUSIP: 05948XT27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3703 | PA      | $3664.59      | 0.00%             | 2034-02-25      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 908098 FN 12/36 FIXED 6                       | CUSIP: 31411G3F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7855 | PA      | $8123.67      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-7880.29     | -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        |    17298200 | PA      | $12639173.04  | 0.74%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $3828.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE3                                              | ACE SECURITIES CORP. ACE 2006 HE3 A2D                   | CUSIP: 00441TAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1507010 | PA      | $1120008.43   | 0.07%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-157355.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $352.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     7200000 | NC      | $396398.88    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $40535.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $7255.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A10                                      | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A10 A4         | CUSIP: 45660LXN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73345 | PA      | $30061.53     | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 964677 FN 08/38 FIXED 6                       | CUSIP: 31414FFS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          16 | PA      | $16.11        | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $34807.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OHIO STATE UNIVERSITY                                                     | OHIO ST UNIV OHSHGR 06/11 FIXED OID 4.8                 | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |       67000 | PA      | $55024.53     | 0.00%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-1963.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1              | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2698 | PA      | $1472.96      | 0.00%             | 2036-10-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 698484 GN 08/39 FIXED 5                       | CUSIP: 36296Q6V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1687 | PA      | $1731.93      | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 995243 FN 08/38 FIXED VAR                     | CUSIP: 31416BS82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         464 | PA      | $459.75       | 0.00%             | 2038-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 12.985 01/27/26-01/02/31 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-115844.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 675181 GN 03/38 FIXED 5                       | CUSIP: 36295NCS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8890 | PA      | $9017.57      | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 741275 GN 05/40 FIXED 5                       | CUSIP: 3620AVQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1443 | PA      | $1464.52      | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.93300 01/06/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $16669.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI4142 FN 06/41 FIXED 4.5                     | CUSIP: 3138AHS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1744 | PA      | $1725.50      | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                               | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                 | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   104700000 | PA      | $2347807.47   | 0.14%             | 2028-05-17      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J5                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J5 1A7        | CUSIP: 12667GHG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       79296 | PA      | $62314.15     | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                  | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    73400000 | PA      | $4291197.05   | 0.25%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                      | KEURIG DR PEPPER                                        | CUSIP: 49271KD84<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |    12000000 | PA      | $11988940.80  | 0.70%             | 2026-04-08      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 774290 GN 02/42 FIXED 5                       | CUSIP: 36176R7B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1049 | PA      | $1058.61      | 0.00%             | 2042-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.89900 03/11/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-9561.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-453.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 AS 144A     | CUSIP: 55284AAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12800000 | PA      | $12799064.96  | 0.75%             | 2036-10-16      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-7247.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-6918.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-70                                                 | FANNIE MAE FNR 2007 70 FA                               | CUSIP: 31396WRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1167 | PA      | $1156.26      | 0.00%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-74629.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1       | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9666 | PA      | $8915.63      | 0.00%             | 2036-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A                         | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 1A A3 144A    | CUSIP: 78435VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      298987 | PA      | $300463.20    | 0.02%             | 2029-05-21      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                            | FREMONT HOME LOAN TRUST FHLT 2006 C 2A2                 | CUSIP: 35729TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      679600 | PA      | $268257.35    | 0.02%             | 2036-10-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/17/26-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $90999.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $552.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-17770.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C         | CUSIP: 59024FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75365 | PA      | $17360.12     | 0.00%             | 2037-03-25      | Floating      | 4.39%                 | 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        |    -2000000 | NC      | $-10447.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                          | FREDDIE MAC FHR 3360 FC                                 | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26392 | PA      | $26455.94     | 0.00%             | 2037-05-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11                                    | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M3        | CUSIP: 76110W7F7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2144427 | PA      | $2127670.71   | 0.12%             | 2035-12-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-275.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAUSA3 PIMCO SWAPTION 3.674 PUT USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2800000 | NC      | $-22883.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20C                                  | SMALL BUSINESS ADMINISTRATION SBAP 2008 20C 1           | CUSIP: 83162CRR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        1393 | PA      | $1406.01      | 0.00%             | 2028-03-01      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.88400 03/25/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-9068.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                            | FREMONT HOME LOAN TRUST FHLT 2006 B 2A3                 | CUSIP: 35729QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9386803 | PA      | $2894651.58   | 0.17%             | 2036-08-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 917129 FN 06/37 FIXED 6                       | CUSIP: 31411W4N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3355 | PA      | $3469.87      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-OP2                                         | SECURITIZED ASSET BACKED RECEI SABR 2005 OP2 M3         | CUSIP: 81375WGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1317000 | PA      | $1177441.72   | 0.07%             | 2035-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-2A                                                  | FIRST HELP FINANCIAL LLC FHF 2024 2A A2 144A            | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      511518 | PA      | $515103.43    | 0.03%             | 2030-06-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZIA5 PIMCO SWAPTION 2.965 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2600000 | NC      | $3401.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SOO8 PIMCO CDSOPT CALL USD 94.31250000 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -9300000 | NC      | $-27471.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                                        | FANNIE MAE FNR 2007 96 AF                               | CUSIP: 31396XNT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42184 | PA      | $42287.12     | 0.00%             | 2037-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS8                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS8 A1         | CUSIP: 75115AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9035 | PA      | $7617.14      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-3286.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-2                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M5          | CUSIP: 542514KV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2944 | PA      | $2942.13      | 0.00%             | 2035-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $970502.98    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BK1792 FN 03/48 FIXED 3.5                     | CUSIP: 3140HE7E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14544 | PA      | $13508.20     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $1737.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 8 M6            | CUSIP: 1266735Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      130637 | PA      | $129085.58    | 0.01%             | 2035-12-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-1000.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $36699.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-979725.98   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 933121 FN 01/38 FIXED 5.5                     | CUSIP: 31412SD28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         121 | PA      | $123.22       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.11000 08/25/27-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-30665.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $4839.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-2123.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CITIGROUP REPO REPO                     5807            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    15600000 | PA      | $15600000.00  | 0.91%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBYBA2 PIMCO SWAPTION 3.967 PUT USD 2026050          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -19500000 | NC      | $-115541.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ICE 3MTH SONIA FU MAR27 IFLL 20270615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         527 | NC      | $243489.39    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $9570.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-5245.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG44 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-2626213.10  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-11026.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO260629                              | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  2513753000 | PA      | $1730970.44   | 0.10%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $14525.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     7200000 | NC      | $407944.80    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2007-4                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 4 2A1         | CUSIP: 41164YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      114019 | PA      | $111390.53    | 0.01%             | 2037-07-19      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 13.9255 05/08/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-16904.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-20680.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 21A1          | CUSIP: 026935AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      141787 | PA      | $129328.40    | 0.01%             | 2046-11-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $181537.74    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 3M CORRA FUTURES  MAR27 XMOD 20270615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          76 | NC      | $-30091.80    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-3                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 3 2A1A        | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      705525 | PA      | $698984.60    | 0.04%             | 2035-06-19      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $4057.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE8                                                      | GSAMP TRUST GSAMP 2006 HE8 A2D                          | CUSIP: 3622M8AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3394000 | PA      | $3018292.35   | 0.18%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1.01        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-200462.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                               | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |     2702850 | PA      | $26528468.61  | 1.56%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $6225.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1       | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34926 | PA      | $32527.38     | 0.00%             | 2036-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-16N                                                  | LEHMAN XS TRUST LXS 2007 16N 2A2                        | CUSIP: 52525BAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36740 | PA      | $34080.71     | 0.00%             | 2047-09-25      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                                                    | LEHMAN XS TRUST LXS 2006 7 1A1A                         | CUSIP: 52522EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       51149 | PA      | $45557.30     | 0.00%             | 2036-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-6                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 6 A1             | CUSIP: 12639PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      193729 | PA      | $108933.56    | 0.01%             | 2037-10-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 2A1              | CUSIP: 46630PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2930 | PA      | $2078.24      | 0.00%             | 2037-04-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-2                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 2 A5 144A     | CUSIP: 07384MTD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19897 | PA      | $19826.81     | 0.00%             | 2033-01-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLB9 PIMCO CDSOPT PUT USD 102.17187500 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -33800000 | NC      | $-183544.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A        | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         379 | PA      | $371.69       | 0.00%             | 2045-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | AUST 10Y BOND FUT JUN26 XSFE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         324 | NC      | $-143887.01   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| PHH ALTERNATIVE MORTGAGE TRUST 2007-1                                     | PHH ALTERNATIVE MORTGAGE TRUST PHHAM 2007 1 1A1         | CUSIP: 69337BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      102986 | PA      | $75664.87     | 0.00%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                  | HOST HOTELS + RESORTS LP SR UNSECURED 04/35 5.5         | CUSIP: 44107TBC9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1985286.64   | 0.12%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 07/30 3.875                             | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    21600000 | PA      | $21566671.85  | 1.26%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                                | HPS CORPORATE LENDING FU SR UNSECURED 04/32 5.95        | CUSIP: 40440VAK1<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1450166.75   | 0.09%             | 2032-04-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 19 WF           | CUSIP: 38380VEU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      129106 | PA      | $125987.03    | 0.01%             | 2047-08-20      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 13.32 05/08/25-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-23209.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.72050 04/01/26-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1246.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-3535.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MYR SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-125162.92   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2005-2                                     | GE WMC MORTGAGE SECURITIES LLC GEWMC 2005 2 A2D         | CUSIP: 367910AV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5808662 | PA      | $5686406.82   | 0.33%             | 2035-12-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.30500 11/27/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-18092.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-507.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2       | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      584777 | PA      | $572481.93    | 0.03%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PHP BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $274.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256553 FN 01/37 FIXED 6                       | CUSIP: 31371M5N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         840 | PA      | $881.30       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 2A1         | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         667 | PA      | $629.25       | 0.00%             | 2034-11-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2006-7                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 7 5A3           | CUSIP: 61749JAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      777645 | PA      | $203245.84    | 0.01%             | 2036-06-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-12                                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 12 1A1A       | CUSIP: 41161PVF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      263627 | PA      | $121477.27    | 0.01%             | 2035-10-19      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $120410.65    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 744878 FN 11/33 FIXED 5.5                     | CUSIP: 31403CQ79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2742 | PA      | $2759.08      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR5                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR5 4A1        | CUSIP: 45660LGV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      136329 | PA      | $91645.92     | 0.01%             | 2035-05-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                           | ARGENT SECURITIES INC. ARSI 2006 W5 A2D                 | CUSIP: 04012XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8385792 | PA      | $2232156.91   | 0.13%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF3          | CUSIP: 75971EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2156811 | PA      | $652593.77    | 0.04%             | 2036-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-27698.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G08072 FG 08/35 FIXED 5               | CUSIP: 3128MJCJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1162 | PA      | $1174.04      | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 14.0087 05/12/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-33160.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 892612 FN 09/36 FIXED 6                       | CUSIP: 31410NVD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          40 | PA      | $40.38        | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-163967.71   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 806513 FN 12/34 FLOATING VAR                  | CUSIP: 31406DAN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14516 | PA      | $14886.11     | 0.00%             | 2034-12-01      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A2           | CUSIP: 86360WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22425 | PA      | $16504.84     | 0.00%             | 2036-07-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-92272.20    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE0801 FN 09/39 FIXED VAR                     | CUSIP: 31419A3K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16777 | PA      | $17350.71     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | PEMEX LCDS SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $3350.81      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-18390.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.50000 09/16/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-18806.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $57509.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 1A2      | CUSIP: 02152AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8415 | PA      | $5072.54      | 0.00%             | 2037-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-32867.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-7068.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2007-19                                   | COUNTRYWIDE HOME LOANS CWHL 2007 19 1A1                 | CUSIP: 12544PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      357585 | PA      | $128481.21    | 0.01%             | 2037-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4856.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                      | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4           | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      135338 | PA      | $24198.91     | 0.00%             | 2036-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-7282.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 898930 FN 08/36 FIXED 6                       | CUSIP: 31410VVX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         149 | PA      | $155.94       | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.89600 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $10425.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260506                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-979.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A2       | CUSIP: 12668AFH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54871 | PA      | $29359.82     | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $16143.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $46644.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $1358816.36   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.12800 12/04/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-13721.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                                  | FANNIEMAE ACES FNA 2020 M33 X2                          | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      777930 | PA      | $35505.21     | 0.00%             | 2031-01-25      | Variable      | 2.24%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05342 FG 01/39 FIXED 5               | CUSIP: 3128M7HT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1290 | PA      | $1305.90      | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $7135.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M4         | CUSIP: 17307GWU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4930000 | PA      | $4803590.36   | 0.28%             | 2035-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-6063.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $22626.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-OAT FUTURE   JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -855 | NC      | $3719311.31   | 0.22%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3928 FN 12/47 FIXED 3.5                     | CUSIP: 3140H5LJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32831 | PA      | $30706.26     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | INF SWAP US IT 2.42375 10/30/25-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-30371.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2014-7R                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 7R 5A3 144A      | CUSIP: 12648WBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4611013 | PA      | $4021869.05   | 0.24%             | 2037-12-27      | Variable      | 3.87%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-BC1                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC1 2A4         | CUSIP: 12668TAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1449818 | PA      | $1427097.19   | 0.08%             | 2037-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A3                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A3 A1          | CUSIP: 59024HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13598024 | PA      | $2298585.52   | 0.13%             | 2037-04-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM5807 FN 04/48 FIXED VAR                     | CUSIP: 3140JANZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39125 | PA      | $36462.67     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAAMA3 PIMCO FPPSWAPTION 4.11 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    27400000 | NC      | $1758595.02   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-6899.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $13891.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0096 FN 06/29 FIXED 4.5                     | CUSIP: 31417YDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         440 | PA      | $440.11       | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-171.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3414 FN 07/48 FIXED 3.5                     | CUSIP: 31418CYL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26452 | PA      | $24671.40     | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A            | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      204603 | PA      | $190076.24    | 0.01%             | 2037-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 06/18/25-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-5522171.11  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                               | TURKIYE CENTR BANK BILL BILLS 04/26 0.00000             | CUSIP: ACI38VBK6<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    61000000 | PA      | $1362464.43   | 0.08%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-1                                         | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 1 A2 144A          | CUSIP: 33843VAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      123000 | PA      | $123055.67    | 0.01%             | 2028-03-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A                       | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2021 2A A 144A       | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      656003 | PA      | $652266.02    | 0.04%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-1                                     | DEUTSCHE ALT A SECURITIES INC DBALT 2005 1 1A4          | CUSIP: 251510DG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18608 | PA      | $18384.69     | 0.00%             | 2035-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MHQ1                                       | PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M5             | CUSIP: 70069FCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4100872 | PA      | $3942576.11   | 0.23%             | 2034-12-25      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2023-3A                                     | LENDBUZZ SECURITIZATION TRUST LBZZ 2023 3A A2 144A      | CUSIP: 525931AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5690205 | PA      | $5784118.68   | 0.34%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-14.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-A                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 A 2A5          | CUSIP: 05952DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      260516 | PA      | $248189.69    | 0.01%             | 2047-02-20      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 690955 GN 06/38 FIXED 5                       | CUSIP: 36296GTL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         122 | PA      | $123.66       | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 695208 FN 03/33 FIXED 5.5                     | CUSIP: 31400RKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4023 | PA      | $4045.71      | 0.00%             | 2033-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3218                                                          | FREDDIE MAC FHR 3218 SA                                 | CUSIP: 31397BJY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30722 | PA      | $2947.40      | 0.00%             | 2036-09-15      | Floating      | 2.78%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-CW1                                              | ACE SECURITIES CORP. ACE 2006 CW1 A1                    | CUSIP: 00441QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1668847 | PA      | $1618675.42   | 0.09%             | 2036-07-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-75                                                        | FANNIE MAE FNR 2005 75 AF                               | CUSIP: 31394FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10204 | PA      | $10123.90     | 0.00%             | 2035-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 847031 FN 12/35 FIXED 5.5                     | CUSIP: 31408CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         678 | PA      | $681.92       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | REPUBLIC OF COLOMBIA SR UNSECURED 06/45 5               | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     2900000 | PA      | $2088319.00   | 0.12%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CITIGROUP REPO REPO                     5807            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     8900000 | PA      | $8900000.00   | 0.52%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAMPA4 PIMCO SWAPTION 4.141 PUT USD 2026123          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   256200000 | NC      | $352479.96    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2020-4 DAC 20-4A                                             | OCP EURO CLO OCPE 2020 4A ARR 144A                      | CUSIP: ACI2YYN53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2500000 | PA      | $2888391.39   | 0.17%             | 2039-10-20      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G30340 FG 08/27 FIXED 6               | CUSIP: 3128CULV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          88 | PA      | $90.31        | 0.00%             | 2027-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-6012.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $209156.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $200102.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                    | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 2A3        | CUSIP: 542512AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      246404 | PA      | $84320.70     | 0.00%             | 2036-12-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 05/32 VAR                | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1700000 | PA      | $1559582.98   | 0.09%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3        | SPECIALTY UNDERWRITING + RESID SURF 2006 AB3 A2B        | CUSIP: 84751XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      236539 | PA      | $165353.75    | 0.01%             | 2037-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L             | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21614 | PA      | $15057.89     | 0.00%             | 2036-10-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-26280.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL1319 FN 10/41 FIXED VAR                     | CUSIP: 3138EHPD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2046 | PA      | $2028.17      | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE2314 FN 08/40 FIXED 4.5                     | CUSIP: 31419CSC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         174 | PA      | $172.26       | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $32146.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 12.975 12/16/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-394216.05   | -0.02%            |  |  |  | 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        |     4100000 | PA      | $2642337.91   | 0.15%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ9279 FN 02/48 FIXED 3.5                     | CUSIP: 3140HBJZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22677 | PA      | $21055.15     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3934 FN 12/47 FIXED 3.5                     | CUSIP: 3140H5LQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3878 | PA      | $3611.08      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 950299 FN 08/37 FIXED 5.5                     | CUSIP: 31413NGG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         391 | PA      | $395.87       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-22143.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $2447.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-228472.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.00000 03/18/26-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-141300.39   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-2080.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.71000 08/06/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $7963.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSST TRS EQUITY SOFR+43 MYI                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-1067233.52  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5                   | SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1         | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26420 | PA      | $20460.05     | 0.00%             | 2035-08-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSST TRS EQUITY SOFR+53 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-5284039.60  | -0.31%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260721                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-23880.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-13658.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B B 144A        | CUSIP: 83206NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7948530 | PA      | $7750103.63   | 0.45%             | 2055-02-16      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 06/26 0.00000                             | CUSIP: 912797TE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     7300000 | PA      | $7238251.64   | 0.42%             | 2026-06-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLU7 PIMCO CDSOPT PUT USD 95.20703125 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -19900000 | NC      | $-113412.09   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-1856.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $6697.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC SR UNSECURED 08/31 VAR                | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      431000 | PA      | $388875.37    | 0.02%             | 2031-08-18      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A            | CUSIP: 12670FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       53983 | PA      | $48739.94     | 0.00%             | 2047-06-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-2                                          | NOVASTAR HOME EQUITY LOAN NHEL 2007 2 A1A               | CUSIP: 66989EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      167169 | PA      | $165744.23    | 0.01%             | 2037-09-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                      | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A1           | CUSIP: 65535AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      166656 | PA      | $28332.15     | 0.00%             | 2036-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM2                                                      | GSAMP TRUST GSAMP 2006 FM2 A2C                          | CUSIP: 36245DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3552806 | PA      | $1219880.34   | 0.07%             | 2036-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 836362 FN 10/35 FIXED 5.5                     | CUSIP: 31407PFB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1509 | PA      | $1557.77      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 698026 GN 01/39 FIXED 5                       | CUSIP: 36296QPK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1840 | PA      | $1864.23      | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE3                                   | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A4         | CUSIP: 46602UAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10750999 | PA      | $3459995.10   | 0.20%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1          | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133178 | PA      | $131084.83    | 0.01%             | 2047-08-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3332 FN 04/48 FIXED 3.5                     | CUSIP: 31418CV27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30128 | PA      | $27897.11     | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-93611.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0422 G2 06/55 FIXED 4.5                  | CUSIP: 3618N5PG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      680678 | PA      | $658553.17    | 0.04%             | 2055-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4579.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 828355 FN 07/35 FIXED 5.5                     | CUSIP: 31407EH89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          26 | PA      | $27.17        | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 689108 FN 02/33 FIXED 5.5                     | CUSIP: 31400JR50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1431 | PA      | $1443.99      | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ0163 FN 12/47 FIXED 3.5                     | CUSIP: 3140H1FD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24006 | PA      | $22361.10     | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-19629.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                              | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A               | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5000000 | PA      | $5014931.25   | 0.29%             | 2037-04-15      | Floating      | 5.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750S7L3 PIMCO CDSOPT PUT USD 0.65 20260520            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   421300000 | NC      | $790430.42    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-6732.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT             | WASHINGTON ST CONVENTION CENTE WASFAC 07/40 FIXED 6.79  | CUSIP: 93976AAH5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      605000 | PA      | $650385.71    | 0.04%             | 2040-07-01      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 1A1         | CUSIP: 68403HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      348948 | PA      | $211655.14    | 0.01%             | 2037-05-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFXNT TRS EQUITY SOFR+30 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-13809548.85 | -0.81%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 745822 FN 09/36 FIXED VAR                     | CUSIP: 31403DSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1583 | PA      | $1661.13      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.52000 04/09/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $30278.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-1A                                   | HERTZ VEHICLE FINANCING LLC HERTZ 2023 1A A 144A        | CUSIP: 42806MBS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      950000 | PA      | $951854.60    | 0.06%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-16                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 16 1A           | CUSIP: 23242FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1485937 | PA      | $1397825.74   | 0.08%             | 2046-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1B4      | CUSIP: 92922F5Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1234420 | PA      | $1187756.43   | 0.07%             | 2045-11-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.59000 08/19/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $15430.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 02/33 13.25                  | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 16370100000 | PA      | $4389021.82   | 0.26%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2007-BC2        | SPECIALTY UNDERWRITING + RESID SURF 2007 BC2 A2D        | CUSIP: 84752EAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2476348 | PA      | $1836979.73   | 0.11%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $470.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-66222.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $701.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20261217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $12070.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $52705.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1818.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1          | CUSIP: 75971FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      156173 | PA      | $61513.84     | 0.00%             | 2037-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H032639<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20500000 | PA      | $18812404.74  | 1.10%             | 2056-03-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750S7M1 PIMCO CDSOPT CALL USD 0.525 20260520          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -277300000 | NC      | $-170705.88   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 721620 FN 07/33 FIXED 5.5                     | CUSIP: 31401XVM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          92 | PA      | $92.70        | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US LONG BOND(CBT) JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         273 | NC      | $-1098775.04  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $726560.25    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       12000 | PA      | $11984.29     | 0.00%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2009-20E                                  | SMALL BUSINESS ADMINISTRATION SBAP 2009 20E 1           | CUSIP: 83162CSN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        1805 | PA      | $1795.81      | 0.00%             | 2029-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-3570.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A76483 FG 04/38 FIXED 5.5             | CUSIP: 3128LAFY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         139 | PA      | $143.06       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI8171 FR 06/54 FIXED 6               | CUSIP: 3133WFCG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      642954 | PA      | $663074.07    | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-4190.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $1796.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $22633.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 B 144A       | CUSIP: 69544NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5234843 | PA      | $5245720.84   | 0.31%             | 2032-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A3                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A3 1A          | CUSIP: 589929R26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2099 | PA      | $2055.29      | 0.00%             | 2033-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE PARTNERSHIP TRUST 2004-EC1                                    | COUNTRYWIDE PARTNERSHIP TRUST CPT 2004 EC1 M1           | CUSIP: 126673ML3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      787879 | PA      | $787995.15    | 0.05%             | 2035-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ4828 FR 09/55 FIXED 5.5             | CUSIP: 3142GVLJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4037277 | PA      | $4129795.14   | 0.24%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 762752 GN 03/41 FIXED 5                       | CUSIP: 36176DEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1557 | PA      | $1580.31      | 0.00%             | 2041-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-FR2                                         | SECURITIZED ASSET BACKED RECEI SABR 2005 FR2 M3         | CUSIP: 81375WEG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27871 | PA      | $28135.77     | 0.00%             | 2035-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A       | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         217 | PA      | $218.00       | 0.00%             | 2045-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 13.2914 05/08/25-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-306106.08   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CLP SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-76584.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CALIFORNIA STATE PUBLIC WORKS BOARD                                       | CALIFORNIA ST PUBLIC WKS BRD L CASFAC 03/35 FIXED 7.804 | CUSIP: 130685C81<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       35000 | PA      | $39343.26     | 0.00%             | 2035-03-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBSEA2 PIMCO SWAPTION 4.049 PUT USD 2026040          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -19100000 | NC      | $-6133.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 899563 FN 06/37 FIXED 6                       | CUSIP: 31410WML9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1950 | PA      | $2040.56      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                      | GSAMP TRUST GSAMP 2007 FM1 A1                           | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2131857 | PA      | $1138002.32   | 0.07%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0280 FN 11/29 FIXED 5.5                     | CUSIP: 31417YJ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         511 | PA      | $514.81       | 0.00%             | 2029-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1       | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         166 | PA      | $163.24       | 0.00%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH4101 FN 10/47 FIXED 3.5                     | CUSIP: 3140GSRX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      224009 | PA      | $209122.66    | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA8                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A1         | CUSIP: 74922QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      109201 | PA      | $102989.88    | 0.01%             | 2036-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2182.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.00000 09/17/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-862557.47   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SB46 PIMCO CDSOPT PUT USD 0.65 20260617            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   113500000 | NC      | $271888.12    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 254514 FN 11/32 FIXED 5.5                     | CUSIP: 31371KVF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         163 | PA      | $168.20       | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.32000 10/20/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $1584.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ3702 FR 03/55 FIXED 6.5             | CUSIP: 3142GUDG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2037822 | PA      | $2157711.89   | 0.13%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 922041 FN 02/37 FIXED 6                       | CUSIP: 31412DLW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10895 | PA      | $11433.30     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $33543.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $8934.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                                    | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         362 | PA      | $355.71       | 0.00%             | 2030-12-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.04638 09/02/25-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-278085.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $20455.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3660.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-45384.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6039 | PA      | $5885.65      | 0.00%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888795 FN 11/36 FIXED VAR                     | CUSIP: 31410GNL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2697 | PA      | $2784.42      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $72900.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $1865.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $853.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC6                                    | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC6 M4            | CUSIP: 61744CSY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      283282 | PA      | $279338.14    | 0.02%             | 2035-07-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBRFA3 PIMCO FPPSWAPTION 4.296 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    10800000 | NC      | $855662.40    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PHP SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-3628.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3970 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5MU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         601 | PA      | $573.69       | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2         | CUSIP: 68403KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4698182 | PA      | $3046721.73   | 0.18%             | 2037-07-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-360683.44   | -0.02%            |  |  |  | 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      | $-30711.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $1723.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SKG9 PIMCO CDSOPT PUT USD 102.31250000 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -16300000 | NC      | $-88497.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.72250 12/01/30-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $34699.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC8                                    | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC8 M3         | CUSIP: 86358EEC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119924 | PA      | $110327.94    | 0.01%             | 2033-08-25      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI0726 FN 04/41 FIXED 4.5                     | CUSIP: 3138ADYY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1566 | PA      | $1550.66      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.85000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2729.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3276 FN 02/48 FIXED 3.5                     | CUSIP: 31418CUA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30447 | PA      | $28360.75     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-1756.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Y6A1 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    37700000 | NC      | $1935751.74   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $22382.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 5A1         | CUSIP: 07384MTM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         637 | PA      | $644.36       | 0.00%             | 2033-04-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $596.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $27873.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $11040.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $30628.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                   | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A1         | CUSIP: 576433UF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      102240 | PA      | $101985.76    | 0.01%             | 2034-11-21      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 2A1              | CUSIP: 46630GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12021 | PA      | $11676.88     | 0.00%             | 2035-07-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SKX2 PIMCO CDSOPT CALL USD 0.55 20260617           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -26200000 | NC      | $-30466.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                               | ILLINOIS ST ILS 07/35 FIXED 7.35                        | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |       71429 | PA      | $76830.60     | 0.00%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                            | COUNTRYWIDE HOME LOANS CWHL 2004 29 2A1                 | CUSIP: 12669GJB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4282 | PA      | $4061.78      | 0.00%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4                              | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 4 B1           | CUSIP: 576433EU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27761 | PA      | $24693.12     | 0.00%             | 2033-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $13912.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $4437.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                   | THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1           | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       61542 | PA      | $60695.72     | 0.00%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                          | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 7A1              | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13704 | PA      | $12254.62     | 0.00%             | 2035-08-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $12462.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3A         | CUSIP: 59024FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      117894 | PA      | $27315.95     | 0.00%             | 2037-03-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-868.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 735972 FN 10/35 FIXED VAR                     | CUSIP: 31402RT58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         181 | PA      | $186.40       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.00000 06/21/23-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6737031.89   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| KONA SPC LTD                                                              | KONA SPC LTD COMPANY GUAR 144A 09/26 VAR                | CUSIP: ACI3000D0<br>LEI: 254900UKS4SVVOMZWX26 | Long             | DBT              | CORP              | KY        |     1000000 | PA      | $1163450.63   | 0.07%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 3A1       | CUSIP: 761118CX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      349745 | PA      | $236098.58    | 0.01%             | 2035-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2730.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $3125.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM3                         | SECURITIZED ASSET BACKED RECEI SABR 2006 WM3 A1         | CUSIP: 81377EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22079532 | PA      | $7230181.25   | 0.42%             | 2036-10-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT DKK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-7997.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     7400000 | NC      | $379945.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 602480 GN 12/35 FIXED 5                       | CUSIP: 36200JJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1497 | PA      | $1527.76      | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-101019.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                         | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2        | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      753999 | PA      | $180536.93    | 0.01%             | 2036-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SOM2 PIMCO CDSOPT CALL USD 94.27343750 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -11300000 | NC      | $-35541.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-1                        | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 1 A2           | CUSIP: 31659TEY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       81891 | PA      | $62854.19     | 0.00%             | 2036-05-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.97500 03/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-26486.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 1A1       | CUSIP: 83613DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      175169 | PA      | $157621.22    | 0.01%             | 2037-07-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-11539.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                             | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3                  | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10322 | PA      | $9164.27      | 0.00%             | 2035-05-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260521                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $4619.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-2                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 2 1A13           | CUSIP: 126384BX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14705 | PA      | $7493.98      | 0.00%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $724.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR4                                  | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR4 2A1       | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38761 | PA      | $35446.39     | 0.00%             | 2035-10-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5241.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $14157.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                               | PETROLEOS MEXICANOS COMPANY GUAR 02/48 6.35             | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     1500000 | PA      | $1148870.85   | 0.07%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G03072 FG 11/36 FIXED 5               | CUSIP: 3128M4W90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         700 | PA      | $707.95       | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-1                                        | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1          | CUSIP: 68389FGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      158715 | PA      | $153123.59    | 0.01%             | 2035-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.68000 08/07/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $4245.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-142644.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AJ7493 FN 12/26 FIXED 3                       | CUSIP: 3138E0KF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      188227 | PA      | $187040.22    | 0.01%             | 2026-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AC8113 FN 01/36 FIXED 5.5                     | CUSIP: 31417VAP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2185 | PA      | $2234.94      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                               | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                 | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      700000 | PA      | $15754.55     | 0.00%             | 2026-08-19      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $269.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A4         | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           2 | PA      | $1.63         | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | DISCOVERY GLOBAL HOLDINGS INC SNR S* ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $110.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-D                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 D 3A1          | CUSIP: 05952GAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7558 | PA      | $6595.70      | 0.00%             | 2037-06-20      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2005-HE2                                  | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE2 M3        | CUSIP: 04541GQD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6540 | PA      | $6768.08      | 0.00%             | 2035-02-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $1295.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-126092.63   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-12138.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G04461 FG 07/38 FIXED 5               | CUSIP: 3128M6JE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         608 | PA      | $615.50       | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $1264.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.42000 03/07/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-69860.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFRF USD SF+26.161/1.00 9/16/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $8063683.52   | 0.47%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1BG       | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      103364 | PA      | $92240.64     | 0.01%             | 2036-08-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-974.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                          | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1               | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1657 | PA      | $1568.01      | 0.00%             | 2036-02-20      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-3368.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC8CA7 PIMCO SWAPTION 3.899 PUT USD 2026062          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -24200000 | NC      | $-168248.08   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-OA5                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A         | CUSIP: 93364BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1398622 | PA      | $1209697.65   | 0.07%             | 2047-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ8558 FN 03/48 FIXED 3.5                     | CUSIP: 3140HAQL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1525 | PA      | $1421.86      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4                         | SECURITIZED ASSET BACKED RECEI SABR 2005 FR4 M2         | CUSIP: 81375WFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      171218 | PA      | $161175.95    | 0.01%             | 2036-01-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $17207.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A2      | CUSIP: 92922F5U8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2931 | PA      | $2766.44      | 0.00%             | 2045-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20270128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $48628.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SKZ7 PIMCO CDSOPT PUT USD 99.09765625 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   154400000 | NC      | $133833.92    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-310.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2D            | CUSIP: 617526AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1359094 | PA      | $802525.09    | 0.05%             | 2036-11-25      | Floating      | 4.02%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-1                                   | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A      | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1692031 | PA      | $1663291.25   | 0.10%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 682586 GN 04/38 FIXED 5                       | CUSIP: 36295WJ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1473 | PA      | $1503.04      | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $3754.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 872787 FN 06/36 FIXED 5.5                     | CUSIP: 31409JUL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          46 | PA      | $47.49        | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1        | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4360 | PA      | $1354.95      | 0.00%             | 2037-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 760397 GN 11/41 FIXED 5                       | CUSIP: 36176ARS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4986 | PA      | $5029.42      | 0.00%             | 2041-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ4581 FN 02/48 FIXED 3.5                     | CUSIP: 3140H6CT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2638 | PA      | $2455.10      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ4012 FN 02/48 FIXED 3.5                     | CUSIP: 3140H5N64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13537 | PA      | $12567.17     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS1                                      | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS1 A1 144A       | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2595618 | PA      | $2598634.64   | 0.15%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3368                                                          | FREDDIE MAC FHR 3368 AF                                 | CUSIP: 31397KL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28076 | PA      | $28141.56     | 0.00%             | 2037-09-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-254911.53   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                            | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7165 | PA      | $6935.35      | 0.00%             | 2034-11-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-7                                             | GSAA HOME EQUITY TRUST GSAA 2006 7 AF2                  | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1175472 | PA      | $397759.12    | 0.02%             | 2046-03-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $5015.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 779439 FN 06/34 FIXED 5.5                     | CUSIP: 31404U4Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          71 | PA      | $73.87        | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 1A1       | CUSIP: 83613FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3385586 | PA      | $2686631.71   | 0.16%             | 2037-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $635.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 8 LTD 2019-8A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 8A A 144A      | CUSIP: 03331XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      363357 | PA      | $359839.40    | 0.02%             | 2037-07-25      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260622                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $47903.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA1                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA1 A3         | CUSIP: 74923GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1805743 | PA      | $1615961.89   | 0.09%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-15                                            | COUNTRYWIDE HOME LOANS CWHL 2004 15 4A                  | CUSIP: 12669FL50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8255 | PA      | $8276.94      | 0.00%             | 2034-10-20      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-16                                                        | FANNIE MAE FNR 2006 16 SM                               | CUSIP: 31394V6K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23067 | PA      | $1636.91      | 0.00%             | 2036-03-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 902066 FN 12/36 FIXED 6                       | CUSIP: 31411AFF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8612 | PA      | $8824.50      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2FP           | CUSIP: 617526AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      336707 | PA      | $198299.50    | 0.01%             | 2036-11-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-1CON                                        | BANKERS HEALTHCARE GROUP SECUR BHG 2025 1CON B 144A     | CUSIP: 08860AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2427839 | PA      | $2443301.10   | 0.14%             | 2036-04-17      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257125 FN 03/28 FIXED 5.5                     | CUSIP: 31371NSN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         217 | PA      | $218.34       | 0.00%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-3098.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4436.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-MLN1                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 MLN1 A2B       | CUSIP: 59023AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      337486 | PA      | $126784.43    | 0.01%             | 2037-07-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                            | FREMONT HOME LOAN TRUST FHLT 2006 3 2A3                 | CUSIP: 35729MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4380434 | PA      | $1300621.71   | 0.08%             | 2037-02-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 992302 FN 01/39 FIXED 5.5                     | CUSIP: 31415XKP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         907 | PA      | $924.99       | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-20                                            | COUNTRYWIDE HOME LOANS CWHL 2006 20 1A21                | CUSIP: 12544AAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      153787 | PA      | $65319.36     | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-B                                                 | CENTEX HOME EQUITY CXHE 2004 B M1                       | CUSIP: 152314JV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133540 | PA      | $131859.65    | 0.01%             | 2034-03-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.10000 01/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $17955.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 06/21/23-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1535377.12   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A                       | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A       | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      532270 | PA      | $535150.76    | 0.03%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| CENTERBRIDGE CREDIT FUNDING 1 LTD                                         | CENTERBRIDGE CREDIT FUNDING LT CBCF 2021 1A A 144A      | CUSIP: 15186PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $581586.92    | 0.03%             | 2039-07-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCJ2 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     2339475 | NC      | $7465.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.89000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $7137.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-34642.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-27197.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12          | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133139 | PA      | $132922.84    | 0.01%             | 2031-12-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-118.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                    | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3          | CUSIP: 64352VKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      298889 | PA      | $299044.51    | 0.02%             | 2035-03-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL C91276 FG 11/29 FIXED 5               | CUSIP: 3128P7MZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         929 | PA      | $939.86       | 0.00%             | 2029-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUND FUTURE  JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         822 | NC      | $-2976283.88  | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $133.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ5268 FN 10/35 FIXED 5.03                    | CUSIP: 3140Q02A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3760000 | PA      | $3858611.19   | 0.23%             | 2035-10-01      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B        | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30128 | PA      | $23328.24     | 0.00%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-578.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $125.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL0525 FN 04/37 FIXED VAR                     | CUSIP: 3138EGSP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         787 | PA      | $809.78       | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                            | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1        | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          16 | PA      | $16.26        | 0.00%             | 2033-02-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2024-1A                                   | HERTZ VEHICLE FINANCING LLC HERTZ 2024 1A A 144A        | CUSIP: 42806MCK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10400000 | PA      | $10553901.28  | 0.62%             | 2029-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA3 1A1       | CUSIP: 12668BB44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       51314 | PA      | $45492.89     | 0.00%             | 2036-05-25      | Floating      | 4.19%                 | 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        |    13211532 | PA      | $12468489.28  | 0.73%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-6495.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2004-RS8                                  | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS8 MII2       | CUSIP: 76112BAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2006589 | PA      | $2023570.77   | 0.12%             | 2034-08-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $940.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AO3526 FN 04/39 FIXED 4.5                     | CUSIP: 3138LT4L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         281 | PA      | $277.89       | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-18638.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                              | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A             | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1419958 | PA      | $1421430.04   | 0.08%             | 2030-10-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.91000 12/29/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $3422.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB0196 FN 02/39 FIXED 5.5                     | CUSIP: 31416VGE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2009 | PA      | $2074.21      | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 637882 GN 04/35 FIXED 5                       | CUSIP: 36291TUF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2261 | PA      | $2296.86      | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797SD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      700000 | PA      | $699929.54    | 0.04%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SKH7 PIMCO CDSOPT CALL USD 102.31250000 2          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -16300000 | NC      | $-3470.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                      | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581        | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     8980000 | PA      | $9239795.44   | 0.54%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5             | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         976 | PA      | $1007.74      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-40                                                 | FANNIE MAE FNR 2011 40 SX                               | CUSIP: 31397SWJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         953 | PA      | $620.32       | 0.00%             | 2040-11-25      | Floating      | 0.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL0207 FR 01/55 FIXED 5               | CUSIP: 31427MGR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1541930 | PA      | $1537819.52   | 0.09%             | 2055-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 3A3       | CUSIP: 92925GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20329 | PA      | $18497.28     | 0.00%             | 2036-12-25      | Floating      | 4.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.46000 03/13/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-45336.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 745045 GN 11/39 FIXED 5                       | CUSIP: 3620C0WE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         857 | PA      | $855.25       | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-8                                        | HOME EQUITY ASSET TRUST HEAT 2005 8 M2                  | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      105223 | PA      | $103997.03    | 0.01%             | 2036-02-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                       | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A5         | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34023 | PA      | $20186.16     | 0.00%             | 2036-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-25175.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                        | FANNIE MAE FNR 2004 11 A                                | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $6.71         | 0.00%             | 2034-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2004-FRE1                                       | MASTR ASSET BACKED SECURITIES MABS 2004 FRE1 M7         | CUSIP: 57643LEA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133601 | PA      | $126636.21    | 0.01%             | 2034-07-25      | Floating      | 6.49%                 | 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        |      671500 | PA      | $669454.02    | 0.04%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260727                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $55344.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SECURI CORP TRUS 2005-I1                                        | HSI ASSET SECURITIZATION CORPO HASC 2005 I1 1A          | CUSIP: 40430HCV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      375167 | PA      | $357385.97    | 0.02%             | 2035-11-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 905588 FN 12/36 FIXED 5.5                     | CUSIP: 31411ECZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $3.16         | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 12/18/24-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6738757.94   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $24722.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.90000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $10887.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2004-1                                    | AAMES MORTGAGE INVESTMENT TRUS AMIT 2004 1 M6           | CUSIP: 00252FAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2704 | PA      | $2689.12      | 0.00%             | 2035-01-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF1                                        | STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A6         | CUSIP: 86358BAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      192683 | PA      | $190006.84    | 0.01%             | 2037-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MYR SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-947.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A57043 FG 02/37 FIXED 5               | CUSIP: 3128KKZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3165 | PA      | $3150.78      | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $16049.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260513                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-92397.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $239.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS12                                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 2A11      | CUSIP: 751151AQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2839 | PA      | $2169.05      | 0.00%             | 2036-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1743.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-5118.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1109.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR15                                   | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR15 2A1       | CUSIP: 22541QCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         254 | PA      | $248.00       | 0.00%             | 2033-06-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2                     | FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2023 2 A2 144A      | CUSIP: 35104AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      257122 | PA      | $257455.66    | 0.02%             | 2028-05-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS6                                     | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS6 M1         | CUSIP: 75406WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      168811 | PA      | $167638.40    | 0.01%             | 2036-08-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-29316.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 06/20/24-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2854296.52   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-2795.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3181                                                          | FREDDIE MAC FHR 3181 PS                                 | CUSIP: 31396URJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52412 | PA      | $5044.45      | 0.00%             | 2036-07-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888638 FN 09/37 FIXED VAR                     | CUSIP: 31410GHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11476 | PA      | $11848.95     | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-9046.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                        | VICI PROPERTIES LP SR UNSECURED 02/28 4.75              | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     1650000 | PA      | $1652114.69   | 0.10%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 05/26 0.00000                             | CUSIP: 912797SP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       19000 | PA      | $18930.89     | 0.00%             | 2026-05-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL3351 FN 04/41 FIXED VAR                     | CUSIP: 3138EKWM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10907 | PA      | $11554.86     | 0.00%             | 2041-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL1572 FN 09/36 FIXED VAR                     | CUSIP: 3138EHXA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         978 | PA      | $983.88       | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFUNT TRS EQUITY SOFR-2 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-1808736.58  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B       | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      277978 | PA      | $103447.07    | 0.01%             | 2036-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC76A6 PIMCO SWAPTION 4.0325 PUT USD 202605          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    13400000 | NC      | $59510.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB0293 FN 11/38 FIXED 6                       | CUSIP: 31416VKF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4533 | PA      | $4745.01      | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                       | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A1          | CUSIP: 761136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      798279 | PA      | $241210.47    | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05408 FG 12/36 FIXED 5               | CUSIP: 3128M7KV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         194 | PA      | $196.38       | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-11                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 11 MV4          | CUSIP: 126670DD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      935674 | PA      | $921257.04    | 0.05%             | 2036-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFXNT TRS EQUITY SOFR+29 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-5932043.85  | -0.35%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-6616.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256448 FN 10/26 FIXED 6                       | CUSIP: 31371MZM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          24 | PA      | $24.33        | 0.00%             | 2026-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $4549.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 844703 FN 12/35 FIXED 5.5                     | CUSIP: 31407YNU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         126 | PA      | $130.42       | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $17239.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257575 FN 01/29 FIXED 5                       | CUSIP: 31371PCL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          85 | PA      | $84.96        | 0.00%             | 2029-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-98183.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $28908.96     | 0.00%             |  |  |  | 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        |      493740 | PA      | $494001.54    | 0.03%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 917555 FN 04/37 FIXED 6                       | CUSIP: 31411XMC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3831 | PA      | $3966.55      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-1                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2005 1 M3 144A      | CUSIP: 86358EQK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      296868 | PA      | $295204.91    | 0.02%             | 2035-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $43060.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-4078.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 669740 GN 08/37 FIXED 6                       | CUSIP: 36295GBH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         600 | PA      | $623.41       | 0.00%             | 2037-08-15      | Fixed         | 6.00%                 | 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      | $15866.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $7708.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2A            | CUSIP: 61753KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      506824 | PA      | $204999.86    | 0.01%             | 2037-03-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 835058 FN 06/35 FLOATING VAR                  | CUSIP: 31407MWT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         152 | PA      | $155.85       | 0.00%             | 2035-06-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $2531.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                     | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/29 4.5      | CUSIP: 873923AC0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4372520.37   | 0.26%             | 2029-03-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-1179.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 2A3       | CUSIP: 933637AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35560 | PA      | $31053.59     | 0.00%             | 2037-01-25      | Floating      | 3.41%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 990517 FN 09/38 FIXED 6                       | CUSIP: 31415VK61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         116 | PA      | $120.86       | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO260626                              | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  1706060000 | PA      | $1176617.12   | 0.07%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1514.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9448 FN 11/54 FIXED 4.5                     | CUSIP: 3140QVQA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3184219 | PA      | $3114807.30   | 0.18%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-5910.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-10598.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                    | CVS PASS THROUGH TRUST PASS THRU CE 01/30 6.943         | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       19339 | PA      | $19915.60     | 0.00%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    70000000 | PA      | $70000000.00  | 4.10%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                    | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 1A         | CUSIP: 542512AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      319127 | PA      | $217644.37    | 0.01%             | 2036-12-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4439.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI8356 FN 08/41 FIXED 4.5                     | CUSIP: 3138ANJA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17907 | PA      | $17682.69     | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-4210.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257202 FN 04/28 FIXED 4.5                     | CUSIP: 31371NU37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         128 | PA      | $127.98       | 0.00%             | 2028-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBFPA8 PIMCO SWAPTION 3.7675 PUT USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -16400000 | NC      | $-16109.72    | -0.00%            |  |  |  | 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        |          58 | PA      | $59.14        | 0.00%             | 2035-07-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ2091 FR 04/54 FIXED 5.5             | CUSIP: 3142GSKD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1409793 | PA      | $1419362.54   | 0.08%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-3212.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-36762.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $2334.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05255 FG 12/38 FIXED 5               | CUSIP: 3128M7E44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2146 | PA      | $2172.98      | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                             | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                  | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         550 | PA      | $534.69       | 0.00%             | 2035-03-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RU20INTR TRS EQUITY SOFR+12 BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-174636.84   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $5849.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-25207.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-116                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 116 QF          | CUSIP: 38381PC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4391143 | PA      | $4426273.18   | 0.26%             | 2055-07-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $12488.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | INF SWAP US IT 2.48 10/29/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-328717.61   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                        | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A         | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15804 | PA      | $16096.90     | 0.00%             | 2058-05-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.40000 02/12/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $55082.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A56730 FG 01/37 FIXED 5               | CUSIP: 3128KKPP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         544 | PA      | $542.34       | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4                               | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A4 1A9         | CUSIP: 12566VAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       97842 | PA      | $81386.69     | 0.00%             | 2037-04-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A1         | CUSIP: 05948XBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          41 | PA      | $40.80        | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256600 FN 02/27 FIXED 5.5                     | CUSIP: 31371M7M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         580 | PA      | $582.72       | 0.00%             | 2027-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 4.70000 03/23/31-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $40.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 878481 FN 02/36 FIXED 6                       | CUSIP: 31409T6S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         253 | PA      | $258.90       | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $18945.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-32483.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $24780.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   153400000 | PA      | $46099787.92  | 2.70%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-741.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 05/48 3.125                             | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      124400 | PA      | $93654.73     | 0.01%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                           | BEAR STEARNS ALT A TRUST BALTA 2006 4 13A1              | CUSIP: 073871AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      266019 | PA      | $241377.24    | 0.01%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -20400000 | NC      | $-8241.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PHP SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-43.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                       | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 2A        | CUSIP: 07387YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      330287 | PA      | $300718.33    | 0.02%             | 2037-08-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $32469.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-59109.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-125477.12   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A27987 FG 07/34 FIXED 5               | CUSIP: 31297F2U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         980 | PA      | $977.24       | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                                 | MAN GLG EURO CLO GLGE 5A A1R 144A                       | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      150446 | PA      | $174109.57    | 0.01%             | 2031-12-15      | Floating      | 2.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2158.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $666.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                                   | FREDDIE MAC FHR 5580 FC                                 | CUSIP: 3137HMXP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14403801 | PA      | $14456136.79  | 0.85%             | 2055-09-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-7308.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR1 A1A       | CUSIP: 93934FJQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      295220 | PA      | $253083.28    | 0.01%             | 2036-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2004-5X                                            | SLM STUDENT LOAN TRUST SLMA 2004 5X A6 REGS             | CUSIP: B02JZGII4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      547994 | PA      | $590518.24    | 0.03%             | 2039-10-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| BANK OF INDUSTRY LIMITED                                                  | BANK OF INDUSTRY LIMITED 2024 EUR TERM LOAN B1          | CUSIP: BA000BY62<br>LEI: 5493006N5JD4B34R6G14 | Long             | LON              | MUN               | NG        |     2325000 | PA      | $2681082.18   | 0.16%             | 2027-08-23      | Floating      | 3.72%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                        | CONAGRA BRANDS INC SR UNSECURED 08/35 5.75              | CUSIP: 205887CL4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1103240.75   | 0.06%             | 2035-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $9324.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A1 144A        | CUSIP: 61753VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      954969 | PA      | $426223.02    | 0.02%             | 2037-02-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A      | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      391945 | PA      | $381787.95    | 0.02%             | 2046-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256928 FN 10/27 FIXED 6                       | CUSIP: 31371NLH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         126 | PA      | $128.91       | 0.00%             | 2027-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR6                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR6 A1         | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8982 | PA      | $8855.71      | 0.00%             | 2033-06-25      | Floating      | 6.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ2758 FN 05/48 FIXED 3.5                     | CUSIP: 3140H4B45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30087 | PA      | $27988.32     | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+30 GST                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-130039.61   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $8400.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C            | CUSIP: 61753EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      196770 | PA      | $90448.73     | 0.01%             | 2037-01-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-87174.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-WMC1                                        | HSI ASSET SECURITIZATION CORPO HASC 2006 WMC1 A2        | CUSIP: 40430MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      103740 | PA      | $44046.32     | 0.00%             | 2036-07-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-2238.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 701354 GN 02/39 FIXED 5                       | CUSIP: 36296UE30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         813 | PA      | $821.09       | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-3                                     | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 2A4         | CUSIP: 542514UL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      307610 | PA      | $90861.29     | 0.01%             | 2046-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MHQ1                                       | PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M4             | CUSIP: 70069FCY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11491 | PA      | $11408.64     | 0.00%             | 2034-12-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-922.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256599 FN 02/27 FIXED 5                       | CUSIP: 31371M7L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          62 | PA      | $61.98        | 0.00%             | 2027-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RU20INTR TRS EQUITY SOFR+32 CIB                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-3047975.15  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 889982 FN 11/38 FIXED VAR                     | CUSIP: 31410KXK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7314 | PA      | $7533.73      | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3996 FN 02/48 FIXED 3.5                     | CUSIP: 3140H5NN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21010 | PA      | $19596.74     | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/4.01500 12/30/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $12968.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $3843.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 879839 FN 01/36 FIXED 6                       | CUSIP: 31409VPY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          25 | PA      | $26.27        | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA2                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3         | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43928 | PA      | $40226.35     | 0.00%             | 2037-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $515.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-71424.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7    | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     1600000 | PA      | $489209.46    | 0.03%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-35606.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A72047 FG 01/38 FIXED 5               | CUSIP: 3128L5HY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1936 | PA      | $1959.62      | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ2                                       | PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M5             | CUSIP: 70069FEM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7591932 | PA      | $7113754.29   | 0.42%             | 2035-02-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD0198 FN 09/38 FIXED VAR                     | CUSIP: 31418MGG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          14 | PA      | $14.96        | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-14340.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                                    | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A7         | CUSIP: 18976GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40998 | PA      | $37623.02     | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC75A7 PIMCO SWAPTION 3.7325 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -15500000 | NC      | $-74564.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-15944.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                     | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 2A1         | CUSIP: 007036TD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      384733 | PA      | $302332.41    | 0.02%             | 2036-01-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 697698 GN 12/38 FIXED 5                       | CUSIP: 36296QDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4904 | PA      | $5004.99      | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1450.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H032647<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    44000000 | PA      | $40364184.52  | 2.37%             | 2056-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $760.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-2870.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -59300000 | NC      | $-24016.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260721                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-25812.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH9109 FN 04/41 FIXED 4.5                     | CUSIP: 3138ABDP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         336 | PA      | $333.06       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $2009.78      | 0.00%             |  |  |  | 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        |         351 | PA      | $324.51       | 0.00%             | 2044-10-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA5GA1 PIMCO FPPSWAPTION 4.11 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    79800000 | NC      | $5121747.54   | 0.30%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AA1265 FN 08/33 FIXED 4.5                     | CUSIP: 31416JMP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          74 | PA      | $73.61        | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE2919 FN 08/40 FIXED 5.5                     | CUSIP: 31419DG54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         320 | PA      | $328.02       | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $11801.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1         | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2542 | PA      | $2309.18      | 0.00%             | 2035-06-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-8                                           | BEAR STEARNS ALT A TRUST BALTA 2005 8 21A1              | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30691 | PA      | $25578.85     | 0.00%             | 2035-10-25      | Variable      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $21034.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-3736.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Z8A6 PIMCO SWAPTION 2.972 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2500000 | NC      | $3273.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EMC MORTGAGE LOAN TRUST 2002-B                                            | EMC MORTGAGE LOAN TRUST EMCM 2002 B A1 144A             | CUSIP: 268668BD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2807 | PA      | $2841.59      | 0.00%             | 2041-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A1       | CUSIP: 83612TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43692 | PA      | $29491.15     | 0.00%             | 2037-06-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-17076.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                        | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A3          | CUSIP: 55275RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7485313 | PA      | $3571535.42   | 0.21%             | 2036-10-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-3568.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4273                                                   | FREDDIE MAC FHR 4273 PF                                 | CUSIP: 3137B66E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14072 | PA      | $14056.19     | 0.00%             | 2043-11-15      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US ULTRA BOND CBT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -449 | NC      | $720517.06    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $241752.29    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $1454.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-67476.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $113870.18    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR12                                      | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR12 2A1      | CUSIP: 94984GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1912 | PA      | $1852.21      | 0.00%             | 2036-09-25      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $4406.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBFQA7 PIMCO SWAPTION 3.2675 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    33100000 | NC      | $3.31         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL 1J1214 FH 09/35 FLOATING VAR          | CUSIP: 3128NHK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         152 | PA      | $156.30       | 0.00%             | 2035-09-01      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL 847340 FH 11/34 FLOATING VAR          | CUSIP: 3128JREM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          61 | PA      | $62.62        | 0.00%             | 2034-11-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.67000 04/03/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $5723.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA4 A1        | CUSIP: 02150DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      138505 | PA      | $127292.49    | 0.01%             | 2047-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-204.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                          | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV4              | CUSIP: 43710XAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      314000 | PA      | $282511.23    | 0.02%             | 2037-04-25      | Floating      | 4.13%                 | 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        |        3558 | PA      | $3557.64      | 0.00%             | 2038-04-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3355                                                          | FREDDIE MAC FHR 3355 BF                                 | CUSIP: 31397KC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       50532 | PA      | $50611.69     | 0.00%             | 2037-08-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 3.00000 09/16/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1510046.70   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $8692.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-1                                  | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 1A A2 144A     | CUSIP: 37988XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      204704 | PA      | $205879.64    | 0.01%             | 2030-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $29383.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 698342 GN 05/39 FIXED 5                       | CUSIP: 36296QZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      111595 | PA      | $113258.06    | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $732.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 903812 FN 12/36 FIXED 5.5                     | CUSIP: 31411CDR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7619 | PA      | $7866.76      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 704699 GN 09/39 FIXED 5                       | CUSIP: 36296X3G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1444 | PA      | $1471.99      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256927 FN 10/27 FIXED 5.5                     | CUSIP: 31371NLG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         198 | PA      | $198.94       | 0.00%             | 2027-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A3        | CUSIP: 86360UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33689 | PA      | $27902.51     | 0.00%             | 2046-07-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD2336 FN 02/40 FIXED 4.5                     | CUSIP: 31418PS22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         937 | PA      | $927.81       | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD1870 FN 08/40 FIXED 4.5                     | CUSIP: 31418PCG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         191 | PA      | $189.07       | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-30434.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-4000.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC0UA4 PIMCO SWAPTION 3.3 CALL USD 20260602          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    22100000 | NC      | $50191.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UBKLA1 PIMCO SWAPTION 3.7625 PUT USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -27100000 | NC      | $-100711.73   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4605.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-SEA1                          | MORGAN STANLEY CAPITAL INC MSAC 2007 SEA1 1A1 144A      | CUSIP: 61757MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       74598 | PA      | $61578.32     | 0.00%             | 2047-02-25      | Floating      | 7.59%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE3                                                      | GSAMP TRUST GSAMP 2006 HE3 A2D                          | CUSIP: 36244KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      302218 | PA      | $293727.67    | 0.02%             | 2046-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A7                                  | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2006 A7 1A12        | CUSIP: 12566TAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30309 | PA      | $27179.65     | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-137.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-OPT2                                    | SG MORTGAGE SECURITIES TRUST SGMS 2006 OPT2 A2          | CUSIP: 78420MAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       81008 | PA      | $75932.33     | 0.00%             | 2036-10-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-115                                                       | FANNIE MAE FNR 2006 115 ES                              | CUSIP: 31396LT26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1153 | PA      | $1280.20      | 0.00%             | 2036-12-25      | Floating      | 11.45%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-1                                           | BEAR STEARNS ALT A TRUST BALTA 2007 1 1A1               | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27181 | PA      | $25645.84     | 0.00%             | 2047-01-25      | Floating      | 4.11%                 | 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        |    27441000 | PA      | $25709162.82  | 1.51%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3937 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5LT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18482 | PA      | $17177.40     | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260717                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $53388.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-99                                                 | FANNIE MAE FNR 2010 99 CL                               | CUSIP: 31398T5D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      452000 | PA      | $443036.57    | 0.03%             | 2040-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3481.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3844                                                   | FREDDIE MAC FHR 3844 PC                                 | CUSIP: 3137A8VQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      323694 | PA      | $327891.90    | 0.02%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-22658.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2005-NC5                                       | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 NC5 M2         | CUSIP: 144531DP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      868283 | PA      | $860692.32    | 0.05%             | 2035-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1177.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR7                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR7 A4         | CUSIP: 92922FQ50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10854 | PA      | $11373.50     | 0.00%             | 2035-08-25      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV7           | CUSIP: 126673C26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $2862388.20   | 0.17%             | 2035-08-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                             | ARGENT SECURITIES INC. ARSI 2006 M2 A2B                 | CUSIP: 04013BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       64747 | PA      | $20945.75     | 0.00%             | 2036-09-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-D                                            | FREMONT HOME LOAN TRUST FHLT 2006 D 1A1                 | CUSIP: 35729VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2135168 | PA      | $1270608.42   | 0.07%             | 2036-11-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0383 FN 04/30 FIXED 4.5                     | CUSIP: 31417YM95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1232 | PA      | $1233.14      | 0.00%             | 2030-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260803                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-2177.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-674.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05409 FG 03/39 FIXED 5.5             | CUSIP: 3128M7KW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         133 | PA      | $136.74       | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $26221.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AC6211 FN 11/39 FIXED 5.5                     | CUSIP: 31417S3V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1180 | PA      | $1208.75      | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-15                                                        | FANNIE MAE FNR 2007 15 AI                               | CUSIP: 31396PWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33920 | PA      | $3117.92      | 0.00%             | 2037-03-25      | Floating      | 2.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-10328.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC9LA5 PIMCO SWAPTION 4.095 PUT USD 2026040          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    24750000 | NC      | $3955.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $735.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2925.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG2201 FR 05/53 FIXED 5.5             | CUSIP: 3133C2NS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1404594 | PA      | $1418327.46   | 0.08%             | 2053-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.58000 08/29/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $22272.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.93000 03/24/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-22240.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-3950.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-11                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 11 1A1         | CUSIP: 86364YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      329603 | PA      | $287194.09    | 0.02%             | 2037-12-25      | Floating      | 6.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $7031.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-94.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR1 A2         | CUSIP: 17310UAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       64443 | PA      | $57158.25     | 0.00%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1                                  | NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 1A1       | CUSIP: 66988UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1273930 | PA      | $469359.98    | 0.03%             | 2046-09-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-HE1                                        | MASTR ASSET BACKED SECURITIES MABS 2007 HE1 A3          | CUSIP: 576457AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      798118 | PA      | $780498.09    | 0.05%             | 2037-05-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 896141 FN 06/36 FIXED 5.5                     | CUSIP: 31410SS65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         383 | PA      | $392.03       | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-54                                                 | FANNIE MAE FNR 2025 54 FM                               | CUSIP: 3136BWNW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      850164 | PA      | $855134.90    | 0.05%             | 2055-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-4004.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                        | SOUTHERN CAL EDISON 1ST REF MORT 10/43 4.65             | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1259283.12   | 0.07%             | 2043-10-01      | Fixed         | 4.65%                 | 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        |      681808 | PA      | $655408.40    | 0.04%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 45 2A1        | CUSIP: 12667G6K4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3750 | PA      | $2692.73      | 0.00%             | 2035-10-20      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2006-AR2                                         | DSLA MORTGAGE LOAN TRUST DSLA 2006 AR2 1A1A             | CUSIP: 23332QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      104793 | PA      | $97216.13     | 0.01%             | 2036-10-19      | Floating      | 3.98%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                          | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A           | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      422230 | PA      | $406355.02    | 0.02%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 190367 FN 01/36 FIXED VAR                     | CUSIP: 31368HMQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1171 | PA      | $1208.63      | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-3                                            | FREMONT HOME LOAN TRUST FHLT 2004 3 M2                  | CUSIP: 35729PFM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      729155 | PA      | $708748.92    | 0.04%             | 2034-11-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-7362.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B      | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36964 | PA      | $36611.99     | 0.00%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-5689.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-66                                                 | FANNIE MAE FNR 2025 66 FL                               | CUSIP: 3136BWZV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21060191 | PA      | $21269792.82  | 1.25%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL0822 FN 10/41 FIXED VAR                     | CUSIP: 3138EG4G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         218 | PA      | $215.98       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         396 | PA      | $414.40       | 0.00%             | 2034-11-01      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $558703.48    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A48592 FG 03/36 FIXED 6               | CUSIP: 3128K9RM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         720 | PA      | $747.53       | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1428.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 4.52250 12/01/30-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-13721.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 966202 FN 12/37 FIXED 6                       | CUSIP: 31414G3K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2338 | PA      | $2418.43      | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ2692 FN 04/48 FIXED 3.5                     | CUSIP: 3140H37E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      127690 | PA      | $118835.08    | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    75000000 | PA      | $75000000.00  | 4.40%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-A                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2005 A 4A1          | CUSIP: 05946XQX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5877 | PA      | $5456.20      | 0.00%             | 2035-02-20      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                                    | PIKES PEAK CLO PIPK 2018 2A ARR 144A                    | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3400000 | PA      | $3404691.18   | 0.20%             | 2034-10-11      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 829125 FN 10/35 FIXED 5.5                     | CUSIP: 31407FD64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1376 | PA      | $1416.58      | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                                 | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5    | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    11200000 | PA      | $11272800.00  | 0.66%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP MYC                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $714429.24    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    10900000 | NC      | $590791.99    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-7                                           | BEAR STEARNS ALT A TRUST BALTA 2006 7 1A1               | CUSIP: 073875AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2766 | PA      | $2557.01      | 0.00%             | 2046-12-25      | Floating      | 4.13%                 | 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        |   191370000 | PA      | $188513220.99 | 11.05%            | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $4549.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4            | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    41300000 | PA      | $11275936.09  | 0.66%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1629.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $2843708.49   | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO10                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO10 A1        | CUSIP: 751153AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      788832 | PA      | $722624.22    | 0.04%             | 2037-01-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 705242 GN 08/39 FIXED 5                       | CUSIP: 36296YP30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3897 | PA      | $3936.27      | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2011-R2                                      | MORGAN STANLEY REREMIC TRUST MSRR 2011 R2 1A 144A       | CUSIP: 61760JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49765 | PA      | $21403.23     | 0.00%             | 2037-05-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $9218.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | AUST 3YR BOND FUT JUN26 XSFE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -39 | NC      | $7519.39      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A        | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      417198 | PA      | $401317.22    | 0.02%             | 2046-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $450604.81    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-1A                                                  | FIRST HELP FINANCIAL LLC FHF 2024 1A A2 144A            | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1506004 | PA      | $1515235.88   | 0.09%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PHP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $91.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 726377 GN 10/39 FIXED 5                       | CUSIP: 3620AC6N9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2601 | PA      | $2657.02      | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                            | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS            | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |         972 | PA      | $1285.44      | 0.00%             | 2044-06-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-24                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 24 A10        | CUSIP: 02151GAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69999 | PA      | $22046.56     | 0.00%             | 2037-10-25      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-HE1                         | SECURITIZED ASSET BACKED RECEI SABR 2005 HE1 M1         | CUSIP: 81375WGF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1823170 | PA      | $1516533.17   | 0.09%             | 2035-10-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-10                                            | GSAA HOME EQUITY TRUST GSAA 2006 10 AF4                 | CUSIP: 362375AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      232296 | PA      | $50020.54     | 0.00%             | 2036-06-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-L                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 L 2A1         | CUSIP: 05949AZE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3878 | PA      | $3754.44      | 0.00%             | 2035-01-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 1A1        | CUSIP: 12668AVL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3924 | PA      | $3724.57      | 0.00%             | 2035-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC1                                 | STRUCTURED ASSET SECURITIES CO SASC 2006 BC1 A2         | CUSIP: 86359YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6193 | PA      | $5994.05      | 0.00%             | 2036-03-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-25707.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $2835.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-19465.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OH1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OH1 A1D       | CUSIP: 02150KAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1369875 | PA      | $1225486.93   | 0.07%             | 2047-04-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCO1 PIMCO CDSOPT PUT USD 101.11328125 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -3400000 | NC      | $-23178.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $1954.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $8899.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-5010.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 735227 FN 02/35 FIXED VAR                     | CUSIP: 31402QYY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         612 | PA      | $626.22       | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 06/17/26-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $175012.94    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $9777.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-10                                            | GSAA HOME EQUITY TRUST GSAA 2005 10 M5                  | CUSIP: 362341JL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25898 | PA      | $25901.11     | 0.00%             | 2035-06-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-17                                                 | FANNIE MAE FNR 2011 17 KS                               | CUSIP: 31397QZU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       92628 | PA      | $8726.75      | 0.00%             | 2041-03-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 606116 FN 09/31 FLOATING VAR                  | CUSIP: 31388JK53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $2.78         | 0.00%             | 2031-09-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-202177.58   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-18                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 18 1A           | CUSIP: 23243WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       51939 | PA      | $51365.23     | 0.00%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21890000 | PA      | $21994243.68  | 1.29%             | 2056-04-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257499 FN 12/28 FIXED 5.5                     | CUSIP: 31371N7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         372 | PA      | $375.18       | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                                      | KEURIG DR PEPPER                                        | CUSIP: 49271KDD3<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1098337.90   | 0.06%             | 2026-04-13      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9627 FN 12/54 FIXED 4.5                     | CUSIP: 3140QVVV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9576885 | PA      | $9359833.39   | 0.55%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888794 FN 09/35 FIXED VAR                     | CUSIP: 31410GNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          23 | PA      | $22.80        | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-9242.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-2                                                         | FANNIE MAE FNR 2010 2 LS                                | CUSIP: 31398G7B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       89852 | PA      | $7190.89      | 0.00%             | 2037-05-25      | Floating      | 2.62%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                             | COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2                  | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      575948 | PA      | $557087.44    | 0.03%             | 2035-04-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY3                                        | TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A        | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20378 | PA      | $20387.39     | 0.00%             | 2059-10-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-9                                             | GSAA HOME EQUITY TRUST GSAA 2006 9 A2                   | CUSIP: 362382AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55124 | PA      | $9859.39      | 0.00%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918       | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1924800.15   | 0.11%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ3634 FN 04/35 FIXED 5.21                    | CUSIP: 3140NYBC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2136000 | PA      | $2222121.15   | 0.13%             | 2035-04-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 884863 FN 04/36 FIXED 5.5                     | CUSIP: 31410CB84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           5 | PA      | $4.76         | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $795745.35    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 889301 FN 11/35 FIXED VAR                     | CUSIP: 31410KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         418 | PA      | $431.46       | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GLOBAL PAYMENTS INC                                                       | GLOBAL PMTS INC                                         | CUSIP: 37961DD23<br>LEI: 549300NOMHGVQBX6S778 | Long             | DBT              | CORP              | US        |     2500000 | PA      | $2499422.25   | 0.15%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-2                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2024 2 C 144A       | CUSIP: 694961AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1589749 | PA      | $1591087.72   | 0.09%             | 2031-08-15      | Fixed         | 7.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-6373.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1          | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1322408 | PA      | $1262954.32   | 0.07%             | 2036-01-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $262.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1          | CUSIP: 05950PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4383 | PA      | $3456.35      | 0.00%             | 2036-10-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 09/17/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-128101.83   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.53500 11/06/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-94564.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-144544.34   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                         | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A         | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      550808 | PA      | $569779.99    | 0.03%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 735813 FN 07/35 FLOATING VAR                  | CUSIP: 31402RN62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         122 | PA      | $125.26       | 0.00%             | 2035-07-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5             | CUSIP: 3128LXAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         386 | PA      | $398.34       | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL20 LLC                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL20 A 144A     | CUSIP: 59319CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7100000 | PA      | $7108388.79   | 0.42%             | 2043-02-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $5228.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAN1A8 PIMCO SWAPTION 4.082 PUT USD 2027010          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   249600000 | NC      | $385157.76    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-291.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.46000 04/01/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-25630.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-738268.51   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-17708.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS3102 FN 10/52 FIXED VAR                     | CUSIP: 3140XJNU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46028 | PA      | $44734.48     | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 01/31 6.5                    | CUSIP: ACI302XY4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  2831221809 | PA      | $738985.38    | 0.04%             | 2031-01-22      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $610.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G30377 FG 12/27 FIXED 6               | CUSIP: 3128CUM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         181 | PA      | $184.55       | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 2A2         | CUSIP: 589929M96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5018 | PA      | $4920.20      | 0.00%             | 2033-02-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5491.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UC8DA6 PIMCO SWAPTION 3.599 CALL USD 202606          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    23700000 | NC      | $183319.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $1366.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2B            | CUSIP: 61753KAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      812746 | PA      | $328729.70    | 0.02%             | 2037-03-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 01/35 11.75                  | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 70718300000 | PA      | $17533610.77  | 1.03%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5557                                                   | FREDDIE MAC FHR 5557 FM                                 | CUSIP: 3137HLZ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      956028 | PA      | $961611.25    | 0.06%             | 2055-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/2.50000 12/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-1908185.24  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $21527.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-10                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 2A4          | CUSIP: 23246BAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1409650 | PA      | $1378754.10   | 0.08%             | 2047-06-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                            | HOMEBANC MORTGAGE TRUST HMBT 2005 1 A2                  | CUSIP: 43739EAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       85262 | PA      | $69949.23     | 0.00%             | 2035-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO IL WATERWORKS REVENUE                                     | CHICAGO IL WTR REVENUE CHIWTR 11/29 FIXED 6.642         | CUSIP: 167736YV3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      110000 | PA      | $113326.50    | 0.01%             | 2029-11-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR10                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR10 2A2A      | CUSIP: 45660N2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          47 | PA      | $44.67        | 0.00%             | 2034-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/2.00000 09/16/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-786920.66   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 4A1          | CUSIP: 05950PAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      286563 | PA      | $261484.13    | 0.02%             | 2046-09-20      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+35.5 MYI                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-1198102.78  | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1474.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AA0920 FN 08/37 FIXED 5.5                     | CUSIP: 31416JAW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2891 | PA      | $2985.47      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                             | EGYPT TREASURY BILL BILLS 10/26 0.00000                 | CUSIP: ACI3187G8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     2000000 | PA      | $32158.81     | 0.00%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-23.40       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KZT BOUGHT USD 20260603                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-10523.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 705997 GN 01/39 FIXED 5                       | CUSIP: 36297AKJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4785 | PA      | $4887.63      | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $6040.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-3                                                    | CHASEFLEX TRUST CFLX 2007 3 2A1                         | CUSIP: 16165AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2217663 | PA      | $1967735.77   | 0.12%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H030658<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -64500000 | PA      | $-57542047.02 | -3.37%            | 2056-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1              | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         123 | PA      | $120.42       | 0.00%             | 2035-02-25      | Floating      | 5.13%                 | 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      | $-18562.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8616 | PA      | $7581.20      | 0.00%             | 2035-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A2        | CUSIP: 75115BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      194289 | PA      | $60687.65     | 0.00%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| SCULE 6A                                                                  | SCULPTOR EUROPEAN CLO SCULE 6A AR 144A                  | CUSIP: ACI1ZPWK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    11010000 | PA      | $12735455.36  | 0.75%             | 2034-10-15      | Floating      | 3.07%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 890489 FN 11/41 FIXED VAR                     | CUSIP: 31410LKA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         273 | PA      | $270.09       | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 3A2        | CUSIP: 74923HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       42320 | PA      | $35321.47     | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CCA VINTAGE 2026  DEC26 IFED 20261224                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         235 | NC      | $-1058347.50  | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL SL2468 FR 09/55 FIXED 5.5             | CUSIP: 31427PW67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10645950 | PA      | $10889782.11  | 0.64%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257132 FN 03/28 FIXED 5                       | CUSIP: 31371NSV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1164 | PA      | $1168.10      | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SLV5 PIMCO CDSOPT CALL USD 100.28125000 2          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -8000000 | NC      | $-7096.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 761893 FN 01/34 FIXED 5.5                     | CUSIP: 31403YNJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         772 | PA      | $776.86       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2006-4                                            | CSAB MORTGAGE BACKED TRUST CSAB 2006 4 A6A              | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1240110 | PA      | $161793.32    | 0.01%             | 2036-12-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-WFH2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH2 M2        | CUSIP: 17309MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2279283 | PA      | $2267502.29   | 0.13%             | 2036-08-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $20.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-9262.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $947.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 819297 FN 09/35 FIXED 6                       | CUSIP: 31406TGE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1179 | PA      | $1234.20      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-12564.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC5                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A          | CUSIP: 12666SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1547028 | PA      | $1453482.87   | 0.09%             | 2037-03-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1MA3 PIMCO SWAPTION 3.067 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2800000 | NC      | $5307.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 838630 FN 10/35 FIXED 4.5                     | CUSIP: 31407RVX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          40 | PA      | $40.08        | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $1730.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NGN BOUGHT USD 20261118                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |           1 | NC      | $-8120.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11                                    | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M4        | CUSIP: 76110W7G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17408000 | PA      | $16223185.41  | 0.95%             | 2035-12-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 1A3        | CUSIP: 16162WPX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3517 | PA      | $3279.33      | 0.00%             | 2036-01-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 712415 GN 05/39 FIXED 5                       | CUSIP: 36297HN87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         842 | PA      | $852.89       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | 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      | $-9963.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                       | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/46 FIXED 3     | CUSIP: 38122NB76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1065000 | PA      | $974126.64    | 0.06%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888301 FN 09/36 FIXED VAR                     | CUSIP: 31410F3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1098 | PA      | $1118.36      | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 944526 FN 07/37 FIXED 6                       | CUSIP: 31413FYX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          28 | PA      | $28.50        | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REVERSE REPO BARCLAYS REVERSE REPO                      | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |    -1062017 | PA      | $-1063167.71  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3                    | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA3 A1        | CUSIP: 320516AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      188828 | PA      | $149805.32    | 0.01%             | 2036-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $44.42        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $11254.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-3553.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-24191.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CH1                                     | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH1 M5        | CUSIP: 46629TAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1874000 | PA      | $1837478.74   | 0.11%             | 2036-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 12/18/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-151055.59   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1054.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SO42 PIMCO CDSOPT PUT USD 96.85937500 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -27500000 | NC      | $-621.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 773068 FN 03/34 FIXED 5.5                     | CUSIP: 31404MZ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          28 | PA      | $28.53        | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.87000 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2547.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-88341.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                          | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1               | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          53 | PA      | $53.41        | 0.00%             | 2035-02-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $17852.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5549                                                   | FREDDIE MAC FHR 5549 BF                                 | CUSIP: 3137HLS52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1391020 | PA      | $1404557.14   | 0.08%             | 2055-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0HA1 PIMCO SWAPTION 3.245 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1300000 | NC      | $3858.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 831819 FN 10/36 FIXED 6                       | CUSIP: 31407JDY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          32 | PA      | $33.44        | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260618                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $6659.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $10450.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                    | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A         | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23880 | PA      | $23303.85     | 0.00%             | 2059-08-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $4463.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                             | EGYPT GOVERNMENT BOND BONDS 03/28 21.954                | CUSIP: ACI2VM0V0<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   169400000 | PA      | $3034474.97   | 0.18%             | 2028-03-04      | Fixed         | 21.95%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 848067 FN 10/35 FIXED 5.5                     | CUSIP: 31408DFG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         739 | PA      | $756.50       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                      | GSAMP TRUST GSAMP 2007 NC1 A1                           | CUSIP: 3622MGAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4657525 | PA      | $2464191.21   | 0.14%             | 2046-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| GSMSC PASS-THROUGH TRUST 2009-4R                                          | GS MORTGAGE SECURITIES CORP. GSMSC 2009 4R 2A3 144A     | CUSIP: 36190GAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56916 | PA      | $41512.56     | 0.00%             | 2036-12-26      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-34.43       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-9042.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 3.76000 11/01/24-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-6013.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-1570.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $12674.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750S949 PIMCO CDSOPT CALL USD 0.5 20260520            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -208900000 | NC      | $-64495.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE5114 FN 10/30 FIXED 4                       | CUSIP: 31419FVG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         431 | PA      | $427.55       | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 969776 FN 02/38 FIXED 5.5                     | CUSIP: 31414L2H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1170 | PA      | $1207.69      | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A     | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $573350.60    | 0.03%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH0066 FN 02/41 FIXED 4.5                     | CUSIP: 3138A1CC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6555 | PA      | $6438.70      | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CZK 4.53000 12/31/30-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-1115.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 690888 GN 06/38 FIXED 5                       | CUSIP: 36296GRH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7986 | PA      | $8053.53      | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV44 5Y 35-100% SP JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $4468684.78   | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 RPL1 A1 144A    | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      371507 | PA      | $361939.93    | 0.02%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 930498 FN 02/29 FIXED 5                       | CUSIP: 31412NX35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3427 | PA      | $3442.62      | 0.00%             | 2029-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.55000 04/16/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $21855.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD4                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD4 1A1       | CUSIP: 07389NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2266 | PA      | $2264.81      | 0.00%             | 2036-10-25      | Floating      | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.98235 12/02/24-2Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $203147.47    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 1A1        | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         417 | PA      | $398.39       | 0.00%             | 2035-12-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $7470.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                                       | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 4A1        | CUSIP: 16163CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76877 | PA      | $65738.72     | 0.00%             | 2036-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 752191 FN 11/33 FIXED 5.5                     | CUSIP: 31403LUQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1465 | PA      | $1478.48      | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-26926.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX MAIN45 5Y ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $-19980.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-125.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SCV5 PIMCO CDSOPT PUT USD 103.53125000 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -5300000 | NC      | $-5374.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $445.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 AS 144A     | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12500000 | PA      | $12523499.88  | 0.73%             | 2037-02-19      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| THAYER PARK CLO LTD 2017-1A                                               | THAYER PARK CLO, LTD. THAYR 2017 1A A1RR 144A           | CUSIP: 883310AW4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2698905.58   | 0.16%             | 2034-04-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR10                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR10 A1        | CUSIP: 45660LKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23574 | PA      | $18916.83     | 0.00%             | 2035-06-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3376                                                   | FREDDIE MAC FHR 3376 FD                                 | CUSIP: 31397KZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7574 | PA      | $7588.65      | 0.00%             | 2037-10-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-2                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 2 1A1         | CUSIP: 68402CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3414142 | PA      | $1577525.25   | 0.09%             | 2036-07-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| ATCLO-2021-17A                                                            | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 17A AR 144A       | CUSIP: 04942FAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2500000 | PA      | $2499661.75   | 0.15%             | 2034-10-20      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                          | DEUTSCHE BANK NY 09/31 VAR                              | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     4633000 | PA      | $4356992.31   | 0.26%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.39000 10/01/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $47874.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL C91154 FG 01/28 FIXED 5               | CUSIP: 3128P7H71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4248 | PA      | $4260.92      | 0.00%             | 2028-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-S1                                          | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 S1 1A         | CUSIP: 855541AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28352 | PA      | $15948.44     | 0.00%             | 2037-01-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2004-RS10                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS10 MII2      | CUSIP: 76112BED8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      825667 | PA      | $788362.23    | 0.05%             | 2034-10-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MYR BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $17575.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05196 FG 10/38 FIXED 5.5             | CUSIP: 3128M7C95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         671 | PA      | $692.30       | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2006-BNC3                                   | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC3 A1        | CUSIP: 86361KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5706846 | PA      | $3521121.69   | 0.21%             | 2036-09-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-26040.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      468000 | PA      | $467718.42    | 0.03%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.74800 03/03/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $21767.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $36978.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 692479 GN 04/39 FIXED 5                       | CUSIP: 36296JJY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         498 | PA      | $506.06       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-236003.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                               | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1        | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |          13 | PA      | $17.60        | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $6679.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI4035 FR 04/54 FIXED 6               | CUSIP: 3133WAPU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      772955 | PA      | $788752.10    | 0.05%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WA4832 FR 11/43 FIXED 3.65            | CUSIP: 3142ACEE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10311225 | PA      | $8828066.15   | 0.52%             | 2043-11-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERADXULN TRS EQUITY SOFR+7.5 MYI                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-1027916.13  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-4179321.95  | -0.25%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $91839.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                   | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 2A3        | CUSIP: 93364EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      342847 | PA      | $310662.03    | 0.02%             | 2037-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR8                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 2A        | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75919 | PA      | $67590.99     | 0.00%             | 2046-10-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/40 4.625                             | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3734300 | PA      | $3733424.75   | 0.22%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $19629.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $3565918.20   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 929451 FN 05/38 FIXED 5.5                     | CUSIP: 31412MTG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8966 | PA      | $9235.65      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                               | ILLINOIS ST ILS 04/35 FIXED 6.725                       | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      100000 | PA      | $104738.56    | 0.01%             | 2035-04-01      | Fixed         | 6.72%                 | 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        |   -56020000 | PA      | $-47085248.08 | -2.76%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-78                                                 | FANNIE MAE FNR 2025 78 KF                               | CUSIP: 3136BW7K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6991064 | PA      | $7050028.34   | 0.41%             | 2055-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $42035.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1        | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18716 | PA      | $14934.31     | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2006-B                                     | NATIONSTAR HOME EQUITY LOAN TR NSTR 2006 B M2           | CUSIP: 63860FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4471271 | PA      | $4431296.92   | 0.26%             | 2036-09-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 929838 FN 08/38 FIXED 6                       | CUSIP: 31412NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          64 | PA      | $67.22        | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2774.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256513 FN 12/36 FIXED 5.5                     | CUSIP: 31371M3W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8603 | PA      | $8882.39      | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 905864 FN 11/36 FIXED 6                       | CUSIP: 31411EMM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29299 | PA      | $30508.89     | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A3        | CUSIP: 92927XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      193634 | PA      | $174503.10    | 0.01%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO I DAC 1A                                                 | INVESCO EURO CLO INVSC 1A A1R 144A                      | CUSIP: ACI1VT7W8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      416877 | PA      | $482446.69    | 0.03%             | 2031-07-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3271.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                             | SEQUOIA MORTGAGE TRUST SEMT 2007 1 4A1                  | CUSIP: 81744HAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       47123 | PA      | $30848.61     | 0.00%             | 2046-09-20      | Floating      | 3.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UCAEA0 PIMCO SWAPTION 4.219 PUT USD 2026060          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    19700000 | NC      | $68154.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $10544.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH9215 FN 01/48 FIXED 3.5                     | CUSIP: 3140GYGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4117 | PA      | $3836.98      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 711409 GN 05/39 FIXED 5                       | CUSIP: 36297GKW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         203 | PA      | $207.22       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                  | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    17990000 | PA      | $996425.66    | 0.06%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                       | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A2         | CUSIP: 55275TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1145343 | PA      | $315559.43    | 0.02%             | 2037-01-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 889692 FN 05/38 FIXED VAR                     | CUSIP: 31410KNH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5054 | PA      | $5209.23      | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+27.5 JPM                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-16781827.42 | -0.98%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 848205 FN 12/35 FIXED 5.5                     | CUSIP: 31408DKS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          35 | PA      | $35.59        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-4.80        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-1                        | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 1 A3           | CUSIP: 31659TEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1884317 | PA      | $1422690.97   | 0.08%             | 2036-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-1                                            | LUMINENT MORTGAGE TRUST LUM 2006 1 A1                   | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22283 | PA      | $20076.70     | 0.00%             | 2036-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 889176 FN 03/38 FIXED VAR                     | CUSIP: 31410G2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1098 | PA      | $1130.07      | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | INF SWAP US IT 2.5145 10/29/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $14558.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-36584.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1466.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG       | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     2260000 | PA      | $791000.00    | 0.05%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 688141 GN 12/38 FIXED 5                       | CUSIP: 36296DP28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2921 | PA      | $2918.30      | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR6                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR6 A1A        | CUSIP: 86359LEV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1242 | PA      | $1233.25      | 0.00%             | 2035-02-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 782979 GN 09/39 FIXED 5                       | CUSIP: 36241LJY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7230 | PA      | $7464.36      | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $27339.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB0830 FN 04/54 FIXED 6                       | CUSIP: 3140A94Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      662552 | PA      | $683285.33    | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-11929.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 714055 GN 05/39 FIXED 5                       | CUSIP: 36297KH87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2167 | PA      | $2213.62      | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERADXULN TRS EQUITY SOFR+22 MYI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-8049107.18  | -0.47%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 65CB 2A6      | CUSIP: 12668AZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      174523 | PA      | $120495.36    | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $19250.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-79                                                        | FANNIE MAE FNR 2005 79 NF                               | CUSIP: 31394FHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8243 | PA      | $8195.25      | 0.00%             | 2035-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 780365 FN 06/34 FLOATING VAR                  | CUSIP: 31404V6A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         318 | PA      | $326.69       | 0.00%             | 2034-06-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                       | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3             | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9620 | PA      | $9564.03      | 0.00%             | 2034-10-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $640632.76    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    61748468 | PA      | $58147772.81  | 3.41%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                            | COUNTRYWIDE HOME LOANS CWHL 2005 R2 1AF1 144A           | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17670 | PA      | $17228.72     | 0.00%             | 2035-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+24 MYI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-5383661.63  | -0.32%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 5A1        | CUSIP: 12668AHE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165214 | PA      | $153518.13    | 0.01%             | 2035-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                                   | FREDDIE MAC FHR 5565 FC                                 | CUSIP: 3137HMGL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9481765 | PA      | $9577698.71   | 0.56%             | 2055-08-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 906311 FN 01/37 FIXED 6                       | CUSIP: 31411E3U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3487 | PA      | $3640.72      | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                | ARES STRATEGIC INCOME FU SR UNSECURED 144A 09/28 5.45   | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |     5700000 | PA      | $5643469.51   | 0.33%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET BK 2002-3                                     | CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 3 2A1          | CUSIP: 161546DB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7888 | PA      | $7855.88      | 0.00%             | 2032-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750SJX4 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     3120000 | NC      | $18261.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QO1                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO1 A1         | CUSIP: 75115YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1266848 | PA      | $1181443.53   | 0.07%             | 2047-02-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A2       | CUSIP: 83612NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2015117 | PA      | $532671.49    | 0.03%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA2                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA2 1A         | CUSIP: 933635AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1694270 | PA      | $1525616.61   | 0.09%             | 2047-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2006-5                                         | IMPAC SECURED ASSETS CORP. IMSA 2006 5 1A1C             | CUSIP: 45257EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9485386 | PA      | $8662726.85   | 0.51%             | 2037-02-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 5.20000 03/23/31-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $-32.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $4189.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0022 FN 04/29 FIXED 4.5                     | CUSIP: 31417YAY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1583 | PA      | $1587.61      | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AC7291 FN 12/39 FIXED 4.5                     | CUSIP: 31417UC52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         254 | PA      | $251.84       | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH2687 FN 01/41 FIXED 4.5                     | CUSIP: 3138A36Z5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      224603 | PA      | $222403.04    | 0.01%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-252.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R2                                          | JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A1 144A         | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39990 | PA      | $37251.44     | 0.00%             | 2037-07-27      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | KBCZ26C45 DEC26 45 CALL FSO                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         219 | NC      | $16425.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | 317UBKMA0 PIMCO SWAPTION 3.4625 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    24200000 | NC      | $19752.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $360377.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 893641 FN 09/36 FIXED 6                       | CUSIP: 31410PZE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         837 | PA      | $878.20       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | 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