# EDGAR Filing Document

**Accession Number:** 0000813900
**File Stem:** 0001410368-25-030728
**Filing Date:** 2025-11
**Character Count:** 513922
**Document Hash:** f012d01b950c2ec671f2f1fef5c889e8
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001410368-25-030728.hdr.sgml**: 20251125

**ACCESSION NUMBER**: 0001410368-25-030728

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251125

**DATE AS OF CHANGE**: 20251125

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PACIFIC SELECT FUND
- **CENTRAL INDEX KEY:** 0000813900

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05141
- **FILM NUMBER:** 251518012

**BUSINESS ADDRESS:**
- **STREET 1:** 700 NEWPORT CTR DR
- **STREET 2:** P O BOX 7500
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 9492193233

**MAIL ADDRESS:**
- **STREET 1:** 700 NEWPORT CTR DR
- **STREET 2:** P O BOX 7500
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660

## Series and Classes Contracts Data

### Total Return Portfolio (Series ID: S000026011)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000078080 | Class I      |  |
| C000098952 | Class P      |  |

## Nport-Ex

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## Form NPORT-P: Monthly Portfolio Investments Report

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

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

- **a. Name of Registrant:** PACIFIC SELECT FUND

- **b. Investment Company Act file number:** 811-05141

- **c. CIK number of Registrant:** 0000813900

- **d. LEI of Registrant:** 549300KH2YJL0X2VEL27

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

  - **Street Address 1:** 700 NEWPORT CTR DR

  - **City:** NEWPORT BEACH

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** 949-219-3233

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

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

- **b. EDGAR series identifier (if any):** S000026011

- **c. LEI of Series:** 5SCI88E1XWY2RI6Q4163

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

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

- **b. Date as of which information is reported:** 2025-09-30

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3343931336.72

**Total Liabilities:** $1584585957.52

**Net Assets:** $1759345379.20

**Delayed Delivery Securities:** $1125277154.89

**Cash Not Reported:** $4461854.65

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -4665.27000000 | **1-Year:** -74112.40000000 | **5-Year:** -92600.16000000 | **10-Year:** -39437.36000000 | **30-Year:** -14234.53000000

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

- **3-Month:** -1080.49000000 | **1-Year:** -16457.10000000 | **5-Year:** -74077.16000000 | **10-Year:** -34908.67000000 | **30-Year:** -12348.56000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000078080 | -0.17%               | 1.42%                | 1.28%                |
| Class ID C000098952 | -0.16%               | 1.43%                | 1.29%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $5619486.33              | $-21557299.67                              |
| Month 2  | $4920677.31              | $13433421.08                               |
| Month 3  | $12609913.41             | $4611080.80                                |

**Designated Index Information**

- **Index Name:** Barclays US Aggregate

- **Index Identifier:** LBUSTRUU

### Schedule of Portfolio Investments

| Name                                              | Title                                                                            | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QPK89<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3175569 | PA      | $3102407.42   | 0.18%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CROWN CASTLE INC                                  | Crown Castle Inc                                                                 | CUSIP: 22822VAC5<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              |  | US        |    2277000 | PA      | $2268071.63   | 0.13%             | 2026-06-15      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Suntrust Alternative Loan Trust                   | Suntrust Alternative Loan Trust Series 2005-1F                                   | CUSIP: 86789MAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1433656 | PA      | $65743.59     | 0.00%             | 2035-12-25      | Floating      | 0.83%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE5                                  | CUSIP: 61753KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3570717 | PA      | $1520189.38   | 0.09%             | 2037-03-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412N6P6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2271 | PA      | $2328.99      | 0.00%             | 2039-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Manulife Financial Corp                           | Manulife Financial Corp                                                          | CUSIP: 56501RAC0<br>LEI: 5493007GBX87QOZACS27 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $499834.55    | 0.03%             | 2026-03-04      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 A PTT                           | American Airlines 2016-3 Class A Pass Through Trust                              | CUSIP: 023771S25<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1793676 | PA      | $1702283.71   | 0.10%             | 2028-10-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SYNCHRONY BANK                                    | Synchrony Bank                                                                   | CUSIP: 87166FAE3<br>LEI: 549300UATVPGSLE43Z27 | Long             | DBT              | CORP              | US        |    5600000 | PA      | $5719819.78   | 0.33%             | 2027-08-23      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-1692.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410QKJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12346 | PA      | $12937.64     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Lehman ABS Mortgage Loan Trust                    | Lehman ABS Mortgage Loan Trust 2007-1                                            | CUSIP: 52521MAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     714517 | PA      | $476584.65    | 0.03%             | 2037-06-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RTD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        837 | PA      | $839.95       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| REALTY INCOME CORP                                | Realty Income Corp                                                               | CUSIP: 756109BZ6<br>LEI: 549300CUWDAUZSH43859 | Long             | DBT              |  | US        |    8100000 | PA      | $8008757.06   | 0.46%             | 2027-01-15      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QSPN5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2888311 | PA      | $2889905.68   | 0.16%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Park Place Securities Inc                         | Park Place Securities Inc Asset-Backed Pass-Through Certificates Series 2005-WCW | CUSIP: 70069FLJ4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    6469201 | PA      | $6258909.16   | 0.36%             | 2035-07-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133KRB29<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    9434274 | PA      | $9400130.58   | 0.53%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RUA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      49886 | PA      | $50233.06     | 0.00%             | 2035-08-01      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $38.48        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CVD5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7959 | PA      | $8090.43      | 0.00%             | 2032-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Trinity Square                                    | Trinity Square 2021-1 PLC                                                        | CUSIP: 000000000<br>LEI: 6354001L6FRKQUMWRQ12 | Long             | ABS-MBS          | CORP              | GB        |    2682363 | PA      | $3621725.84   | 0.21%             | 2059-07-15      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1800000 | PA      | $1446468.75   | 0.08%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-2.39        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13 08/13/25-01/02/29 CME                                                 | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   15400000 | OU      | $13310.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PEMEX LCDS SP DUB                                                                | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DCR              |  | GB        |     352920 | OU      | $3450.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP                            | Mizuho Financial Group Inc                                                       | CUSIP: 60687YCL1<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |    3300000 | PA      | $3380621.97   | 0.19%             | 2028-09-13      | Fixed         | 5.41%                 | No            |                  2 | On Loan: No      |
| AMERICAN TOWER CORP                               | American Tower Corp                                                              | CUSIP: 03027XBC3<br>LEI: 5493006ORUSIL88JOE18 | Long             | DBT              |  | US        |    8000000 | PA      | $7213886.08   | 0.41%             | 2030-06-15      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NXJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        625 | PA      | $628.37       | 0.00%             | 2028-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Saxon Asset Securities Trust                      | Saxon Asset Securities Trust 2005-2                                              | CUSIP: 805564SD4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1273862 | PA      | $1250039.46   | 0.07%             | 2035-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407TSM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30800 | PA      | $32274.91     | 0.00%             | 2035-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CSK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11360 | PA      | $11398.30     | 0.00%             | 2031-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | TW        |          1 | NC      | $-255.09      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405G5R7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4611 | PA      | $4653.16      | 0.00%             | 2034-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.50000 09/18/24-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11000000 | OU      | $154662.17    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CFR2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        774 | PA      | $774.74       | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RN0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9200000 | PA      | $6993257.82   | 0.40%             | 2045-08-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3131XDUV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      24346 | PA      | $24032.92     | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241KZG6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9950 | PA      | $10209.66     | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296XE75<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      27712 | PA      | $28191.08     | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TE8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2204798 | PA      | $1196331.40   | 0.07%             | 2052-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AMERICAN HONDA FINANCE                            | American Honda Finance Corp                                                      | CUSIP: 02665WGH8<br>LEI: B6Q2VFHD1797Q7NZ3E43 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3006240.75   | 0.17%             | 2027-08-13      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31401JNG9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1476 | PA      | $1513.08      | 0.00%             | 2033-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38383KLM2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    9047021 | PA      | $9135013.91   | 0.52%             | 2073-12-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317UABYA8 PIMCO SWAPTION 2.55 CALL EUR 2025100                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |    -600000 | NC      | $-32.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-450.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A5ZZ8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        263 | PA      | $262.21       | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-28244.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-7012.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317UAEOA3 PIMCO SWAPTION 3.625 PUT USD 2025101                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -2400000 | NC      | $-14637.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8AW4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      13448 | PA      | $13967.64     | 0.00%             | 2040-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $5207.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207KYQ7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        507 | PA      | $508.88       | 0.00%             | 2029-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CC20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        125 | PA      | $125.24       | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1300000 | PA      | $1561012.47   | 0.09%             | 2034-03-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QR5B5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      84720 | PA      | $82686.25     | 0.00%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                           | Nissan Motor Acceptance Co LLC                                                   | CUSIP: 65480CAH8<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4781286.86   | 0.27%             | 2029-09-13      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140N56C3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      99615 | PA      | $99327.26     | 0.01%             | 2052-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                        | PacifiCorp                                                                       | CUSIP: 695114DD7<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4406937.22   | 0.25%             | 2034-02-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-587.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SCENTRE GROUP TRUST 1/2                           | Scentre Group Trust 1 / Scentre Group Trust 2                                    | CUSIP: 80622GAD6<br>LEI: 549300SQ859FBKRKSI77 | Long             | DBT              |  | AU        |    7300000 | PA      | $7283220.73   | 0.41%             | 2026-01-28      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| TRUIST FINANCIAL CORP                             | Truist Financial Corp                                                            | CUSIP: 89788MAJ1<br>LEI: 549300DRQQI75D2JP341 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2301948.81   | 0.13%             | 2026-10-28      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ADNOC MURBAN RSC LTD                              | Adnoc Murban Rsc Ltd                                                             | CUSIP: 00723L2A6<br>LEI: 213800OWGH7RAYG61M70 | Long             | DBT              | CORP              | AE        |    2100000 | PA      | $2112009.82   | 0.12%             | 2029-09-11      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418SDC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10548 | PA      | $10898.99     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YS47<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        598 | PA      | $602.86       | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406RFE0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11613 | PA      | $11642.97     | 0.00%             | 2035-09-01      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2023-NQM1 Trust                                                              | CUSIP: 670855AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3260559 | PA      | $3259058.05   | 0.19%             | 2062-11-25      | Variable      | 6.12%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $-10431.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $10095.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Foresea Holding SA                                | Foresea Holding SA                                                               | CUSIP: 262051105<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |       3476 | NS      | $75313.33     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| SOLVAY FINANCE (AMERICA)                          | Syensqo Finance America LLC                                                      | CUSIP: 834423AE5<br>LEI: 54930073OEL5K0Y7NK81 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4766198.09   | 0.27%             | 2029-06-04      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $895250.65    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $4577.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                           | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     881000 | PA      | $281441.47    | 0.02%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| Foresea Holding SA                                | Foresea Holdings SA                                                              | CUSIP: 262051204<br>LEI: N/A                  | Long             | EC               | CORP              | LU        |      31292 | NS      | $677993.34    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC1                    | CUSIP: 86359YAH4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1051626 | PA      | $1017156.36   | 0.06%             | 2036-03-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3392469 | PA      | $2009191.97   | 0.11%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| STELLANTIS FIN US INC                             | Stellantis Finance US Inc                                                        | CUSIP: 85855CAM2<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1925448.30   | 0.11%             | 2028-03-17      | Fixed         | 5.35%                 | No            |                  2 | On Loan: —       |
| BNP Paribas SA                                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $-1315.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31359RY63<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1130 | PA      | $1129.04      | 0.00%             | 2028-04-18      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                           | J P MORGAN TERM REPO                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | RA               | CORP              | US        |    7196970 | PA      | $7196970.00   | 0.41%             |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA                            | Santander Holdings USA Inc                                                       | CUSIP: 80282KBC9<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |    6025000 | PA      | $5880015.54   | 0.33%             | 2028-01-06      | Fixed         | 2.49%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | 317UADUA8 PIMCO SWAPTION 3.385 CALL USD 202510                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -3300000 | NC      | $-696.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $104.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DTE ENERGY CO                                     | DTE Energy Co                                                                    | CUSIP: 233331BK2<br>LEI: 549300IX8SD6XXD71I78 | Long             | DBT              | CORP              | US        |    6100000 | PA      | $6252813.36   | 0.36%             | 2029-03-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |          0 | PA      | $0.01         | 0.00%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3T5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     599902 | PA      | $577476.75    | 0.03%             | 2048-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                         | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4328913.91   | 0.25%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Mortgage Loan Trust 2006-BC4                    | CUSIP: 86359RAD8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      96885 | PA      | $94824.14     | 0.01%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75000 06/20/24-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4900000 | OU      | $-68272.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31391LJN6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      73378 | PA      | $74149.72     | 0.00%             | 2033-02-01      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H0206B6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4900000 | PA      | $4051987.58   | 0.23%             | 2055-11-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402DM56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      25513 | PA      | $26564.51     | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| NATIONAL GRID PLC                                 | National Grid PLC                                                                | CUSIP: 636274AD4<br>LEI: 8R95QZMKZLJX5Q2XR704 | Long             | DBT              | CORP              | GB        |    3400000 | PA      | $3521540.28   | 0.20%             | 2028-06-12      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                     | UWM Mortgage Trust 2021-INV4                                                     | CUSIP: 918307AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5403204 | PA      | $4470330.84   | 0.25%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5500000 | PA      | $5600224.63   | 0.32%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                     | CUSIP: 06738ECM5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    3600000 | PA      | $3638508.80   | 0.21%             | 2027-09-13      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| Structured Adjustable Rate Mortgage Loan Trust    | Structured Adjustable Rate Mortgage Loan Trust Series 2004-20                    | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20077 | PA      | $19921.39     | 0.00%             | 2035-01-25      | Variable      | 3.92%                 | No            |                  2 | On Loan: No      |
| Toyota Auto Loan Extended Note Trust              | Toyota Auto Loan Extended Note Trust 2023-1                                      | CUSIP: 89231WAA1<br>LEI: 5493000KI9FC40RVHF71 | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2458319.52   | 0.14%             | 2036-06-25      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KP2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3900000 | PA      | $1831283.30   | 0.10%             | 2041-08-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $1447.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | IN        |          1 | NC      | $-17136.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-10439.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Catamaran CLO Ltd                                 | Catamaran CLO 2014-1 Ltd                                                         | CUSIP: 14889DAJ7<br>LEI: 549300C8Q7ISEHHDRH76 | Long             | ABS-CBDO         | CORP              | KY        |     639964 | PA      | $640764.08    | 0.04%             | 2030-04-22      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $-1311.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404RQ59<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31219 | PA      | $31504.58     | 0.00%             | 2034-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CLEAR STREET                                      | CLEAR STREET                                                                     | CUSIP: 000000000<br>LEI: 549300KNQS43Y7TO3X67 | Long             | RA               | CORP              | US        |    4322286 | PA      | $4322286.27   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-5928.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296GQ61<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      32192 | PA      | $32581.68     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416NJV5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        308 | PA      | $306.89       | 0.00%             | 2025-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ALASKA AIRLINES 2020 TR                           | Alaska Airlines 2020-1 Class A Pass Through Trust                                | CUSIP: 01166VAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3952381 | PA      | $3961546.11   | 0.23%             | 2027-08-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: —       |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $15248.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities     | First Horizon Alternative Mortgage Securities Trust 2005-AA1                     | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     286541 | PA      | $161663.24    | 0.01%             | 2035-03-25      | Variable      | 4.64%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $-62.34       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XHNG8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1062266 | PA      | $1015500.86   | 0.06%             | 2052-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | IL        |          1 | NC      | $329.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MHL4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         72 | PA      | $72.18        | 0.00%             | 2025-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $-5996.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |          1 | NC      | $-9757.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-546.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chile Government International Bonds              | Chile Government International Bonds                                             | CUSIP: 168863DV7<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |    7000000 | PA      | $6425300.00   | 0.37%             | 2034-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416TL80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     171079 | PA      | $175365.74    | 0.01%             | 2039-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NQ7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48699 | PA      | $49488.82     | 0.00%             | 2031-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-457.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $-3781.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Home Equity Asset Trust                           | Home Equity Asset Trust 2004-4                                                   | CUSIP: 437084CZ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     538972 | PA      | $537790.18    | 0.03%             | 2034-10-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137F5BX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1948002 | PA      | $1909564.78   | 0.11%             | 2043-10-15      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCG3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    6000000 | PA      | $5635378.14   | 0.32%             | 2028-09-17      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                    | Option One Mortgage Loan Trust 2006-3                                            | CUSIP: 68389BAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3673234 | PA      | $2391580.02   | 0.14%             | 2037-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-320.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $22495.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212WMD6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        894 | PA      | $896.70       | 0.00%             | 2031-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2007-AMC1                                          | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8063929 | PA      | $3032557.37   | 0.17%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $1887.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K6U4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        321 | PA      | $322.06       | 0.00%             | 2026-09-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $2173.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395A3J2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1702496 | PA      | $1650334.18   | 0.09%             | 2044-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $2654.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AAYJ4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        214 | PA      | $213.13       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                            | Venture Global LNG Inc                                                           | CUSIP: 92332YAA9<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1553655.00   | 0.09%             | 2028-06-01      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | BR        |          1 | NC      | $21417.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2006-A Trust                                             | CUSIP: 058927AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     161171 | PA      | $154210.80    | 0.01%             | 2036-02-20      | Variable      | 6.06%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406YFH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1104 | PA      | $1149.37      | 0.00%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ROYAL BANK OF CANADA                              | Royal Bank of Canada                                                             | CUSIP: 78016HZT0<br>LEI: ES7IP3U3RHIGC71XBU11 | Long             | DBT              | CORP              | CA        |    3500000 | PA      | $3541929.62   | 0.20%             | 2027-01-19      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| IndyMac ARM Trust                                 | IndyMac ARM Trust 2001-H2                                                        | CUSIP: 45660UAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4585 | PA      | $4442.12      | 0.00%             | 2032-01-25      | Variable      | 5.77%                 | No            |                  2 | On Loan: No      |
| OMEGA HLTHCARE INVESTORS                          | Omega Healthcare Investors Inc                                                   | CUSIP: 681936BK5<br>LEI: 549300OJ7ENK42CZ8E73 | Long             | DBT              |  | US        |     590000 | PA      | $595372.68    | 0.03%             | 2028-01-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CA22<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        257 | PA      | $257.38       | 0.00%             | 2026-12-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| AMDOCS LTD                                        | Amdocs Ltd                                                                       | CUSIP: 02342TAE9<br>LEI: 549300HQV672RJ7RQV66 | Long             | DBT              | CORP              | GG        |    4700000 | PA      | $4308435.06   | 0.24%             | 2030-06-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                               | CUSIP: 05964HAX3<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    2000000 | PA      | $2049292.32   | 0.12%             | 2027-11-07      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403CX22<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6386 | PA      | $6658.42      | 0.00%             | 2035-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citigroup Commercial Mortgage Trust               | Citigroup Commercial Mortgage Trust 2016-C3                                      | CUSIP: 17325GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     662020 | PA      | $659565.53    | 0.04%             | 2049-11-15      | Fixed         | 2.98%                 | No            |                  2 | On Loan: No      |
| ROMANIA                                           | Romanian Government International Bond                                           | CUSIP: 77586RAK6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    6500000 | PA      | $6349995.15   | 0.36%             | 2027-02-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404U6K1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        528 | PA      | $553.41       | 0.00%             | 2034-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-2174.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                           | Goldman Sachs Group Inc/The                                                      | CUSIP: 38141GWL4<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3475115.81   | 0.20%             | 2028-06-05      | Fixed         | 3.69%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWW2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11304 | PA      | $11365.01     | 0.00%             | 2032-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                              | Bayer US Finance LLC                                                             | CUSIP: 07274EAH6<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2645841.02   | 0.15%             | 2026-11-21      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  225200000 | PA      | $226923239.41 | 12.90%            | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $458.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7775600 | PA      | $5469496.77   | 0.31%             | 2041-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Starwood Commercial Mortgage Trust                | STWD 2021-LIH Mortgage Trust                                                     | CUSIP: 78486EAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7100000 | PA      | $7088889.92   | 0.40%             | 2036-11-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| Banc of America Merrill Lynch Large Loan Inc      | BAMLL Commercial Mortgage Securities Trust 2021-JACX                             | CUSIP: 05493LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6728106.70   | 0.38%             | 2038-09-15      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CKD7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1568 | PA      | $1567.65      | 0.00%             | 2029-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H0406B4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15100000 | PA      | $14197263.26  | 0.81%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ICE Futures Europe - Financial Products Division  | LONG GILT FUTURE DEC25                                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         74 | NC      | $42673.74     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042699<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1825000 | PA      | $1770661.43   | 0.10%             | 2055-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-767.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Asset Backed Securities Corp Home Equity Ln Trst  | Asset Backed Securities Corp Home Equity Loan Trust Series OOMC 2005-HE6         | CUSIP: 04541GTP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1032148 | PA      | $1005835.58   | 0.06%             | 2035-07-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36179UWB4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1163641 | PA      | $1181682.14   | 0.07%             | 2049-07-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | XX        |          1 | NC      | $7717.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-43754.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | Countrywide Asset-Backed Certificates                                            | CUSIP: 12669TAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1137693 | PA      | $897250.53    | 0.05%             | 2047-03-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  790000000 | PA      | $4897909.19   | 0.28%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                              | CUSIP: 80413TBD0<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    5000000 | PA      | $5078202.30   | 0.29%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| LOGICOR FINANCING SARL                            | Logicor Financing Sarl                                                           | CUSIP: 000000000<br>LEI: 254900IS16Q1A2TQFN22 | Long             | DBT              | CORP              | LU        |    2300000 | PA      | $2515162.05   | 0.14%             | 2030-01-17      | Fixed         | 1.62%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | SOUTH AFRICA EM SP MYC                                                           | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    4800000 | OU      | $34965.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 12/18/24-1Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   20000000 | OU      | $26930.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TB4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4450000 | PA      | $2518248.06   | 0.14%             | 2051-11-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| NYO Commercial Mortgage Trust                     | NYO Commercial Mortgage Trust 2021-1290                                          | CUSIP: 62955HAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11200000 | PA      | $11170634.72  | 0.63%             | 2038-11-15      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406VWP7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9378 | PA      | $9808.07      | 0.00%             | 2035-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NEE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6914 | PA      | $7058.86      | 0.00%             | 2032-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410W5B0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10846 | PA      | $11193.59     | 0.00%             | 2036-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3622ABJW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      38247 | PA      | $39040.03     | 0.00%             | 2049-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $6277.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | 31750R9L3 PIMCO FXVAN CALL USD SEK 10.12500000                                   | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |     768000 | OU      | $6.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Acquisition Corp               | JP Morgan Mortgage Acquisition Trust 2006-ACC1                                   | CUSIP: 46628RAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    7364999 | PA      | $7101901.20   | 0.40%             | 2036-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Soundview Home Equity Loan Trust                  | Soundview Home Loan Trust 2007-WMC1                                              | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1312635 | PA      | $350125.59    | 0.02%             | 2037-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | CA        |          1 | NC      | $138.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $1081.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MT31<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3707 | PA      | $3907.88      | 0.00%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.50000 09/20/23-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |   12700000 | OU      | $203903.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408GY84<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5748 | PA      | $6041.62      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140J6GM3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     187577 | PA      | $180442.86    | 0.01%             | 2047-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RK6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1300000 | PA      | $931582.03    | 0.05%             | 2045-02-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NEY0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5292 | PA      | $5412.34      | 0.00%             | 2032-03-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     300000 | OU      | $5540.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RGA GLOBAL FUNDING                                | RGA Global Funding                                                               | CUSIP: 76209PAE3<br>LEI: 549300Y22K5FOEBMSK42 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4880534.24   | 0.28%             | 2029-05-24      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6AX6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        159 | PA      | $165.19       | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2023-1 A PTT                           | United Airlines 2023-1 Class A Pass Through Trust                                | CUSIP: 90932LAJ6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    4384964 | PA      | $4550698.75   | 0.26%             | 2036-01-15      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  649900000 | PA      | $3833480.54   | 0.22%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CAN6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3103 | PA      | $3107.16      | 0.00%             | 2026-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJJT8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10048 | PA      | $10423.24     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128LCBQ8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        464 | PA      | $480.60       | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403C5V9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3298 | PA      | $3392.31      | 0.00%             | 2033-01-01      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| ResLoC UK PLC                                     | Resloc UK 2007-1 PLC                                                             | CUSIP: 000000000<br>LEI: 213800RE18XIC3OI1847 | Long             | ABS-MBS          | CORP              | GB        |    1206766 | PA      | $1391384.21   | 0.08%             | 2043-12-15      | Floating      | 2.17%                 | Yes           |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND FUTURE DEC25                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |       -233 | NC      | $-163425.95   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-711.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MCT5<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    1600000 | PA      | $1605815.30   | 0.09%             | 2026-01-13      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810UH9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1228512 | PA      | $1200623.07   | 0.07%             | 2055-02-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $-5668.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75375 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6400000 | OU      | $-93497.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC-GNMA                                        | FHLMC-GNMA                                                                       | CUSIP: 3133T7YG8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2013 | PA      | $2018.55      | 0.00%             | 2026-09-20      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Republic of Peru                                  | Peruvian Government International Bond                                           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    5684000 | PA      | $1815792.66   | 0.10%             | 2031-08-12      | Fixed         | 6.95%                 | Yes           |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133B9Z23<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2353474 | PA      | $2073532.33   | 0.12%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | BARCLAYS BANK PLC SNR SE ICE                                                     | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    3500000 | OU      | $6957.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-3608.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418C7B4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      17200 | PA      | $17193.39     | 0.00%             | 2034-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CN        |          1 | NC      | $-813.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TQ1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7300000 | PA      | $6627601.53   | 0.38%             | 2043-02-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| EPH FIN INTERNATIONAL AS                          | EPH Financing International AS                                                   | CUSIP: 000000000<br>LEI: 3157003E5A4ZV0JCSM65 | Long             | DBT              | CORP              | CZ        |    3300000 | PA      | $4216652.69   | 0.24%             | 2028-11-13      | Fixed         | 6.65%                 | Yes           |                  2 | On Loan: No      |
| BUONI POLIENNALI DEL TES                          | Italy Buoni Poliennali Del Tesoro                                                | CUSIP: 000000000<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |    6147408 | PA      | $7315145.73   | 0.42%             | 2028-05-15      | Fixed         | 1.30%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410MJ68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        310 | PA      | $322.20       | 0.00%             | 2035-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YF28<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5108 | PA      | $5161.77      | 0.00%             | 2029-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRINCIPAL LFE GLB FND II                          | Principal Life Global Funding II                                                 | CUSIP: 74256LEW5<br>LEI: 635400WSLKBQWSOIIT41 | Long             | DBT              | CORP              | US        |    6300000 | PA      | $6510280.83   | 0.37%             | 2028-06-28      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SL3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    6700000 | PA      | $4008091.82   | 0.23%             | 2050-02-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $-1879.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-1197.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.73910 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4400000 | OU      | $-71188.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |          1 | NC      | $-9002.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2025-C                                                 | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2300000 | PA      | $2294317.39   | 0.13%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                 | HSBC Holdings PLC                                                                | CUSIP: 404280DR7<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    8500000 | PA      | $9028495.92   | 0.51%             | 2028-11-03      | Fixed         | 7.39%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CXL5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5673 | PA      | $5717.77      | 0.00%             | 2033-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments Trust 2002-AR3                             | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5703 | PA      | $5449.92      | 0.00%             | 2032-09-19      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $1216.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas Suisse SA                             | CDX ITRAXX XOV42 5Y 35-100% SP BPS                                               | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DCR              |  | FR        |    5315228 | OU      | $1093484.11   | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211C5D0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        352 | PA      | $353.47       | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $10284.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25894 | PA      | $24965.75     | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | CN        |          1 | NC      | $-626.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $3825.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   34666000 | OU      | $-576693.18   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418ECR9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     403171 | PA      | $355420.52    | 0.02%             | 2052-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $12643.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9444000 | PA      | $9655752.23   | 0.55%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/1.75000 06/15/22-10Y CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   33230000 | OU      | $3440507.93   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X5VG5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19220 | PA      | $18762.56     | 0.00%             | 2035-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CHARTER COMM OPT LLC/CAP                          | Charter Communications Operating LLC / Charter Communications Operating Capital  | CUSIP: 161175BY9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    7500000 | PA      | $4678213.50   | 0.27%             | 2061-04-01      | Fixed         | 3.85%                 | No            |                  2 | On Loan: —       |
| Barclays Bank PLC                                 | 31750R9K5 PIMCO FXVAN PUT AUD USD 0.62250000                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |    1285000 | OU      | $10.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CQH2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2767 | PA      | $2782.91      | 0.00%             | 2030-09-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $10005.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.00000 03/19/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7000000 | OU      | $-89614.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QX9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   26200000 | PA      | $20398132.88  | 1.16%             | 2042-08-15      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $2783.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 2YR NOTE (CBT) DEC25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |         55 | NC      | $20128.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030694<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -73242613 | PA      | $-64344225.86 | -3.66%            | 2055-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA NA                                | Bank of America NA                                                               | CUSIP: 06428CAB0<br>LEI: B4TYDEB6GKMZO031MB27 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4224368.82   | 0.24%             | 2026-08-18      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8GA6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      75699 | PA      | $78622.68     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-230.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.9255 05/08/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    6000000 | OU      | $-5357.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAC6<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |    5140197 | PA      | $4677581.90   | 0.27%             | 2037-05-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | COLOMBIA LA SP MYC                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    1900000 | OU      | $-997.89      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AT&T INC                                          | AT&T Inc                                                                         | CUSIP: 00206RML3<br>LEI: 549300Z40J86GGSTL398 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3657052.84   | 0.21%             | 2026-03-25      | Fixed         | 1.70%                 | No            |                  2 | On Loan: No      |
| Mexico Government International Bonds             | Mexico Government International Bonds                                            | CUSIP: 91087BAZ3<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     900000 | PA      | $922140.00    | 0.05%             | 2036-05-07      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YQ30<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4412519 | PA      | $4423219.56   | 0.25%             | 2073-01-20      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403BF32<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      26493 | PA      | $26782.07     | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 317UAG9A5 PIMCO SWAPTION 2.55 CALL EUR 2025101                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -1700000 | NC      | $-1049.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                | F&G Global Funding                                                               | CUSIP: 30321L2K7<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3111934.88   | 0.18%             | 2028-09-08      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-3676.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB CO                           | Bristol-Myers Squibb Co                                                          | CUSIP: 110122ED6<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4514704.16   | 0.26%             | 2026-02-20      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EH7H9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7582 | PA      | $7511.88      | 0.00%             | 2027-04-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Renaissance Home Equity Loan Trust                | Renaissance Home Equity Loan Trust 2003-2                                        | CUSIP: 759950AW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     107491 | PA      | $98329.31     | 0.01%             | 2033-08-25      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-200.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STATE OF ISRAEL                                   | State of Israel                                                                  | CUSIP: 000000000<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    9000000 | PA      | $6013540.44   | 0.34%             | 2060-05-13      | Fixed         | 3.80%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406ABS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8835 | PA      | $9142.24      | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WESTERN MIDSTREAM OPERAT                          | Western Midstream Operating LP                                                   | CUSIP: 958667AF4<br>LEI: L6D8A6MLSY454J2JXJ60 | Long             | DBT              | CORP              | US        |     400000 | PA      | $420963.35    | 0.02%             | 2029-01-15      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| NORINCHUKIN BANK                                  | Norinchukin Bank/The                                                             | CUSIP: 656029AP0<br>LEI: 5493007VSMFZCPV1NB83 | Long             | DBT              | CORP              | JP        |    2100000 | PA      | $2111640.93   | 0.12%             | 2030-09-09      | Fixed         | 4.67%                 | No            |                  2 | On Loan: —       |
| EXTRA SPACE STORAGE LP                            | Extra Space Storage LP                                                           | CUSIP: 30225VAM9<br>LEI: 549300YNKSKNZFR8UC42 | Long             | DBT              |  | US        |    2600000 | PA      | $2583519.69   | 0.15%             | 2027-12-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SU3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11375000 | PA      | $6499968.25   | 0.37%             | 2051-02-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317UAM1A0 PIMCO SWAPTION 3.85 PUT USD 20251027                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -600000 | NC      | $-1019.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374GRC3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4866 | PA      | $4818.11      | 0.00%             | 2036-05-01      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| OZLM Ltd                                          | OZLM XVII Ltd                                                                    | CUSIP: 67111NAQ7<br>LEI: 549300EERMFPZ487P195 | Long             | ABS-CBDO         | CORP              | KY        |     117664 | PA      | $117723.39    | 0.01%             | 2030-07-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS AUD 4.50000 03/20/24-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | AU        |    7300000 | OU      | $110364.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.3537 05/12/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    4600000 | OU      | $358.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 31750R8W0 PIMCO FXVAN PUT EUR USD 1.13150000                                     | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |    8859000 | OU      | $228.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212CYU9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1432 | PA      | $1437.76      | 0.00%             | 2030-05-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-809.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.15600 03/10/28-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   27580000 | OU      | $519855.42    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                               | CommonSpirit Health                                                              | CUSIP: 20268JAK9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |    4200000 | PA      | $4356807.08   | 0.25%             | 2027-11-01      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                             | Toronto-Dominion Bank/The                                                        | CUSIP: 891160TD5<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    3400000 | PA      | $3416987.01   | 0.19%             | 2026-06-05      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                          | Lloyds Banking Group PLC                                                         | CUSIP: 539439AY5<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    2300000 | PA      | $2333237.71   | 0.13%             | 2027-08-07      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | CH        |          1 | NC      | $2537.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RBSSP Resecuritization Trust                      | RBSSP Resecuritization Trust 2009-5                                              | CUSIP: 74928WCC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     626162 | PA      | $200998.81    | 0.01%             | 2036-12-26      | Variable      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407EAE3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1207 | PA      | $1233.55      | 0.00%             | 2035-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PHH Alternative Mortgage Trust                    | PHH Alternative Mortgage Trust Series 2007-1                                     | CUSIP: 69337BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4909177 | PA      | $3625779.94   | 0.21%             | 2037-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36208YY52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       4540 | PA      | $4589.74      | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $61164.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31348SWZ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        616 | PA      | $616.00       | 0.00%             | 2028-01-01      | Floating      | 6.26%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND OPTION  NOV25P 127.5 EXP 10/24/2025                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -60 | NC      | $-13384.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FOX CORP                                          | Fox Corp                                                                         | CUSIP: 35137LAH8<br>LEI: 549300DDU6FDRBIELS05 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2228707.78   | 0.13%             | 2029-01-25      | Fixed         | 4.71%                 | No            |                  2 | On Loan: No      |
| Argent Securities Inc.                            | Argent Securities Inc Asset-Backed Pass-Through Certificates Series 2005-W4      | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1365124 | PA      | $1113428.38   | 0.06%             | 2036-02-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $25946.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405U2C2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     133568 | PA      | $134791.72    | 0.01%             | 2034-12-01      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| Marble Point CLO                                  | Marble Point CLO XXII Ltd                                                        | CUSIP: 56606GAJ3<br>LEI: 549300MZC31PBFF01E87 | Long             | ABS-CBDO         | CORP              | KY        |    5500000 | PA      | $5507306.31   | 0.31%             | 2034-07-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWV4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      21620 | PA      | $22064.56     | 0.00%             | 2032-12-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31358SNY3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         94 | PA      | $93.38        | 0.00%             | 2030-10-18      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $68045.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407EZ71<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      54636 | PA      | $55230.68     | 0.00%             | 2035-04-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust MLMI Series 2005-A5                       | CUSIP: 59020UYU3<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-MBS          | CORP              | US        |       9011 | PA      | $8705.72      | 0.00%             | 2035-06-25      | Variable      | 4.68%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BOBL FUTURE DEC25                                                           | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |          4 | NC      | $148.21       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| GLP CAPITAL LP / FIN II                           | GLP Capital LP / GLP Financing II Inc                                            | CUSIP: 361841AP4<br>LEI: N/A                  | Long             | DBT              |  | US        |    1800000 | PA      | $1744712.10   | 0.10%             | 2030-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140N0XN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     911427 | PA      | $888740.63    | 0.05%             | 2052-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K3B9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        207 | PA      | $207.16       | 0.00%             | 2026-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TR        |          1 | NC      | $9384.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ONTARIO (PROVINCE OF)                             | Province of Ontario Canada                                                       | CUSIP: 68333ZBG1<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    2900000 | PA      | $2112580.30   | 0.12%             | 2034-12-02      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JPJZ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      14899 | PA      | $14619.09     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAA Home Equity Trust                            | GSAA Home Equity Trust 2006-14                                                   | CUSIP: 36298YAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8042188 | PA      | $1777443.36   | 0.10%             | 2036-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | CN        |          1 | NC      | $-335.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X6WA5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3267083 | PA      | $3214306.70   | 0.18%             | 2035-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR13 Trust                   | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11743 | PA      | $11625.98     | 0.00%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| GreenPoint Mortgage Funding Trust                 | GreenPoint Mortgage Funding Trust 2005-AR5                                       | CUSIP: 39538WEA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16720 | PA      | $15899.96     | 0.00%             | 2045-11-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Carlyle Global Market Strategies                  | Carlyle Global Market Strategies CLO 2016-3 Ltd                                  | CUSIP: 14311UBA5<br>LEI: 5493000C19IMTVUCMB96 | Long             | ABS-CBDO         | CORP              | KY        |    6000000 | PA      | $6003320.94   | 0.34%             | 2034-07-20      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| CI FINANCIAL CORP                                 | CI Financial Corp                                                                | CUSIP: 125491AT7<br>LEI: 549300M9W7JJQSVCEM78 | Long             | DBT              | CORP              | CA        |    2400000 | PA      | $2558788.39   | 0.15%             | 2029-05-30      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31406EW91<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15651 | PA      | $16304.98     | 0.00%             | 2035-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                              | CUSIP: 025816DT3<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4636435.13   | 0.26%             | 2027-04-23      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13584000 | PA      | $10883349.47  | 0.62%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36210B3T0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15751 | PA      | $16023.11     | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US LONG BOND(CBT) DEC25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |        -18 | NC      | $-46712.34    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412PCD1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6125 | PA      | $6102.63      | 0.00%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EG2G8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     306777 | PA      | $318171.39    | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Stepstone Group MidCo 2 GmbH/The                  | Stepstone Group MidCo 2 GmbH/TheUSD Term Loan B                                  | CUSIP: 000000000<br>LEI: 894500DB5T5ENCFFQU61 | Long             | LON              | CORP              | DE        |     498750 | PA      | $476306.25    | 0.03%             | 2031-12-19      | Floating      | 8.61%                 | No            |                  3 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418CW26<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      24076 | PA      | $23766.99     | 0.00%             | 2033-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FBR Securitization Trust                          | FBR Securitization Trust 2005-2                                                  | CUSIP: 30246QAJ2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   18336626 | PA      | $18031548.67  | 1.02%             | 2035-09-25      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31385HJD5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11628 | PA      | $11528.38     | 0.00%             | 2034-09-01      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $14663.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PEM4<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4100000 | PA      | $4128161.18   | 0.23%             | 2028-07-22      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5KA7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        627 | PA      | $653.54       | 0.00%             | 2037-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410G2H5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     389431 | PA      | $403997.35    | 0.02%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AATL5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        349 | PA      | $348.01       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| AREIT CRE Trust                                   | AREIT 2022-CRE7 LLC                                                              | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    4203377 | PA      | $4214948.95   | 0.24%             | 2039-06-17      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XFF75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10635 | PA      | $10808.39     | 0.00%             | 2043-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS AG STAMFORD CT                                | UBS AG/Stamford CT                                                               | CUSIP: 22550L2M2<br>LEI: 254900R882POXXVAK772 | Long             | DBT              | CORP              | CH        |    2000000 | PA      | $2153705.82   | 0.12%             | 2028-02-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211KPY4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      10789 | PA      | $10884.38     | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ABZ9<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $7026333.91   | 0.40%             | 2026-09-17      | Fixed         | 1.65%                 | No            |                  2 | On Loan: —       |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ACG0<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3432342.02   | 0.20%             | 2026-06-26      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                          | Venture Global Calcasieu Pass LLC                                                | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     900000 | PA      | $863262.48    | 0.05%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317UAFCA3 PIMCO SWAPTION 3.675 PUT USD 2025101                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -3300000 | NC      | $-12969.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7U87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2337 | PA      | $2424.89      | 0.00%             | 2039-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED CAD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | CA        |          1 | NC      | $35835.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                 | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     600000 | PA      | $607216.27    | 0.03%             | 2028-07-25      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| IRB INFRASTRUCTURE DEVELOPERS                     | IRB INFRASTRUCTURE DEVELOPERS                                                    | CUSIP: 000000000<br>LEI: 335800XGO3AITGW6AK27 | Long             | DBT              | CORP              | IN        |    2500000 | PA      | $2598632.00   | 0.15%             | 2032-03-11      | Fixed         | 7.11%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.89548 12/23/24-30Y* LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8469000 | OU      | $61843.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H0426B0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15300000 | PA      | $14831319.54  | 0.84%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415P3Z9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2820 | PA      | $2887.20      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-32797.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SH2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13100000 | PA      | $9559929.62   | 0.54%             | 2049-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Benefit Street Partners CLO Ltd                   | Benefit Street Partners Clo XXII Ltd                                             | CUSIP: 08186UAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5100000 | PA      | $5117880.65   | 0.29%             | 2035-04-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5F54<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7364 | PA      | $7702.23      | 0.00%             | 2037-10-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1147.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-3859.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3129354W6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      33322 | PA      | $34478.73     | 0.00%             | 2039-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FUKQ6<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1410966 | PA      | $1391840.23   | 0.08%             | 2040-10-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $6006.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409G4R4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8012 | PA      | $8259.50      | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RAAC Series                                       | RAAC Series 2007-SP2 Trust                                                       | CUSIP: 74919XAF9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1137183 | PA      | $1111248.07   | 0.06%             | 2047-06-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| AES CORP/THE                                      | AES Corp/The                                                                     | CUSIP: 00130HCH6<br>LEI: 2NUNNB7D43COUIRE5295 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4097818.44   | 0.23%             | 2028-06-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Rio Oil Finance Trust                             | Rio Oil Finance Trust Series 2014-3                                              | CUSIP: 76716XAB8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1265978 | PA      | $1312708.11   | 0.07%             | 2027-01-06      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $20856.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418EW55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     317971 | PA      | $329084.63    | 0.02%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DQRQ1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3801429 | PA      | $3831941.08   | 0.22%             | 2053-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7682024 | PA      | $5734143.18   | 0.33%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | KR        |          1 | NC      | $5941.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-128866.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132D53V2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      51951 | PA      | $50715.34     | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RD2<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14970 | PA      | $15389.53     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EPPG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46227 | PA      | $46593.93     | 0.00%             | 2030-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TH        |          1 | NC      | $-36.17       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                              | Bayer US Finance LLC                                                             | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    7700000 | PA      | $8231888.20   | 0.47%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $1029.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-6254.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RTZ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5373 | PA      | $5423.89      | 0.00%             | 2035-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412ER24<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      31257 | PA      | $32340.03     | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-4927.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Essex Portfolio LP                                | Essex Portfolio LP                                                               | CUSIP: 29717PAQ0<br>LEI: 5493003GN3O58H286O74 | Long             | DBT              |  | US        |     500000 | PA      | $497504.95    | 0.03%             | 2026-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-663.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BX Trust                                          | BX Commercial Mortgage Trust 2021-XL2                                            | CUSIP: 05609KAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1562152 | PA      | $1561833.60   | 0.09%             | 2038-10-15      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD TRY                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-447.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.25000 06/18/25-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11900000 | OU      | $1425710.44   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2006-AR6                                           | CUSIP: 17309RAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     288982 | PA      | $261770.60    | 0.01%             | 2036-08-25      | Variable      | 4.58%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K4L6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1854 | PA      | $1860.29      | 0.00%             | 2026-07-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | CN        |          1 | NC      | $-86.25       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LSEG US FIN CORP                                  | Lseg US Fin Corp                                                                 | CUSIP: 50222CAA8<br>LEI: 2138007FV67QQ13CGJ43 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3638375.96   | 0.21%             | 2027-03-28      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| PEAC Solutions Receivables LLC                    | PEAC Solutions Receivables 2025-1 LLC                                            | CUSIP: 69392HAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2400000 | PA      | $2419273.44   | 0.14%             | 2028-10-20      | Fixed         | 4.94%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3620C0WS3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      16220 | PA      | $16572.14     | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.55100 09/17/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1200000 | OU      | $10270.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                 | CUSIP: 95000U2S1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    2200000 | PA      | $2139052.63   | 0.12%             | 2028-06-02      | Fixed         | 2.39%                 | No            |                  2 | On Loan: No      |
| CVS Pass-Through Trust                            | CVS Pass-Through Trust                                                           | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      99282 | PA      | $103763.87    | 0.01%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | GB        |          1 | NC      | $135646.03    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412XES9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        624 | PA      | $655.73       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36179XHW9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   18046477 | PA      | $16519529.74  | 0.94%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $6307.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIONEER NATURAL RESOURCE                          | Pioneer Natural Resources Co                                                     | CUSIP: 723787AV9<br>LEI: FY8JBF7CCL2VE4F1B628 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2311641.75   | 0.13%             | 2026-03-29      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| Venture CDO Ltd                                   | Venture XXIX CLO Ltd                                                             | CUSIP: 92331EAF3<br>LEI: 549300ITFR7G25007V93 | Long             | ABS-CBDO         | CORP              | KY        |      34440 | PA      | $34491.37     | 0.00%             | 2030-09-07      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   28340000 | PA      | $8659921.15   | 0.49%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $1101.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RTE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        369 | PA      | $370.11       | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $5690.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404GV40<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2666 | PA      | $2745.34      | 0.00%             | 2034-01-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| Chase Mortgage Finance Corporation                | Chase Home Lending Mortgage Trust 2023-RPL3                                      | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3608698 | PA      | $3274991.21   | 0.19%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                    | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $102932.11    | 0.01%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $-6053.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                      | CUSIP: 68389XCE3<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $2663548.59   | 0.15%             | 2031-03-25      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-4536.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | JP        |          1 | NC      | $62230.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296QRY7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3054 | PA      | $3133.38      | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 31750R5B9 PIMCO FXVAN PUT EUR USD 1.10000000                                     | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |     418000 | OU      | $8585.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | NO        |          1 | NC      | $2.38         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413ALS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9390 | PA      | $9678.28      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Extended Stay America Trust                       | Extended Stay America Trust 2021-ESH                                             | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5902932 | PA      | $5907521.73   | 0.34%             | 2038-07-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| BENCHMARK Mortgage Trust                          | Benchmark 2022-B33 Mortgage Trust                                                | CUSIP: 08163PBG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6500000 | PA      | $6024411.90   | 0.34%             | 2055-03-15      | Fixed         | 3.46%                 | No            |                  2 | On Loan: No      |
| IMC Home Equity Loan Trust                        | Imc Home Equity Loan Trust 1998-3                                                | CUSIP: 449670EQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        206 | PA      | $204.94       | 0.00%             | 2029-08-20      | Variable      | 5.43%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2011-RR4-I Trust                                                        | CUSIP: 05533XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     928423 | PA      | $352825.01    | 0.02%             | 2036-02-26      | Variable      | 5.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407UMR5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     420116 | PA      | $437777.43    | 0.02%             | 2034-11-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.76473 12/17/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2300000 | OU      | $68990.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-11732.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                            | Morgan Stanley Bank NA                                                           | CUSIP: 61690U8B9<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    4600000 | PA      | $4702816.53   | 0.27%             | 2028-05-26      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $397.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                             | Athene Global Funding                                                            | CUSIP: 04685A3T6<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4074565.28   | 0.23%             | 2027-03-25      | Fixed         | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405JRD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9591 | PA      | $9921.36      | 0.00%             | 2034-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | 31750R9M1 PIMCO FXVAN PUT EUR USD 1.12200000                                     | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | LU        |     182000 | OU      | $348.72       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500000 | PA      | $496464.85    | 0.03%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617L7K73<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     538932 | PA      | $511819.52    | 0.03%             | 2049-09-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | TH        |          1 | NC      | $23.80        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital I Trust                    | Morgan Stanley Capital I Trust 2020-CNP                                          | CUSIP: 61770YAA3<br>LEI: 3IFG42XD94UUZ7FL2766 | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4331420.66   | 0.25%             | 2042-04-05      | Variable      | 2.51%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-77974.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MMK5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27788 | PA      | $29298.06     | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Arbor Multifamily Mortgage Securities Trust       | Arbor Multifamily Mortgage Securities Trust 2020-MF1                             | CUSIP: 03881BAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4900000 | PA      | $4581361.33   | 0.26%             | 2053-05-15      | Fixed         | 2.76%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $2202.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413FLF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     163496 | PA      | $171863.83    | 0.01%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 3.00000 03/18/26-30Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | GB        |   22070000 | OU      | $-417402.51   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $9477.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3474100 | PA      | $1929287.97   | 0.11%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $18756.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A5JQ9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4813496 | PA      | $4468903.24   | 0.25%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412YBH4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7881 | PA      | $8309.10      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.93000 03/24/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2700000 | OU      | $-65136.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.4 07/10/25-01/02/29 CME                                               | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   45800000 | OU      | $24007.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36213DCU0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        308 | PA      | $308.76       | 0.00%             | 2031-10-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.61000 03/24/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     700000 | OU      | $-3143.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416VD68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        370 | PA      | $375.42       | 0.00%             | 2033-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                          | MassMutual Global Funding II                                                     | CUSIP: 57629TBQ9<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3017818.23   | 0.17%             | 2026-07-10      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SX7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11000000 | PA      | $7079531.25   | 0.40%             | 2051-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137HHBP5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2551949 | PA      | $2552777.82   | 0.15%             | 2054-05-25      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| Magnetite CLO Ltd                                 | Magnetite XXV Ltd                                                                | CUSIP: 55955GAA1<br>LEI: 549300WFCL37N4TDUR08 | Long             | ABS-CBDO         | CORP              | KY        |    1824621 | PA      | $1828545.77   | 0.10%             | 2032-01-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UGZ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        506 | PA      | $508.09       | 0.00%             | 2031-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-824.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MTJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2882 | PA      | $2875.85      | 0.00%             | 2026-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Metlife Securitization Trust                      | METLIFE SECURITIZATION TRUST 2018-1                                              | CUSIP: 59166DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3398616 | PA      | $3320826.56   | 0.19%             | 2057-03-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.75000 09/17/25-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   37600000 | OU      | $-624284.08   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132AECH7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      23285 | PA      | $22954.41     | 0.00%             | 2034-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.7500 12/20/23-10Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |    1500000 | OU      | $-78595.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                | Credit Agricole SA                                                               | CUSIP: 22535WAL1<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    5100000 | PA      | $5133579.78   | 0.29%             | 2028-09-11      | Fixed         | 4.63%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                     | CUSIP: 15135BAZ4<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     800000 | PA      | $687764.12    | 0.04%             | 2031-08-01      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412SYY5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2103 | PA      | $2210.34      | 0.00%             | 2038-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR Asset Backed Securities Trust               | Mastr Asset Backed Securities Trust 2006-WMC2                                    | CUSIP: 57644TAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6815117 | PA      | $1385149.37   | 0.08%             | 2036-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $10650.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XJNP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1923069 | PA      | $1841528.09   | 0.10%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-277703.78   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-616.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $-4864.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.50000 03/18/26-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    8660000 | OU      | $26204.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | Goldman Sachs Bank USA/New York NY                                               | CUSIP: 38151LAH3<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    3300000 | PA      | $3311999.33   | 0.19%             | 2027-05-21      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-6085.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BMW US CAPITAL LLC                                | BMW US Capital LLC                                                               | CUSIP: 05565ECW3<br>LEI: KK5MZM9DIXLXZL9DZL15 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3552119.03   | 0.20%             | 2028-03-21      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| ALLY FINANCIAL INC                                | Ally Financial Inc                                                               | CUSIP: 02005NBU3<br>LEI: 549300JBN1OSM8YNAI90 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $4021289.20   | 0.23%             | 2030-01-03      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YSS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6734 | PA      | $6756.18      | 0.00%             | 2030-02-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416CLT1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      51065 | PA      | $53839.91     | 0.00%             | 2039-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | KR        |          1 | NC      | $-3585.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Pagaya AI Debt Selection Trust                    | Pagaya AI Debt Trust 2024-3                                                      | CUSIP: 69547XAA0<br>LEI: 254900ULYEY0HX0PKA54 | Long             | ABS-O            | CORP              | US        |    1453352 | PA      | $1462172.12   | 0.08%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.9271 05/08/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   58300000 | OU      | $-51781.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | 317UADVA7 PIMCO SWAPTION 3.685 PUT USD 2025101                                   | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DIR              |  | US        |   -3300000 | NC      | $-11015.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IL        |          1 | NC      | $3482.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ELUG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        102 | PA      | $102.04       | 0.00%             | 2026-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-391.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $20053.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWJL8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    4644221 | PA      | $4699281.92   | 0.27%             | 2053-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $-11752.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of South Africa                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |  205900000 | PA      | $11712248.57  | 0.67%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CV86<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6985 | PA      | $7047.25      | 0.00%             | 2032-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR5                          | CUSIP: 86359LPE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11399 | PA      | $11346.23     | 0.00%             | 2035-07-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    8200000 | PA      | $376734.01    | 0.02%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.5000 03/28/24-8Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | CA        |   28300000 | OU      | $-1061659.75  | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| ASX Clear (Futures)                               | AUST 10Y BOND FUT DEC25                                                          | CUSIP: 000000000<br>LEI: 549300ZD7BBOVZFVHK49 | N/A              | DIR              |  | AU        |         76 | NC      | $-16979.11    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31413RJ49<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      59834 | PA      | $63484.32     | 0.00%             | 2037-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | MX        |          1 | NC      | $40213.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROPEAN UNION                                    | European Union                                                                   | CUSIP: 000000000<br>LEI: 529900FZRK8FGMPEOM08 | Long             | DBT              | NUSS              | XX        |    8000000 | PA      | $9552256.99   | 0.54%             | 2029-10-05      | Fixed         | 2.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A8SR8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        890 | PA      | $886.99       | 0.00%             | 2026-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   98540000 | PA      | $97671704.94  | 5.55%             | 2055-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD SEK                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-9402.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133BLAU1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     836732 | PA      | $815806.54    | 0.05%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINL GRP                          | Sumitomo Mitsui Financial Group Inc                                              | CUSIP: 86562MDL1<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    4000000 | PA      | $4045656.88   | 0.23%             | 2029-07-09      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | PL        |          1 | NC      | $2184.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-4620.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                          | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668BW1<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    6200000 | PA      | $6396715.58   | 0.36%             | 2028-09-12      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| DANSKE BANK A/S                                   | Danske Bank A/S                                                                  | CUSIP: 23636ABG5<br>LEI: MAES062Z21O4RZ2U7M96 | Long             | DBT              | CORP              | DK        |    4500000 | PA      | $4578170.18   | 0.26%             | 2028-03-01      | Fixed         | 5.43%                 | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-5 Trust   | CUSIP: 93934NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     993745 | PA      | $806444.68    | 0.05%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $1309.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-5365.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-60434.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $-32.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.00000 01/08/25-9Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1600000 | OU      | $-18489.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.64159 04/07/25-30Y* LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1500000 | OU      | $76917.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND OPTION  NOV25C 129.5 EXP 10/24/2025                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -17 | NC      | $-4790.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RGB6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1057184 | PA      | $1056962.94   | 0.06%             | 2065-08-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Australia Government Bonds                        | Australia Government Bonds                                                       | CUSIP: 000000000<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |    6900000 | PA      | $4009715.08   | 0.23%             | 2035-06-21      | Fixed         | 2.75%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $2088.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38375UZZ6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2236486 | PA      | $2267540.87   | 0.13%             | 2067-04-20      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | 317UABDA1 PIMCO SWAPTION 3.506 CALL USD 202510                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -3400000 | NC      | $-1055.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS CO                               | American Express Co                                                              | CUSIP: 025816DP1<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4358217.61   | 0.25%             | 2028-02-16      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |          1 | NC      | $9034.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411VQT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      16756 | PA      | $17189.17     | 0.00%             | 2037-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                               | Nomura Holdings Inc                                                              | CUSIP: 65535HBH1<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |    1700000 | PA      | $1758242.80   | 0.10%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   40825000 | PA      | $39604014.88  | 2.25%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Impac CMB Trust                                   | Impac CMB Trust Series 2005-4                                                    | CUSIP: 45254NPA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14914 | PA      | $14445.71     | 0.00%             | 2035-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2023-NQM1                                    | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2731387 | PA      | $2771817.81   | 0.16%             | 2063-10-25      | Variable      | 6.86%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | Reperforming Loan REMIC Trust 2005-R2                                            | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     475242 | PA      | $459678.17    | 0.03%             | 2035-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                | JP Morgan Alternative Loan Trust Series 2008-R4                                  | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     838596 | PA      | $406144.04    | 0.02%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.46000 03/13/25-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     900000 | OU      | $-17225.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley Capital I Inc Trust 2006-HE2                                      | CUSIP: 617451EU9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1249086 | PA      | $1051725.38   | 0.06%             | 2036-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | IN        |          1 | NC      | $-310.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 09/17/25-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10700000 | OU      | $810338.82    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $17553.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $43010.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $34806.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XS4W4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     125875 | PA      | $122846.54    | 0.01%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| J.P. Morgan Alternative Loan Trust                | JP Morgan Alternative Loan Trust                                                 | CUSIP: 46628GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1393281 | PA      | $1164064.45   | 0.07%             | 2036-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ID        |          1 | NC      | $-5939.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410QN80<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      29966 | PA      | $31497.98     | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31419DHF1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6573 | PA      | $6727.11      | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ACT2<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2628769.65   | 0.15%             | 2027-01-08      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CCY0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        605 | PA      | $608.26       | 0.00%             | 2027-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE6                                  | CUSIP: 61755CAA0<br>LEI: 5493005XH7EPFP4PGZ13 | Long             | ABS-MBS          | CORP              | US        |     117536 | PA      | $106979.37    | 0.01%             | 2037-05-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H0406A6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3300000 | PA      | $3103357.69   | 0.18%             | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                              | Jyske Realkredit A/S                                                             | CUSIP: 000000000<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.16         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | PL        |          1 | NC      | $-4316.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Regency Centers LP                                | Regency Centers LP                                                               | CUSIP: 75884RAX1<br>LEI: 5493008PTR2GAOYBXW28 | Long             | DBT              |  | US        |    3500000 | PA      | $3500856.98   | 0.20%             | 2028-03-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| GS Mortgage-Backed Securities Trust               | GS Mortgage-Backed Securities Corp Trust 2022-PJ2                                | CUSIP: 36267EAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5338871 | PA      | $4442089.62   | 0.25%             | 2052-06-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PDW3<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4386273.27   | 0.25%             | 2027-10-22      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| CBL & Associates Properties Inc                   | CBL & Associates Properties Inc                                                  | CUSIP: 124830878<br>LEI: 529900EIVFBRS4PUBZ13 | Long             | EC               |  | US        |       9021 | NS      | $275862.18    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD AUD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-110969.24   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | SOFTBANK GROUP CORP SNR JP SP GST                                                | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | GB        |    1000000 | OU      | $912.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $513.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | TH        |          1 | NC      | $-50.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEXTERA ENERGY CAPITAL                            | NextEra Energy Capital Holdings Inc                                              | CUSIP: 65339KDR8<br>LEI: UMI46YPGBLUE4VGNNT48 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $2555877.70   | 0.15%             | 2030-06-12      | Fixed         | 3.83%                 | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2019-FL12                   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2839190 | PA      | $2829168.93   | 0.16%             | 2031-12-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212EBL0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1438 | PA      | $1455.61      | 0.00%             | 2030-05-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Beignet                                           | Beignet                                                                          | CUSIP: 000000000<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   20300000 | PA      | $20300000.00  | 1.15%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| RTX CORP                                          | RTX Corp                                                                         | CUSIP: 75513ECT6<br>LEI: I07WOS4YJ0N7YRFE7309 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3152224.77   | 0.18%             | 2026-11-08      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Bluemountain CLO Ltd                              | BlueMountain CLO 2016-3 Ltd                                                      | CUSIP: 09628VAW4<br>LEI: 549300EYIDIF4X8MHI21 | Long             | ABS-CBDO         | CORP              | KY        |     391327 | PA      | $391646.66    | 0.02%             | 2030-11-15      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $1253.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CBQ8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1053 | PA      | $1051.37      | 0.00%             | 2027-02-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $18443.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CN85<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1713 | PA      | $1711.81      | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $27579.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                          | MassMutual Global Funding II                                                     | CUSIP: 57629WDL1<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    4000000 | PA      | $4083884.52   | 0.23%             | 2027-12-07      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BJB5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         94 | PA      | $96.92        | 0.00%             | 2030-04-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED NZD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | NZ        |          1 | NC      | $2003.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                             | Wells Fargo & Co                                                                 | CUSIP: 95000U3E1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    4700000 | PA      | $4871890.94   | 0.28%             | 2029-07-25      | Fixed         | 5.57%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.25000 06/18/25-5Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   21300000 | OU      | $118502.55    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QSMW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2278826 | PA      | $2278305.12   | 0.13%             | 2053-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUT+5.89/0.8000 10/22/18-20Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |  189800000 | OU      | $146378.49    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Asset Backed Funding Certificates                 | ABFC 2005-OPT1 Trust                                                             | CUSIP: 04542BQB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3066708 | PA      | $2913661.34   | 0.17%             | 2035-07-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3135636 | PA      | $2420368.58   | 0.14%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWL43<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5482744 | PA      | $5609393.10   | 0.32%             | 2054-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $4267.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IQVIA INC                                         | IQVIA Inc                                                                        | CUSIP: 46266TAF5<br>LEI: 549300PLWY28YB00C717 | Long             | DBT              | CORP              | US        |    2900000 | PA      | $3055266.00   | 0.17%             | 2029-02-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR19 Trust                   | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11569 | PA      | $11737.69     | 0.00%             | 2045-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-3164.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2000000 | PA      | $1504218.76   | 0.09%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376REZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     948004 | PA      | $948129.60    | 0.05%             | 2065-07-20      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212J5X0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7969 | PA      | $7995.21      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX IG43 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |     100000 | OU      | $2283.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |          1 | NC      | $134739.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD PEN                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-14950.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410RJM2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        976 | PA      | $1009.40      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416B6T0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     128588 | PA      | $134132.47    | 0.01%             | 2036-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 31339D4L9<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       2119 | PA      | $2113.26      | 0.00%             | 2029-12-15      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317UAM2A9 PIMCO SWAPTION 3.55 CALL USD 2025102                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |    -600000 | NC      | $-2093.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $15800.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NQEE4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     391602 | PA      | $396909.00    | 0.02%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A95X8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7471 | PA      | $7443.99      | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2021-4 Ltd                                               | CUSIP: 05685AAQ1<br>LEI: 254900YJBP8866ZPO033 | Long             | ABS-CBDO         | CORP              | KY        |    5900000 | PA      | $5909925.28   | 0.34%             | 2034-10-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-195957.11   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QVH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27988 | PA      | $29121.87     | 0.00%             | 2034-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Marathon CLO LTD                                  | Marathon CLO XIII Ltd                                                            | CUSIP: 56579ABJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3239297 | PA      | $3245128.10   | 0.18%             | 2032-04-15      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407UEZ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        990 | PA      | $1022.02      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NDS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        615 | PA      | $616.03       | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $27631.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211PF81<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2531 | PA      | $2546.96      | 0.00%             | 2029-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| KBC GROUP NV                                      | KBC Group NV                                                                     | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |    2600000 | PA      | $2686598.90   | 0.15%             | 2029-01-19      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NFCX8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     701326 | PA      | $700021.67    | 0.04%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FS KKR CAPITAL CORP                               | FS KKR Capital Corp                                                              | CUSIP: 302635AN7<br>LEI: 549300TYRSI1T21B1360 | Long             | DBT              | CORP              | US        |    3800000 | PA      | $3893793.88   | 0.22%             | 2029-08-15      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| Carval CLO LTD                                    | CarVal CLO I Ltd                                                                 | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3606333 | PA      | $3610181.82   | 0.21%             | 2031-07-16      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 3136A9YS1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     731645 | PA      | $727083.08    | 0.04%             | 2042-11-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20798000 | PA      | $13279847.86  | 0.75%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED GBP / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | GB        |          1 | NC      | $-21718.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Alt-A Trust                          | Bear Stearns ALT-A Trust 2005-10                                                 | CUSIP: 07386HZJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     528050 | PA      | $503713.72    | 0.03%             | 2036-01-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| Allegro CLO Ltd                                   | Allegro CLO XI Ltd                                                               | CUSIP: 01750HAQ5<br>LEI: 2549008FHFGEJOVBP855 | Long             | ABS-CBDO         | CORP              | KY        |    3566245 | PA      | $3571161.65   | 0.20%             | 2033-01-19      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | ID        |          1 | NC      | $3658.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LFT CRE LLC                                       | LFT CRE 2021-FL1 Ltd                                                             | CUSIP: 50203JAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2122977 | PA      | $2127951.13   | 0.12%             | 2039-06-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | IN        |          1 | NC      | $-9087.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36213UDP2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      14582 | PA      | $14649.31     | 0.00%             | 2031-11-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.2914 05/08/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   31600000 | OU      | $-9671.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DWER0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |   22590801 | PA      | $21380662.90  | 1.22%             | 2052-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $9910.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $3702.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Forty Year Bonds                 | Japan Government Forty Year Bonds                                                | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  332000000 | PA      | $1723447.44   | 0.10%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $1488.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404JSD8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      87581 | PA      | $88617.09     | 0.01%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Republic of Poland Government International Bonds | Republic of Poland Government International Bonds                                | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |    2300000 | PA      | $2356541.29   | 0.13%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.00000 01/13/25-8Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1900000 | OU      | $-26443.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7ZR0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14425 | PA      | $14964.13     | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $11378.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2007-AMC1                                          | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1643519 | PA      | $926046.67    | 0.05%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2004-HYB1                                        | CUSIP: 12669FNP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     237572 | PA      | $228534.24    | 0.01%             | 2034-05-20      | Variable      | 5.19%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417VX57<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      39783 | PA      | $40508.66     | 0.00%             | 2040-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408B5A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4561 | PA      | $4588.02      | 0.00%             | 2036-01-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $97268.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207KF96<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        184 | PA      | $185.87       | 0.00%             | 2030-03-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 14.0087 05/12/25-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3900000 | OU      | $-2016.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR Alternative Loans Trust                     | MASTR Alternative Loan Trust 2006-2                                              | CUSIP: 5764342H6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     688081 | PA      | $62120.18     | 0.00%             | 2036-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.7525* 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6400000 | OU      | $-92956.80    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36176ARS0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      36452 | PA      | $37243.10     | 0.00%             | 2041-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $2527.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CFQ4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        427 | PA      | $426.58       | 0.00%             | 2028-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1100000 | OU      | $-12711.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.7317* 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    3000000 | OU      | $-47506.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402E2N7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        618 | PA      | $627.48       | 0.00%             | 2033-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409T6M5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4864 | PA      | $5026.21      | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Greensky Home Improvement Issuer Trust            | GreenSky Home Improvement Issuer Trust 2025-1                                    | CUSIP: 39571NAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2287842 | PA      | $2296187.34   | 0.13%             | 2060-03-25      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA                          | Cooperatieve Rabobank UA                                                         | CUSIP: 74977RDR2<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    6700000 | PA      | $6758645.50   | 0.38%             | 2028-08-22      | Fixed         | 4.66%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317UAALA4 PIMCO SWAPTION 3.575 CALL USD 202510                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -2400000 | NC      | $-880.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415P3Y2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        758 | PA      | $775.96       | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   75680000 | PA      | $66485914.55  | 3.78%             | 2049-10-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2600000 | PA      | $1240357.09   | 0.07%             | 2041-05-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT CO LLC                          | Ford Motor Credit Co LLC                                                         | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2295859.17   | 0.13%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H0606B2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   17400000 | PA      | $17697395.41  | 1.01%             | 2054-11-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JETBLUE AIRWAYS CORP                              | JetBlue 2020-1 Class A Pass Through Trust                                        | CUSIP: 477164AA5<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    6208696 | PA      | $5852549.35   | 0.33%             | 2032-11-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                      | CUSIP: 000000000<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |     500000 | PA      | $670370.02    | 0.04%             | 2027-09-03      | Fixed         | 4.00%                 | Yes           |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                | Banco Santander SA                                                               | CUSIP: 05964HBA2<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    4600000 | PA      | $4684159.35   | 0.27%             | 2028-03-14      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YJ20<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    3116134 | PA      | $3153307.28   | 0.18%             | 2072-12-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $94.25        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     500000 | PA      | $602275.37    | 0.03%             | 2038-03-19      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36295YXW8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      23184 | PA      | $23584.02     | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410FSJ5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9718 | PA      | $10246.08     | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QYY1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      11584 | PA      | $12030.06     | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31377CRB1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     173999 | PA      | $171566.02    | 0.01%             | 2036-05-01      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317UACKA1 PIMCO SWAPTION 3.398 CALL USD 202510                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -2200000 | NC      | $-80.08       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | PL        |          1 | NC      | $-1516.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   45700000 | PA      | $38409421.88  | 2.18%             | 2042-05-15      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-60.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Dryden Euro CLO                                   | Dryden 52 Euro CLO 2017 DAC                                                      | CUSIP: 000000000<br>LEI: 635400V5VX7XDQVRNU55 | Long             | ABS-CBDO         | CORP              | IE        |    3555250 | PA      | $4168043.95   | 0.24%             | 2034-05-15      | Floating      | 2.90%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IN        |          1 | NC      | $-3819.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Cantor Commercial Real Estate Lending             | Cantor Commercial Real Estate Lending 2019-CF2                                   | CUSIP: 12528YAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6200000 | PA      | $5833132.98   | 0.33%             | 2052-11-15      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-2532.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP PARIBAS                                       | BNP Paribas SA                                                                   | CUSIP: 09659W2M5<br>LEI: R0MUWSFPU8MPRO8K5P83 | Long             | DBT              | CORP              | FR        |    3600000 | PA      | $3433516.52   | 0.20%             | 2028-09-30      | Fixed         | 1.90%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CNH                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $16827.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $5065.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36205MNK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3693 | PA      | $3719.56      | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NV77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3046 | PA      | $3067.24      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412T6Y4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5429 | PA      | $5614.00      | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ID        |          1 | NC      | $85.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-54.00       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | 31750R594 PIMCO FXVAN PUT EUR USD 1.09750000                                     | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |     456000 | OU      | $9137.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TH        |          1 | NC      | $-40.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | ID        |          1 | NC      | $-8.11        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CO                                       | Southern Co/The                                                                  | CUSIP: 842587CV7<br>LEI: 549300FC3G3YU2FBZD92 | Long             | DBT              | CORP              | US        |    5700000 | PA      | $5665236.73   | 0.32%             | 2026-07-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $7347.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-6156.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2025-C                                                 | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1900000 | PA      | $1902712.25   | 0.11%             | 2065-06-22      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD MXN                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-837.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RH77<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      79954 | PA      | $80537.76     | 0.00%             | 2044-10-01      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RGG2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3079 | PA      | $3089.29      | 0.00%             | 2030-01-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408FAF6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       8448 | PA      | $8650.30      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AVIATION CAPITAL GROUP                            | Aviation Capital Group LLC                                                       | CUSIP: 05369AAN1<br>LEI: 549300ODEK8HY3445C77 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1669079.89   | 0.09%             | 2028-04-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| SWIB                                              | SWIB                                                                             | CUSIP: 000000000<br>LEI: VY0GIYI3352UC4XOP168 | Long             | RA               | CORP              | US        |    3931510 | PA      | $3931510.50   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2005-2                                           | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     308285 | PA      | $307120.69    | 0.02%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU                          | Venture Global Calcasieu Pass LLC                                                | CUSIP: 92328MAB9<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |     200000 | PA      | $188904.62    | 0.01%             | 2031-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5900000 | PA      | $5345953.13   | 0.30%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                | Energy Transfer LP                                                               | CUSIP: 29273VAR1<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2139799.64   | 0.12%             | 2026-12-01      | Fixed         | 6.05%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-7814.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $7449.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-135631.93   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202K6G5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        291 | PA      | $291.00       | 0.00%             | 2026-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | IL        |          1 | NC      | $4124.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $10.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $28924.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36206MNE3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1483 | PA      | $1493.12      | 0.00%             | 2029-09-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   39830000 | PA      | $40156730.27  | 2.28%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | ID        |          1 | NC      | $-9246.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | T-MOBILE USA INC SNR S* ICE                                                      | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    2400000 | OU      | $297006.46    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Funding Mtg Sec I                     | RFMSI Series 2005-SA4 Trust                                                      | CUSIP: 76111XYD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     336947 | PA      | $211392.44    | 0.01%             | 2035-09-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   14255000 | PA      | $9330899.77   | 0.53%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 11.5281 06/18/24-01/04/27 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   32900000 | OU      | $-222827.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2006-AR9 Trust | CUSIP: 939346AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     733747 | PA      | $625695.14    | 0.04%             | 2046-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED CHF / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | CH        |          1 | NC      | $-1535.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Petroleos Mexicanos                               | Petroleos Mexicanos                                                              | CUSIP: 71654QDP4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    1900000 | PA      | $2206137.50   | 0.13%             | 2033-02-07      | Fixed         | 10.00%                | No            |                  2 | On Loan: —       |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407ME76<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12365 | PA      | $12661.01     | 0.00%             | 2035-09-01      | Floating      | 7.46%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RHU6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      65850 | PA      | $66244.14     | 0.00%             | 2042-08-01      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUTK/0.4500 12/15/21-30Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |  310000000 | OU      | $-816932.86   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $37442.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411WTX5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3688 | PA      | $3815.33      | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | AT&T INC SNR S* ICE                                                              | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    6000000 | OU      | $93355.53     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD NZD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2011.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296RZS9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        970 | PA      | $988.64       | 0.00%             | 2038-09-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.32 05/08/25-01/02/29 CME                                              | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |    3400000 | OU      | $-400.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.72186 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    2100000 | OU      | $-32290.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 13.0166 08/12/25-01/02/29 CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   63300000 | OU      | $51151.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-8051.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                          | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668CV2<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1704710.79   | 0.10%             | 2027-09-11      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.89900 03/11/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $-30413.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2017-1 Ltd                                                              | CUSIP: 92916MAF8<br>LEI: 54930054YW6PM1FPVU95 | Long             | ABS-CBDO         | CORP              | KY        |     376942 | PA      | $377227.66    | 0.02%             | 2030-04-17      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138XLXJ6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      53683 | PA      | $54133.11     | 0.00%             | 2044-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | ZCS BRL 11.54841 06/13/24-01/04/27 CME                                           | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   90700000 | OU      | $-605358.27   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL RURAL UTIL COOP                          | National Rural Utilities Cooperative Finance Corp                                | CUSIP: 63743HFG2<br>LEI: 4NYF266XZC35SCTGX023 | Long             | DBT              | CORP              | US        |    2600000 | PA      | $2648914.53   | 0.15%             | 2028-03-15      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BMS4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6809 | PA      | $7137.56      | 0.00%             | 2030-09-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RD2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20900000 | PA      | $18512011.77  | 1.05%             | 2043-11-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415TFV7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       7176 | PA      | $7566.18      | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Banc of America Mortgage Securities               | Banc of America Mortgage 2007-2 Trust                                            | CUSIP: 05952FAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1480118 | PA      | $1176791.23   | 0.07%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31376KPN0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        678 | PA      | $692.64       | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $2809.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-5551.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36292FC39<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1010 | PA      | $1029.24      | 0.00%             | 2035-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.65471 04/07/25-30Y* LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     700000 | OU      | $34292.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NJ3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       5800 | PA      | $6044.53      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7JL1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      14700 | PA      | $15274.33     | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412NBF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        398 | PA      | $417.71       | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409WV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3462 | PA      | $3577.44      | 0.00%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $583.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317UAFDA2 PIMCO SWAPTION 3.375 CALL USD 202510                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | KY        |   -3300000 | NC      | $-800.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IL        |          1 | NC      | $572.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 317UAGAA3 PIMCO SWAPTION 2.75 PUT EUR 20251017                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DIR              |  | US        |   -1700000 | NC      | $-3806.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 5YR NOTE (CBT) DEC25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       2084 | NC      | $49465.03     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31384VT44<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |         83 | PA      | $86.11        | 0.00%             | 2030-05-01      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $-7273.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                               | Wells Fargo Bank NA                                                              | CUSIP: 94988J6G7<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4436003.97   | 0.25%             | 2026-12-11      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $2675.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.7165* 03/01/24-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   11490000 | OU      | $-138456.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $21631.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| One New York Plaza Trust 2020-1NYP                | One New York Plaza Trust 2020-1NYP                                               | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3780000 | PA      | $3721259.56   | 0.21%             | 2036-01-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SZ2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   15100000 | PA      | $8850310.53   | 0.50%             | 2051-08-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371NG58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      13023 | PA      | $13039.92     | 0.00%             | 2027-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416VGC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     136441 | PA      | $142060.55    | 0.01%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $25958.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132AEKD7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       3063 | PA      | $3005.25      | 0.00%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404RTU1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        967 | PA      | $968.72       | 0.00%             | 2034-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211UFY3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       3042 | PA      | $3053.79      | 0.00%             | 2030-06-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4600000 | PA      | $230177.17    | 0.01%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F030694<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   73242613 | PA      | $64344225.86  | 3.66%             | 2055-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Structured Asset Securities Corporation           | Structured Asset Securities Corp Trust 2005-5                                    | CUSIP: 863576AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2099925 | PA      | $1058971.18   | 0.06%             | 2035-04-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Trust                         | Towd Point Mortgage Trust 2022-1                                                 | CUSIP: 89170VAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3189599 | PA      | $3065871.01   | 0.17%             | 2062-07-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX IG45 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   34200000 | OU      | $777468.98    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $3662.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                            | Standard Chartered PLC                                                           | CUSIP: 853254BZ2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $3964326.96   | 0.23%             | 2027-01-14      | Fixed         | 1.46%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DPYV4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    3456106 | PA      | $3268368.69   | 0.19%             | 2052-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31412STL9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3810 | PA      | $3951.63      | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416HWP6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36981 | PA      | $37923.12     | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | 317UAEPA2 PIMCO SWAPTION 3.325 CALL USD 202510                                   | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DIR              |  | US        |   -2400000 | NC      | $-320.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| First Franklin Mtg Loan Asset Backed Certificates | First Franklin Mortgage Loan Trust 2006-FF14                                     | CUSIP: 32027LAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |   13900000 | PA      | $11524958.43  | 0.66%             | 2036-10-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | JP        |          1 | NC      | $2684.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209Y6W3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2140 | PA      | $2147.91      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| JPMORGAN CHASE & CO                               | JPMorgan Chase & Co                                                              | CUSIP: 46647PDG8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    4800000 | PA      | $4864530.48   | 0.28%             | 2028-07-25      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| EOG RESOURCES INC                                 | EOG Resources Inc                                                                | CUSIP: 26875PAX9<br>LEI: XWTZDRYZPBUHIQBKDB46 | Long             | DBT              | CORP              | US        |    2500000 | PA      | $2523745.98   | 0.14%             | 2028-07-15      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CWZ5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15530 | PA      | $15783.40     | 0.00%             | 2033-01-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 1.00000 05/18/22-5Y LCH                                                  | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | XX        |   29000000 | OU      | $-618080.74   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| Republic of South Africa                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   55000000 | PA      | $2934719.94   | 0.17%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MV58<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       4087 | PA      | $4226.48      | 0.00%             | 2035-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-2519.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UBN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2048 | PA      | $2054.59      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5KG4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        951 | PA      | $989.94       | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PUBLIC SERVICE ENTERPRIS                          | Public Service Enterprise Group Inc                                              | CUSIP: 744573AY2<br>LEI: PUSS41EMO3E6XXNV3U28 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3716571.92   | 0.21%             | 2029-04-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10800000 | PA      | $11162231.35  | 0.63%             | 2054-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY BANK NA                            | Morgan Stanley Bank NA                                                           | CUSIP: 61690U7Z7<br>LEI: G1MLHIS0N32I3QPILB75 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4423523.19   | 0.25%             | 2028-01-14      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617JWBC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1152887 | PA      | $1179223.37   | 0.07%             | 2049-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Dryden Senior Loan Fund                           | Dryden 54 Senior Loan Fund                                                       | CUSIP: 26244RAF8<br>LEI: 54930064P37IJ78XTR63 | Long             | ABS-CBDO         | CORP              | KY        |    1647229 | PA      | $1648053.88   | 0.09%             | 2029-10-19      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| CNO GLOBAL FUNDING                                | CNO Global Funding                                                               | CUSIP: 18977W2H2<br>LEI: 6354008GTNR4833ULD48 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2702783.73   | 0.15%             | 2028-09-08      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CXK7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15759 | PA      | $15842.46     | 0.00%             | 2033-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31394FU78<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        907 | PA      | $78.31        | 0.00%             | 2035-10-25      | Floating      | 2.23%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $417.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416BMS4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      74766 | PA      | $78831.86     | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405U6A2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1255 | PA      | $1269.52      | 0.00%             | 2034-12-01      | Floating      | 6.02%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    1750000 | PA      | $88255.29     | 0.01%             | 2044-01-31      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | CN        |          1 | NC      | $-92.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE                           | Nissan Motor Acceptance Co LLC                                                   | CUSIP: 654740BT5<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    5900000 | PA      | $5540403.26   | 0.31%             | 2028-03-09      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| Option One Mortgage Loan Trust                    | Option One Mortgage Loan Trust 2006-3                                            | CUSIP: 68389BAP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10577708 | PA      | $5201432.49   | 0.30%             | 2037-02-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5R93<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      45607 | PA      | $47368.42     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO BANK NA                               | Wells Fargo Bank NA                                                              | CUSIP: 94988J6D4<br>LEI: KB1H1DSPRFMYMCUFXT09 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2730190.10   | 0.16%             | 2026-08-07      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| Countrywide Alternative Loan Trust                | Alternative Loan Trust 2005-J3                                                   | CUSIP: 12667GDJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     534722 | PA      | $31807.45     | 0.00%             | 2035-05-25      | Floating      | 0.73%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | OIS CAD CAONREPO/2.74040 03/10/25-9Y* LC                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1300000 | OU      | $3694.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| T-MOBILE USA INC                                  | T-Mobile USA Inc                                                                 | CUSIP: 87264ABV6<br>LEI: 549300V2JRLO5DIFGE82 | Long             | DBT              | CORP              | US        |    7200000 | PA      | $6992178.05   | 0.40%             | 2029-04-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KNH3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     363466 | PA      | $377654.31    | 0.02%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QQKN4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     877896 | PA      | $855861.77    | 0.05%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128LAP87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      48975 | PA      | $50674.67     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407BY29<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      70478 | PA      | $70962.25     | 0.00%             | 2035-07-01      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31391KGG6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3408 | PA      | $3438.58      | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | XX        |          1 | NC      | $-706.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CGN0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1999 | PA      | $2003.44      | 0.00%             | 2028-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MUTUAL OF OMAHA GLOBAL                            | Mutual of Omaha Cos Global Funding                                               | CUSIP: 62829D2D1<br>LEI: 635400AL5J3F1ZPTAN95 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1933300.92   | 0.11%             | 2027-04-09      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| COREBRIDGE GLOB FUNDING                           | Corebridge Global Funding                                                        | CUSIP: 00138CAU2<br>LEI: 54930057MDZ7KOVOTV71 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1417025.09   | 0.08%             | 2026-07-02      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 31750R8D2 PIMCO FXVAN PUT AUD USD 0.62500000                                     | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |    4331000 | OU      | $8.60         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | VERIZON COMMUNICATIONS INC SNR S* ICE                                            | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    7300000 | OU      | $62903.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M8A87<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      78536 | PA      | $81536.93     | 0.00%             | 2040-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS BANK USA                            | Goldman Sachs Bank USA/New York NY                                               | CUSIP: 38151LAE0<br>LEI: KD3XUN7C6T14HNAYLU02 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4510767.56   | 0.26%             | 2027-03-18      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| Regatta XIX Funding Ltd                           | Regatta XIX Funding Ltd                                                          | CUSIP: 75888EAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1801268.03   | 0.10%             | 2035-04-20      | Floating      | 5.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138ENT82<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2227 | PA      | $2256.00      | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                           | Hyundai Capital America                                                          | CUSIP: 44891ACR6<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |     800000 | PA      | $848294.34    | 0.05%             | 2029-01-16      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JPMorgan Securities LLC                           | J P MORGAN TERM REPO                                                             | CUSIP: 000000000<br>LEI: ZBUT11V806EZRVTWT807 | Long             | RA               | CORP              | US        |   37700000 | PA      | $37700000.00  | 2.14%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138MDJ94<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     122145 | PA      | $121571.69    | 0.01%             | 2042-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-461.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI INTERNATIONAL BOND                          | Saudi Government International Bond                                              | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    4400000 | PA      | $4498049.29   | 0.26%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CUH7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5569 | PA      | $5653.56      | 0.00%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Invesco CLO 2022-2, Ltd.                          | Invesco CLO 2022-2 Ltd                                                           | CUSIP: 46145XAL0<br>LEI: 54930008L2A8UYGN7A86 | Long             | ABS-CBDO         | CORP              | JE        |    4700000 | PA      | $4719046.52   | 0.27%             | 2035-07-20      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| WAMU Mortgage Pass-Through Certificates           | WaMu Mortgage Pass-Through Certificates Series 2005-AR18 Trust                   | CUSIP: 92922F8M3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     215287 | PA      | $208796.05    | 0.01%             | 2036-01-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4549880 | PA      | $3363379.95   | 0.19%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ID        |          1 | NC      | $-8229.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD THB                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $0.23         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $2207.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banco Espirito Santo SA                           | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |    5600000 | PA      | $1545050.67   | 0.09%             | 2018-01-15      | None          | 4.75%                 | Yes           |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  480000000 | PA      | $3079500.96   | 0.18%             | 2055-06-20      | Fixed         | 2.80%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | CN        |          1 | NC      | $-234.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Wells Fargo Commercial Mortgage Trust             | Wells Fargo Commercial Mortgage Trust 2015-P2                                    | CUSIP: 95000AAU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2796859 | PA      | $2789689.88   | 0.16%             | 2048-12-15      | Fixed         | 3.81%                 | No            |                  2 | On Loan: No      |
| ING GROEP NV                                      | ING Groep NV                                                                     | CUSIP: 456837BJ1<br>LEI: 549300NYKK9MWM7GGW15 | Long             | DBT              | CORP              | NL        |    4700000 | PA      | $4744225.64   | 0.27%             | 2027-09-11      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| Manhattan West                                    | Manhattan West 2020-1MW Mortgage Trust                                           | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8600000 | PA      | $8200652.12   | 0.47%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | COLOMBIA LA SP MYC                                                               | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DCR              |  | US        |    1600000 | OU      | $1798.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STORE CAPITAL LLC                                 | Store Capital LLC                                                                | CUSIP: 862121AA8<br>LEI: 254900Z9PIEFQ6AYXK50 | Long             | DBT              |  | US        |    7600000 | PA      | $7578104.70   | 0.43%             | 2028-03-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Adjustable Rate Mortgage Trust       | Bear Stearns ARM Trust 2003-5                                                    | CUSIP: 07384MWN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     350284 | PA      | $325730.62    | 0.02%             | 2033-08-25      | Variable      | 4.74%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $-1557.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $508.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36292LE83<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      84526 | PA      | $86627.06     | 0.00%             | 2036-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RNM4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1747704 | PA      | $1751284.95   | 0.10%             | 2066-01-20      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BSS8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9500 | PA      | $10064.83     | 0.00%             | 2032-03-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $339.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | IN        |          1 | NC      | $-6057.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | PL        |          1 | NC      | $-1364.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.09500 02/18/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     280000 | OU      | $-10496.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | TW        |          1 | NC      | $100.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212EGP6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1107 | PA      | $1131.84      | 0.00%             | 2030-08-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QB7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4900000 | PA      | $4826500.00   | 0.27%             | 2039-05-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6SU3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     323092 | PA      | $336095.97    | 0.02%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 3617JHDN7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     652938 | PA      | $676536.32    | 0.04%             | 2049-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/1.75000 12/21/22-30Y CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   11600000 | OU      | $4293368.80   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YGY7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       9947 | PA      | $10081.68     | 0.00%             | 2029-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac - SCRT                                | Freddie Mac Seasoned Credit Risk Transfer Trust Series 2021-1                    | CUSIP: 35563PWX3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    2961979 | PA      | $2248722.59   | 0.13%             | 2060-09-25      | Variable      | 13.06%                | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED MXN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | MX        |          1 | NC      | $23802.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $119.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Voya CLO Ltd                                      | Voya CLO 2019-2 Ltd                                                              | CUSIP: 92917RAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2462190 | PA      | $2463981.12   | 0.14%             | 2032-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| GS Mortgage Securities Trust                      | GS Mortgage Securities Trust 2016-GS3                                            | CUSIP: 36251PBD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6103678.00   | 0.35%             | 2049-10-10      | Variable      | 3.72%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212UBT7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7264 | PA      | $7288.87      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132CWJA3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       7850 | PA      | $7831.55      | 0.00%             | 2033-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $538.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Chicago Mercantile Exchange                       | RFR USD SOFR/3.69392 09/03/24-7Y* CME                                            | CUSIP: 000000000<br>LEI: SNZ2OJLFK8MNNCLQOF39 | N/A              | DIR              |  | US        |   14425000 | OU      | $-198617.83   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31380AMP4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        864 | PA      | $891.47       | 0.00%             | 2028-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.58526 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   37900000 | OU      | $-341695.03   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31400RV81<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6933 | PA      | $7187.90      | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Pacific Life U.S. Government Fund Direct          | Pacific Life U.S. Government Fund Direct                                         | CUSIP: 000000000<br>LEI: N/A                  | Long             | STIV             | RF                | US        |    2544212 | NS      | $2544211.57   | 0.14%             |  |  |  | No            |                  1 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405VH75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      10202 | PA      | $10314.40     | 0.00%             | 2034-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NJXM1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     472544 | PA      | $470575.89    | 0.03%             | 2053-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-5463.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                          | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    4300000 | PA      | $4398361.17   | 0.25%             | 2027-10-19      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $1331.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410FYT6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      33775 | PA      | $35610.07     | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36210TVM5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       8175 | PA      | $8202.30      | 0.00%             | 2029-10-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31385PH56<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        229 | PA      | $236.03       | 0.00%             | 2028-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| RMAC Securities PLC                               | RMAC Securities No 1 PLC                                                         | CUSIP: 000000000<br>LEI: 213800C48M2JTBGZT736 | Long             | ABS-MBS          | CORP              | GB        |    2517384 | PA      | $3339428.38   | 0.19%             | 2044-06-12      | Floating      | 4.58%                 | Yes           |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2022-INV1                                    | CUSIP: 64831DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5535537 | PA      | $4784897.80   | 0.27%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IN        |          1 | NC      | $-4733.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Notes                                            | CUSIP: 91282CGW5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8077125 | PA      | $8109541.49   | 0.46%             | 2028-04-15      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| Wellfleet CLO Ltd                                 | Wellfleet CLO 2021-2 Ltd                                                         | CUSIP: 95023AAL4<br>LEI: 2549005MTORTL04RYQ32 | Long             | ABS-CBDO         | CORP              | KY        |    4050000 | PA      | $4059324.88   | 0.23%             | 2034-07-15      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140NGF96<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1372232 | PA      | $1366212.97   | 0.08%             | 2053-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BQ92<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6445 | PA      | $6795.01      | 0.00%             | 2031-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $452.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust Series 2008-R1                                          | CUSIP: 46632GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2386774 | PA      | $2100837.03   | 0.12%             | 2037-12-26      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                     | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2974488 | PA      | $2668704.62   | 0.15%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.             | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     292926 | PA      | $226475.23    | 0.01%             | 2046-12-26      | Variable      | 3.96%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                              | CUSIP: 9128282R0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      20000 | PA      | $19507.03     | 0.00%             | 2027-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | KR        |          1 | NC      | $-3721.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XKZU7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    3194845 | PA      | $3115315.16   | 0.18%             | 2052-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS & ELECTRIC                            | Pacific Gas and Electric Co                                                      | CUSIP: 694308HP5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2100000 | PA      | $2085779.77   | 0.12%             | 2026-03-01      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| SMB Private Education Loan Trust                  | SMB Private Education Loan Trust 2024-C                                          | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2583874 | PA      | $2662879.63   | 0.15%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                 | CUSIP: 124857AX1<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     900000 | PA      | $880752.51    | 0.05%             | 2028-06-01      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $23752.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $-12763.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140XQZ75<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    2558048 | PA      | $2476963.63   | 0.14%             | 2035-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| Sequoia Mortgage Trust                            | Sequoia Mortgage Trust 2003-4                                                    | CUSIP: 81743PBW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     113534 | PA      | $113371.79    | 0.01%             | 2033-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $247.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RE0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13500000 | PA      | $11722324.19  | 0.67%             | 2044-02-15      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| 10 RENEW POWER SUBSIDIAR                          | ReNew Wind Energy AP2 / ReNew Power Pvt Ltd other 9 Subsidiaries                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | DBT              | CORP              | IN        |    5900000 | PA      | $5700089.06   | 0.32%             | 2028-07-14      | Fixed         | 4.50%                 | Yes           |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD NOK                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-4021.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP Morgan Chase Commercial Mortgage Sec Trust     | JP Morgan Chase Commercial Mortgage Securities Trust 2019-BKWD                   | CUSIP: 46591JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1081454 | PA      | $1055450.11   | 0.06%             | 2029-09-15      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | 31750R5R4 PIMCO FXVAN CALL USD SEK 10.20000000                                   | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |    3543000 | OU      | $1721.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A74F5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |        257 | PA      | $255.67       | 0.00%             | 2027-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NXP BV/NXP FDG/NXP USA                            | NXP BV / NXP Funding LLC / NXP USA Inc                                           | CUSIP: 62954HAZ1<br>LEI: N/A                  | Long             | DBT              | CORP              | XX        |    4000000 | PA      | $3990684.16   | 0.23%             | 2026-06-18      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31409EHA2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15722 | PA      | $16499.62     | 0.00%             | 2036-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $5683.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404JS55<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1669 | PA      | $1706.07      | 0.00%             | 2034-03-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.70000 12/31/25-9Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    7410000 | OU      | $-46491.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NORTHWESTERN MUTUAL GLBL                          | Northwestern Mutual Global Funding                                               | CUSIP: 66815L2M0<br>LEI: 635400LZXFVELZDVP257 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3790357.37   | 0.22%             | 2028-06-12      | Fixed         | 4.90%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KCW2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3645 | PA      | $3842.75      | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1090000 | OU      | $32183.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211YSM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |         94 | PA      | $94.80        | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR NOTE (CBT)DEC25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |       1500 | NC      | $1023605.40   | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36295NNJ2<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        748 | PA      | $783.60       | 0.00%             | 2038-06-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211UYC0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1362 | PA      | $1366.65      | 0.00%             | 2029-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $98757.13     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ORACLE CORP                                       | Oracle Corp                                                                      | CUSIP: 68389XCH6<br>LEI: 1Z4GXXU7ZHVWFCD8TV52 | Long             | DBT              | CORP              | US        |    2700000 | PA      | $2879849.51   | 0.16%             | 2029-11-09      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | PL        |          1 | NC      | $4614.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAT INTL FINANCE PLC                              | BAT International Finance PLC                                                    | CUSIP: 05530QAQ3<br>LEI: 21380041YBGOQDFAC823 | Long             | DBT              | CORP              | GB        |    4700000 | PA      | $4938333.62   | 0.28%             | 2029-02-02      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $192.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $625.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARAMOUNT GLOBAL                                  | Paramount Global                                                                 | CUSIP: 124857AR4<br>LEI: 5KYC8KF17ROCY24M3H09 | Long             | DBT              | CORP              | US        |     100000 | PA      | $97983.16     | 0.01%             | 2027-01-15      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | KR        |          1 | NC      | $-6132.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FannieMae Whole Loan                              | Fannie Mae REMIC Trust 2003-W4                                                   | CUSIP: 31393AP68<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     235069 | PA      | $237942.30    | 0.01%             | 2042-10-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| Conagra Brands Inc                                | Conagra Brands Inc                                                               | CUSIP: 205887CC4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2324693.33   | 0.13%             | 2028-11-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QD3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20700000 | PA      | $20541111.35  | 1.17%             | 2039-11-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| Japan Government Thirty Year Bonds                | Japan Government Thirty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  480000000 | PA      | $2769497.92   | 0.16%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12100000 | PA      | $11653812.50  | 0.66%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WB2L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      36601 | PA      | $35722.75     | 0.00%             | 2029-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC Structured Pass Through Securities          | Freddie Mac Structured Pass-Through Certificates                                 | CUSIP: 31395HHV5<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     356741 | PA      | $327764.49    | 0.02%             | 2044-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED TWD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | TW        |          1 | NC      | $-8880.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| U.K. Gilts                                        | U.K. Gilts                                                                       | CUSIP: 000000000<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    7247000 | PA      | $8156923.50   | 0.46%             | 2054-07-31      | Fixed         | 4.38%                 | Yes           |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $5328.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CDW3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        304 | PA      | $305.84       | 0.00%             | 2027-09-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| BGC GROUP INC                                     | BGC Group Inc                                                                    | CUSIP: 088929AC8<br>LEI: 2549001IGRCG4F0RLD36 | Long             | DBT              | CORP              | US        |    2400000 | PA      | $2563399.32   | 0.15%             | 2028-05-25      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $28493.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132A9U62<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       6090 | PA      | $6010.81      | 0.00%             | 2033-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| DTE Electric Co                                   | DTE Electric Co                                                                  | CUSIP: 23338VAH9<br>LEI: 9N0FWODEJVKHC2DYLO03 | Long             | DBT              | CORP              | US        |     100000 | PA      | $82886.71     | 0.00%             | 2048-05-15      | Fixed         | 4.05%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2007-7                                     | CUSIP: 12669VAD0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      45196 | PA      | $44997.24     | 0.00%             | 2047-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| First Horizon Alternative Mortgage Securities     | First Horizon Alternative Mortgage Securities Trust 2004-AA1                     | CUSIP: 32051D3G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     737050 | PA      | $737780.06    | 0.04%             | 2034-06-25      | Variable      | 5.86%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                     | Citigroup Inc                                                                    | CUSIP: 172967NG2<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |    3600000 | PA      | $3545368.88   | 0.20%             | 2028-02-24      | Fixed         | 3.07%                 | No            |                  2 | On Loan: No      |
| Citigroup Mortgage Loan Trust Inc                 | Citigroup Mortgage Loan Trust 2005-3                                             | CUSIP: 17307GTK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      40321 | PA      | $36204.63     | 0.00%             | 2035-08-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31403GWC2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6457 | PA      | $6551.16      | 0.00%             | 2033-09-01      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128L15L0<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      69520 | PA      | $72084.40     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410XYJ9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1709 | PA      | $1781.00      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418EXW5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     666007 | PA      | $688946.18    | 0.04%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $410.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-91012.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410PUC5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2931 | PA      | $3080.48      | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2900000 | PA      | $2171998.04   | 0.12%             | 2049-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-18732.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31408AFG0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3159 | PA      | $3307.79      | 0.00%             | 2036-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 16-3 AA PTT                          | American Airlines 2016-3 Class AA Pass Through Trust                             | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2752138 | PA      | $2649478.01   | 0.15%             | 2028-10-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H0506B3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    8350000 | PA      | $8295937.34   | 0.47%             | 2054-11-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2021-6 Ltd                                               | CUSIP: 05684PAL0<br>LEI: 254900YXN9JEMKU5DF45 | Long             | ABS-CBDO         | CORP              | KY        |    2000000 | PA      | $2002668.66   | 0.11%             | 2034-10-21      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $2083.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | ID        |          1 | NC      | $4367.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | CDX ITRAXX XOV42 5Y 35-100% SP JPM                                               | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DCR              |  | US        |    7344679 | OU      | $1510996.23   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YN90<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    7438204 | PA      | $7455167.79   | 0.42%             | 2073-01-20      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DPFL7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    5901024 | PA      | $5880770.07   | 0.33%             | 2052-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36207K6S4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       9452 | PA      | $9574.13      | 0.00%             | 2030-06-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810TY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8104635 | PA      | $7489247.23   | 0.43%             | 2054-02-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-4121.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M75R3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      26116 | PA      | $27188.39     | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-3508.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/4.07290 03/01/24-2Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |  125700000 | OU      | $7692.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133CHTM7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     295403 | PA      | $305927.53    | 0.02%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | IRS EUR 2.75000 03/18/26-10Y LCH                                                 | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   60800000 | OU      | $101091.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CS72<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      25620 | PA      | $25685.20     | 0.00%             | 2031-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $3559.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $1726.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BLDG SOCIETY                           | Nationwide Building Society                                                      | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    4300000 | PA      | $4398505.78   | 0.25%             | 2027-10-18      | Fixed         | 6.56%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212SLE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5818 | PA      | $5891.67      | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38376RBB1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     304834 | PA      | $304729.09    | 0.02%             | 2065-05-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| MASTR Adjustable Rate Mortgages Trust             | MASTR Adjustable Rate Mortgages Trust 2004-13                                    | CUSIP: 576433WE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4844 | PA      | $4823.57      | 0.00%             | 2034-04-21      | Variable      | 6.59%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | ID        |          1 | NC      | $811.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAIXABANK SA                                      | CaixaBank SA                                                                     | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |    3700000 | PA      | $3781074.70   | 0.21%             | 2027-09-13      | Fixed         | 6.68%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 3128NHK36<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      46057 | PA      | $47165.47     | 0.00%             | 2035-09-01      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| BRITISH COLUMBIA PROV OF                          | Province of British Columbia Canada                                              | CUSIP: 110709AK8<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |    1200000 | PA      | $900849.32    | 0.05%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NE4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1484 | PA      | $1546.33      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                 | CPPIB Capital Inc                                                                | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | NUSS              | CA        |    2500000 | PA      | $1896403.68   | 0.11%             | 2034-06-02      | Fixed         | 4.30%                 | Yes           |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241KT57<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      15734 | PA      | $16141.51     | 0.00%             | 2038-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36209RNK5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        619 | PA      | $624.07       | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED SGD / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | SG        |          1 | NC      | $6610.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402EMX3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1511 | PA      | $1535.75      | 0.00%             | 2033-02-01      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410UK68<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      15005 | PA      | $15186.68     | 0.00%             | 2036-08-01      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                      | Barclays PLC                                                                     | CUSIP: 06738ECD5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    4000000 | PA      | $4242921.44   | 0.24%             | 2028-11-02      | Fixed         | 7.38%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410KGP3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        998 | PA      | $1051.71      | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CENTENE CORP                                      | Centene Corp                                                                     | CUSIP: 15135BAY7<br>LEI: 549300Z7JJ4TQSQGT333 | Long             | DBT              | CORP              | US        |     125000 | PA      | $116254.12    | 0.01%             | 2028-07-15      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CAL EDISON                               | Southern California Edison Co                                                    | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    4500000 | PA      | $4579407.68   | 0.26%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| MARS INC                                          | Mars Inc                                                                         | CUSIP: 571676AX3<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |    3500000 | PA      | $3543552.29   | 0.20%             | 2028-03-01      | Fixed         | 4.60%                 | No            |                  2 | On Loan: —       |
| Citibank NA                                       | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $8527.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RH3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   33300000 | PA      | $26672519.45  | 1.52%             | 2044-08-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | IL        |          1 | NC      | $3253.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | IN        |          1 | NC      | $-5595.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KOREA DEVELOPMENT BANK                            | Korea Development Bank/The                                                       | CUSIP: 500630DY1<br>LEI: 549300ML2LNRZUCS7149 | Long             | DBT              | NUSS              | KR        |     900000 | PA      | $905834.12    | 0.05%             | 2026-10-23      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H0506A5<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |   15450000 | PA      | $15370487.50  | 0.87%             | 2054-10-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13230596 | PA      | $9924614.45   | 0.56%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| Cross Mortgage Trust                              | Cross 2024-H3 Mortgage Trust                                                     | CUSIP: 22758DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2377045 | PA      | $2410395.42   | 0.14%             | 2069-06-25      | Variable      | 6.27%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $6336.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-10660.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F0306B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  114120000 | PA      | $100260438.69 | 5.70%             | 2055-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | NO        |          1 | NC      | $-0.02        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3132DNU76<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     937347 | PA      | $913067.39    | 0.05%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | BOEING CO/THE SNR S* ICE                                                         | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   11300000 | OU      | $188412.71    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.80662 04/02/25-30Y* LCH                                           | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |     800000 | OU      | $17992.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROTECTIVE LIFE GLOBAL                            | Protective Life Global Funding                                                   | CUSIP: 74368CBS2<br>LEI: 635400EVYITCJYWL2I50 | Long             | DBT              | CORP              | US        |    3200000 | PA      | $3217852.70   | 0.18%             | 2026-04-14      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382Y3J0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4759534 | PA      | $4787504.62   | 0.27%             | 2073-03-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $-35767.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-9 Trust   | CUSIP: 93934FFH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1631704 | PA      | $95176.81     | 0.01%             | 2035-11-25      | Floating      | 0.68%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | ORACLE CORPORATION SNR S* ICE                                                    | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |    1000000 | OU      | $20514.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Residential Asset Securitization Trust            | Residential Asset Securitization Trust 2005-A12                                  | CUSIP: 45660LL23<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1587562 | PA      | $135641.18    | 0.01%             | 2035-11-25      | Floating      | 0.68%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | 31750R5C7 PIMCO FXVAN PUT EUR USD 1.11000000                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    9466000 | OU      | $2989.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ENBRIDGE INC                                      | Enbridge Inc                                                                     | CUSIP: 29250NBW4<br>LEI: 98TPTUM4IVMFCZBCUR27 | Long             | DBT              | CORP              | CA        |    1400000 | PA      | $1424979.29   | 0.08%             | 2026-11-15      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CJL1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        640 | PA      | $643.79       | 0.00%             | 2029-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| MASSMUTUAL GLOBAL FUNDIN                          | MassMutual Global Funding II                                                     | CUSIP: 57629W3T5<br>LEI: 549300K1IE3K7YU6VG29 | Long             | DBT              | CORP              | US        |    3000000 | PA      | $3018878.61   | 0.17%             | 2027-10-22      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138A8WX0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       2987 | PA      | $2976.61      | 0.00%             | 2026-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $-654.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 06/20/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   25000000 | OU      | $1903240.00   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED IDR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | ID        |          1 | NC      | $482.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Washington Mutual Mortgage Pass-Through CTFS      | Washington Mutual Mortgage Pass-Through Certificates WMALT Series 2005-10 Trust  | CUSIP: 93934FGC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5351388 | PA      | $259630.60    | 0.01%             | 2035-11-25      | Floating      | 0.58%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Non Gold Pool                                                        | CUSIP: 31295NT32<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       1570 | PA      | $1602.85      | 0.00%             | 2032-07-01      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405BFG1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5313 | PA      | $5471.17      | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Credit Suisse First Boston Mortgage Securities    | Credit Suisse First Boston Mortgage Securities Corp                              | CUSIP: 22540VK43<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      58607 | PA      | $56585.97     | 0.00%             | 2032-03-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| TPG Real Estate Finance                           | TRTX 2022-FL5 Issuer Ltd                                                         | CUSIP: 87277JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5376879 | PA      | $5390706.28   | 0.31%             | 2039-02-15      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $23011.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                     | Boeing Co/The                                                                    | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     100000 | PA      | $106153.17    | 0.01%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| DSLA Mortgage Loan Trust                          | DSLA Mortgage Loan Trust 2004-AR3                                                | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     194399 | PA      | $184928.82    | 0.01%             | 2044-07-19      | Variable      | 5.10%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M5NM8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |       4201 | PA      | $4373.28      | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CFCRE Commercial Mortgage Trust                   | CFCRE Commercial Mortgage Trust 2016-C6                                          | CUSIP: 12532AAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     255549 | PA      | $255065.77    | 0.01%             | 2049-11-10      | Fixed         | 3.06%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YA52<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    1803568 | PA      | $1806843.27   | 0.10%             | 2072-10-20      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834LB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12200000 | PA      | $5569665.76   | 0.32%             | 2042-02-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 317UACJA3 PIMCO SWAPTION 3.698 PUT USD 2025100                                   | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DIR              |  | US        |   -2200000 | NC      | $-3930.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | JP        |          1 | NC      | $1149.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED CNH / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | CN        |          1 | NC      | $-1050.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $148261.29    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUTK/1.25000 06/18/25-7Y LCH                                             | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        | 3590000000 | OU      | $62883.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | BR        |          1 | NC      | $497.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM Trust                                       | PRKCM 2022-AFC2 Trust                                                            | CUSIP: 69377TAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2924117 | PA      | $2924722.57   | 0.17%             | 2057-08-25      | Variable      | 5.33%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31401YS48<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5504 | PA      | $5507.72      | 0.00%             | 2033-07-01      | Floating      | 6.16%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | IN        |          1 | NC      | $-47.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citizens Auto Receivables Trust                   | Citizens Auto Receivables Trust 2023-1                                           | CUSIP: 17331KAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2981874 | PA      | $3002678.28   | 0.17%             | 2028-01-18      | Fixed         | 5.84%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   54560000 | PA      | $55731429.93  | 3.17%             | 2054-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | 31750R8E0 PIMCO FXVAN PUT EUR USD 1.14500000                                     | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |    8551000 | OU      | $662.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.72680 03/01/24-7Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4100000 | OU      | $-63986.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                           | BPCE SA                                                                          | CUSIP: 05571AAX3<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    2600000 | PA      | $2680343.85   | 0.15%             | 2029-05-30      | Fixed         | 5.28%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CJK3<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      11241 | PA      | $11385.99     | 0.00%             | 2029-03-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CUK0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       7712 | PA      | $7828.72      | 0.00%             | 2032-03-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RHT9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      67636 | PA      | $67717.88     | 0.00%             | 2042-08-01      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     105000 | PA      | $105360.94    | 0.01%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-12734.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROLLS-ROYCE PLC                                   | Rolls-Royce PLC                                                                  | CUSIP: 77578JAC2<br>LEI: X57JK1U580XATGR67572 | Long             | DBT              | CORP              | GB        |     950000 | PA      | $976139.03    | 0.06%             | 2027-10-15      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DGH9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       5579 | PA      | $5445.96      | 0.00%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                               | Nomura Holdings Inc                                                              | CUSIP: 65535HAY5<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $472561.81    | 0.03%             | 2028-07-14      | Fixed         | 2.17%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418C5V2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     123048 | PA      | $121376.33    | 0.01%             | 2034-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED BRL / SOLD USD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | BR        |          1 | NC      | $2361.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402QTS0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      19175 | PA      | $20151.43     | 0.00%             | 2034-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DELL INT LLC / EMC CORP                           | Dell International LLC / EMC Corp                                                | CUSIP: 24703DBR1<br>LEI: 254900ZARLSVK41DKO78 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1895875.61   | 0.11%             | 2029-02-15      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| GREENSAIF PIPELINES BIDC                          | Greensaif Pipelines Bidco Sarl                                                   | CUSIP: 39541EAD5<br>LEI: 549300YWDGUXPB8GRP47 | Long             | DBT              | CORP              | LU        |    3500000 | PA      | $3678555.65   | 0.21%             | 2036-02-23      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| BANK OF MONTREAL                                  | Bank of Montreal                                                                 | CUSIP: 06368D8Z0<br>LEI: NQQ6HPCNCCU6TUTQYE16 | Long             | DBT              | CORP              | CA        |    5500000 | PA      | $5622719.63   | 0.32%             | 2028-06-28      | Fixed         | 4.69%                 | No            |                  2 | On Loan: —       |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36201U2Q6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       6412 | PA      | $6412.75      | 0.00%             | 2033-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BL97<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        193 | PA      | $201.88       | 0.00%             | 2030-12-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | 317UABCA2 PIMCO SWAPTION 3.806 PUT USD 2025100                                   | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DIR              |  | US        |   -3400000 | NC      | $-920.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $67.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Banc of America Funding Corporation               | Banc of America Funding 2007-R1 Trust                                            | CUSIP: 05953BAB7<br>LEI: 549300478KN17QUC9E29 | Long             | ABS-MBS          | CORP              | US        |    2734924 | PA      | $2241439.78   | 0.13%             | 2047-08-25      | Variable      | 3.66%                 | No            |                  2 | On Loan: No      |
| PG&E RECOVERY FND LLC                             | PG&E Recovery Funding LLC                                                        | CUSIP: 71710TAG3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2939738 | PA      | $2995170.48   | 0.17%             | 2033-06-01      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 31292HM84<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      10345 | PA      | $10665.92     | 0.00%             | 2031-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6RH3<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      12364 | PA      | $12831.34     | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED ZAR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | ZA        |          1 | NC      | $61.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI Asset Securitization Corporation Trust        | HSI Asset Securitization Corp Trust 2006-OPT3                                    | CUSIP: 40430HFN3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     315027 | PA      | $305292.97    | 0.02%             | 2036-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415YER6<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       6818 | PA      | $7012.81      | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CTP NV                                            | CTP NV                                                                           | CUSIP: 000000000<br>LEI: 3157000YTVO4TN65UM14 | Long             | DBT              | CORP              | NL        |    2100000 | PA      | $2452836.42   | 0.14%             | 2026-01-20      | Fixed         | 0.88%                 | Yes           |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374GQW0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3510 | PA      | $3446.75      | 0.00%             | 2036-05-01      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-12447.90    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36201SJF7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2069 | PA      | $2078.14      | 0.00%             | 2032-08-15      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | JP        |          1 | NC      | $712.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                | Province of Quebec Canada                                                        | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |   10700000 | PA      | $8197336.35   | 0.47%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| JP Morgan Mortgage Trust                          | JP Morgan Mortgage Trust 2005-ALT1                                               | CUSIP: 466247XE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     798617 | PA      | $555044.11    | 0.03%             | 2035-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | COLOMBIA LA SP GST                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    2100000 | OU      | $-1102.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Banco Espirito Santo SA                           | Banco Espirito Santo SA                                                          | CUSIP: 000000000<br>LEI: 635400JV7IJL16OWIT96 | Long             | DBT              | CORP              | PT        |    1000000 | PA      | $275901.91    | 0.02%             | 2017-05-08      | None          | 2.62%                 | Yes           |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | 31750R9N9 PIMCO FXVAN PUT EUR USD 1.12900000                                     | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | LU        |    8603000 | OU      | $303.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| 1211 Avenue of the Americas Trust                 | 1211 Avenue of the Americas Trust 2015-1211                                      | CUSIP: 90117PAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9600000 | PA      | $9270074.88   | 0.53%             | 2035-08-10      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | IL        |          1 | NC      | $3504.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs International                       | COLOMBIA LA SP GST                                                               | CUSIP: 000000000<br>LEI: W22LROWP2IHZNBB6K528 | N/A              | DCR              |  | US        |    4600000 | OU      | $5170.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED PLN / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | PL        |          1 | NC      | $-150.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-2684.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Countrywide Home Loans                            | CHL Mortgage Pass-Through Trust 2007-16                                          | CUSIP: 12544MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     727560 | PA      | $299284.36    | 0.02%             | 2037-10-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac REMICS                                                               | CUSIP: 3137FUKP8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |    1532469 | PA      | $1512741.62   | 0.09%             | 2040-08-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Inflation-Indexed Bonds                                            | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1797222 | PA      | $1327491.11   | 0.08%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-112.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CPA8<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      12496 | PA      | $12484.95     | 0.00%             | 2030-06-20      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36225CQF6<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        800 | PA      | $801.97       | 0.00%             | 2030-09-20      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31414FKA8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      12385 | PA      | $12907.00     | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $2713.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31410TZG3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        306 | PA      | $316.17       | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| DBGS Mortgage Trust                               | DBGS 2019-1735 Mortgage Trust                                                    | CUSIP: 23307EAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8700000 | PA      | $8220589.11   | 0.47%             | 2037-04-10      | Fixed         | 3.84%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138EJPF9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        515 | PA      | $510.39       | 0.00%             | 2027-07-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M7AX4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      21810 | PA      | $22652.49     | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $4977.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Republic of South Africa                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    3500000 | PA      | $175134.80    | 0.01%             | 2048-02-28      | Fixed         | 8.75%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $177.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hayfin Emerald CLO                                | Hayfin Emerald Clo X DAC                                                         | CUSIP: 000000000<br>LEI: 635400QPLMTTI1BZII42 | Long             | ABS-CBDO         | CORP              | IE        |    3600000 | PA      | $4226582.39   | 0.24%             | 2038-07-18      | Floating      | 3.37%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138AA6S5<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        793 | PA      | $789.85       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38375UFM7<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     176175 | PA      | $176260.43    | 0.01%             | 2064-04-20      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | IL        |          1 | NC      | $1508.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810RB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5500000 | PA      | $4310625.00   | 0.25%             | 2043-05-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $209.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128MJ3B4<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     174547 | PA      | $168049.50    | 0.01%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| DOLP Trust                                        | DOLP Trust 2021-NYC                                                              | CUSIP: 23345LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    7000000 | PA      | $6261815.70   | 0.36%             | 2041-05-10      | Fixed         | 2.96%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M6NT1<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     550831 | PA      | $574118.79    | 0.03%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.13         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| Morgan Stanley Capital Services LLC               | 317UABZA7 PIMCO SWAPTION 2.79 PUT EUR 20251006                                   | CUSIP: 000000000<br>LEI: I7331LVCZKQKX5T7XV54 | N/A              | DIR              |  | US        |    -600000 | NC      | $-117.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae                                                                       | CUSIP: 21H0326B1<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      60000 | PA      | $54701.65     | 0.00%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED MEXICAN STATES                             | Mexico Government International Bond                                             | CUSIP: 000000000<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    1300000 | PA      | $1540629.69   | 0.09%             | 2029-09-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2015-2AA PTT                           | Air Canada 2015-2 Class AA Pass Through Trust                                    | CUSIP: 009088AA3<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |    1245217 | PA      | $1221509.95   | 0.07%             | 2027-12-15      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8300000 | PA      | $6269417.95   | 0.36%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YNR0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    2483377 | PA      | $2454656.86   | 0.14%             | 2072-01-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |   10700000 | OU      | $-122849.91   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD KRW                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $3133.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                              | CUSIP: 91282CNX5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   78700000 | PA      | $78306500.00  | 4.45%             | 2030-08-31      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2006-23                                    | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3774996 | PA      | $3424069.76   | 0.19%             | 2047-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-HE5                                  | CUSIP: 61753KAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2132512 | PA      | $907777.64    | 0.05%             | 2037-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAP/GLOBA                          | AerCap Ireland Capital DAC / AerCap Global Aviation Trust                        | CUSIP: 00774MBD6<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |    2800000 | PA      | $2860998.81   | 0.16%             | 2027-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED ILS / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | IL        |          1 | NC      | $33302.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Investment Loan Trust            | Structured Asset Investment Loan Trust 2006-1                                    | CUSIP: 86358EA97<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3532403 | PA      | $3343059.40   | 0.19%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| BlueMountain EUR CLO                              | BlueMountain Fuji Eur CLO V DAC                                                  | CUSIP: 000000000<br>LEI: 635400IYPG2G6NM3OV52 | Long             | ABS-CBDO         | CORP              | IE        |    4180629 | PA      | $4912761.11   | 0.28%             | 2033-01-15      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley Capital Inc                        | Morgan Stanley ABS Capital I Inc Trust 2007-NC1                                  | CUSIP: 617505AE2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4866500 | PA      | $2327578.14   | 0.13%             | 2036-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2005-AR8                          | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     271652 | PA      | $228431.45    | 0.01%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| REPUBLIC OF PERU                                  | Peruvian Government International Bond                                           | CUSIP: 000000000<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    6800000 | PA      | $1897415.83   | 0.11%             | 2034-08-12      | Fixed         | 5.40%                 | Yes           |                  2 | On Loan: No      |
| Terwin Mortgage Trust                             | Terwin Mortgage Trust 2006-3                                                     | CUSIP: 881561V92<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      75988 | PA      | $74773.15     | 0.00%             | 2037-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2023-1                                                | CUSIP: 92539BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3201932 | PA      | $3201657.31   | 0.18%             | 2067-12-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR JPY MUT+5.89/0.7500 03/20/19-19Y LCH                                         | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | JP        |   50000000 | OU      | $37400.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212VCD9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1624 | PA      | $1629.41      | 0.00%             | 2030-12-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36296B6Z0<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |      24463 | PA      | $25078.79     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31417YJN8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1684 | PA      | $1706.57      | 0.00%             | 2029-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DDA7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      68697 | PA      | $67408.66     | 0.00%             | 2034-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED USD / SOLD GBP                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | US        |          1 | NC      | $-5769.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bear Stearns Structured Products Inc.             | Bear Stearns Structured Products Inc Trust 2007-R6                               | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     278230 | PA      | $197997.53    | 0.01%             | 2036-01-26      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31370Q6L8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      46935 | PA      | $46504.17     | 0.00%             | 2033-03-01      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418A2M9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3085 | PA      | $3072.62      | 0.00%             | 2028-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31404KQF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      34757 | PA      | $35552.73     | 0.00%             | 2034-04-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| Chicago Board of Trade                            | US 10YR ULTRA FUT DEC25                                                          | CUSIP: 000000000<br>LEI: 549300EX04Q2QBFQTQ27 | N/A              | DIR              |  | US        |      -1072 | NC      | $-1298997.16  | -0.07%            |  |  |  | No            |                  1 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-2280.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31374CPF7<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1220 | PA      | $1225.24      | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NNN REIT INC                                      | NNN REIT Inc                                                                     | CUSIP: 637417AK2<br>LEI: 5493008JKH5SOTI0JS97 | Long             | DBT              |  | US        |    5600000 | PA      | $5535543.89   | 0.31%             | 2027-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | 31750R5N3 PIMCO FXVAN PUT EUR USD 1.11000000                                     | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |    1659000 | OU      | $566.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Onslow Bay Financial LLC                          | OBX 2018-1 Trust                                                                 | CUSIP: 67112FAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2216192 | PA      | $2174558.32   | 0.12%             | 2057-06-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| JPMorgan Chase Bank NA                            | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: 7H6GLXDRUGQFU57RNE97 | N/A              | DFE              |  | US        |          1 | NC      | $-545.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $1793.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418MWK4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      27792 | PA      | $28931.75     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Government National Mortgage Association                                         | CUSIP: 38382YY64<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |    4894355 | PA      | $4903983.96   | 0.28%             | 2073-02-20      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31402RH69<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      32214 | PA      | $32270.41     | 0.00%             | 2044-10-01      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810QC5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7700000 | PA      | $7760306.63   | 0.44%             | 2039-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK NY                                  | Deutsche Bank AG/New York NY                                                     | CUSIP: 251526CV9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1500000 | PA      | $1527466.31   | 0.09%             | 2028-02-08      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Securitized Asset Backed Receivables LLC Trust    | Securitized Asset Backed Receivables LLC Trust 2005-FR5                          | CUSIP: 81375WFU5<br>LEI: 213800LBQA1Y9L22JB70 | Long             | ABS-O            | CORP              | US        |    2668469 | PA      | $2031886.27   | 0.12%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $140.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411YXB4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3285 | PA      | $3355.74      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36241K4U9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |     218520 | PA      | $224226.01    | 0.01%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140X4YR1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1391021 | PA      | $1337924.44   | 0.08%             | 2048-02-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418DHF2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3871 | PA      | $3779.10      | 0.00%             | 2034-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   20550000 | PA      | $13415698.22  | 0.76%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CANADIAN PACIFIC RAILWAY                          | Canadian Pacific Railway Co                                                      | CUSIP: 13648TAB3<br>LEI: 54930036474DURYNB481 | Long             | DBT              | CORP              | CA        |    9800000 | PA      | $9720562.47   | 0.55%             | 2026-06-01      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F042699<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -1825000 | PA      | $-1770661.43  | -0.10%            | 2055-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Countrywide Asset-Backed Certificates             | CWABS Asset-Backed Certificates Trust 2006-18                                    | CUSIP: 23243WAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     982425 | PA      | $966260.98    | 0.05%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| Verus Securitization Trust                        | Verus Securitization Trust 2022-2                                                | CUSIP: 92538XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3012469 | PA      | $2902121.69   | 0.16%             | 2067-02-25      | Variable      | 4.26%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2023-A                                                 | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1155023 | PA      | $1197779.62   | 0.07%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31416YDH8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        842 | PA      | $838.50       | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| LETRA TESOURO NACIONAL                            | Brazil Letras do Tesouro Nacional                                                | CUSIP: 000000000<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   22200000 | PA      | $3893954.00   | 0.22%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| Constellation Brands Inc                          | Constellation Brands Inc                                                         | CUSIP: 21036PAQ1<br>LEI: 5493005GKEG8QCVY7037 | Long             | DBT              | CORP              | US        |    4400000 | PA      | $4377847.32   | 0.25%             | 2026-12-06      | Fixed         | 3.70%                 | No            |                  2 | On Loan: No      |
| Towd Point Mortgage Funding                       | Towd Point Mortgage Funding 2024 - Granite 6 PLC                                 | CUSIP: 000000000<br>LEI: 635400ZB5U3EBVBSFK52 | Long             | ABS-MBS          | CORP              | GB        |    3172294 | PA      | $4279395.02   | 0.24%             | 2053-07-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $76078.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $2136.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR1                          | CUSIP: 86359LTG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     471801 | PA      | $385172.13    | 0.02%             | 2036-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| Eurex Deutschland                                 | EURO-BUND OPTION  NOV25C 130.5 EXP 10/24/2025                                    | CUSIP: 000000000<br>LEI: 529900LN3S50JPU47S06 | N/A              | DIR              |  | DE        |        -43 | NC      | $-4543.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.88400 03/25/25-10Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    1400000 | OU      | $-28596.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bank of America NA                                | PURCHASED USD / SOLD ZAR                                                         | CUSIP: 000000000<br>LEI: B4TYDEB6GKMZO031MB27 | N/A              | DFE              |  | US        |          1 | NC      | $-5629.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36181CEE4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5275 | PA      | $5066.90      | 0.00%             | 2044-03-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31411CYP0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        209 | PA      | $215.94       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC Trust                                    | BCAP LLC 2011-RR5-I Trust                                                        | CUSIP: 05534AAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      61442 | PA      | $61252.58     | 0.00%             | 2037-03-26      | Variable      | 4.48%                 | No            |                  2 | On Loan: No      |
| Washington Mutual MSC Mortgage Pass-Through CTFS  | Washington Mutual MSC Mortgage Pass-Through Certificates Series 2003-AR1 Trust   | CUSIP: 939336PL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       1358 | PA      | $1369.02      | 0.00%             | 2033-02-25      | Variable      | 6.35%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae REMICS                                                                | CUSIP: 31396V4Q8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      30760 | PA      | $30222.71     | 0.00%             | 2037-07-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31418E3D0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1853995 | PA      | $1899248.32   | 0.11%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                            | Vmed O2 UK Financing I PLC                                                       | CUSIP: 92858RAD2<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     700000 | PA      | $736321.60    | 0.04%             | 2032-04-15      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140JVPM8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |    1067309 | PA      | $940410.74    | 0.05%             | 2049-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Notes                                                              | CUSIP: 91282CNY3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    8630000 | PA      | $8571680.10   | 0.49%             | 2028-09-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| Structured Asset Mortgage Investments Inc         | Structured Asset Mortgage Investments II Trust 2006-AR5                          | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     349798 | PA      | $246752.36    | 0.01%             | 2036-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| Merrill Lynch Mortgage Investors Trust            | Merrill Lynch Mortgage Investors Trust Series 2005-WMC1                          | CUSIP: 59020UQV0<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | ABS-O            | CORP              | US        |     751610 | PA      | $751056.63    | 0.04%             | 2035-09-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| BROADCOM INC                                      | Broadcom Inc                                                                     | CUSIP: 11135FBX8<br>LEI: 549300WV6GIDOZJTV909 | Long             | DBT              | CORP              | US        |    3700000 | PA      | $3812148.85   | 0.22%             | 2029-07-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD CAD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $-137.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $32528.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Brazil Government International Bonds             | Brazil Government International Bonds                                            | CUSIP: 105756CH1<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    4400000 | PA      | $4507800.00   | 0.26%             | 2034-03-15      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED EUR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | XX        |          1 | NC      | $-96799.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS AG                                            | PURCHASED USD / SOLD ILS                                                         | CUSIP: 000000000<br>LEI: BFM8T61CT2L1QCEMIK50 | N/A              | DFE              |  | US        |          1 | NC      | $-3455.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | US        |          1 | NC      | $17720.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Hydro-Quebec                                      | Hydro-Quebec                                                                     | CUSIP: 448814DB6<br>LEI: 6THEVG93PYJH84S4D167 | Long             | DBT              | NUSS              | CA        |    1000000 | PA      | $1157659.96   | 0.07%             | 2029-06-15      | Fixed         | 8.62%                 | No            |                  2 | On Loan: No      |
| New Residential Mortgage Loan Trust               | New Residential Mortgage Loan Trust 2018-RPL1                                    | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2565512 | PA      | $2495129.40   | 0.14%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| BNP Paribas SA                                    | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: R0MUWSFPU8MPRO8K5P83 | N/A              | DFE              |  | US        |          1 | NC      | $20443.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MNB9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1362 | PA      | $1358.77      | 0.00%             | 2025-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IXIS Real Estate Capital Trust                    | IXIS Real Estate Capital Trust 2006-HE3                                          | CUSIP: 46602UAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10178104 | PA      | $3406083.21   | 0.19%             | 2037-01-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | 31750R8V2 PIMCO FXVAN PUT AUD USD 0.61750000                                     | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |    4667000 | OU      | $6.17         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4320000 | PA      | $4284971.41   | 0.24%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Gold Pool                                                            | CUSIP: 3128M74G8<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |      70355 | PA      | $73043.26     | 0.00%             | 2040-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Lehman Mortgage Trust                             | Lehman Mortgage Trust 2007-2                                                     | CUSIP: 52521DAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4685318 | PA      | $3074768.41   | 0.17%             | 2037-02-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR USD SOFR/3.50000 12/18/24-30Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    4800000 | OU      | $365021.28    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140MUMB3<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     785146 | PA      | $765683.59    | 0.04%             | 2052-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QNGC0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |   15006263 | PA      | $13228272.09  | 0.75%             | 2052-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140A32V4<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      76591 | PA      | $78719.29     | 0.00%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Intercontinental Exchange, Inc.                   | CDX IG44 5Y ICE                                                                  | CUSIP: 000000000<br>LEI: 5493000F4ZO33MV32P92 | N/A              | DCR              |  | US        |   68900000 | OU      | $1567196.30   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31415XER8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       1463 | PA      | $1524.52      | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| VMED O2 UK FINANCING I                            | Vmed O2 UK Financing I PLC                                                       | CUSIP: 000000000<br>LEI: 213800MRR46ECNGZ7L69 | Long             | DBT              | CORP              | GB        |     900000 | PA      | $1087221.97   | 0.06%             | 2032-04-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury STRIPS Coupon                                                      | CUSIP: 912834KV9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     600000 | PA      | $277873.22    | 0.02%             | 2041-11-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| IndyMac Residential Asset Backed Trust            | Home Equity Mortgage Loan Asset-Backed Trust Series INABS 2007-A                 | CUSIP: 43710BAE6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    2771282 | PA      | $2464606.00   | 0.14%             | 2037-04-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| VOLKSWAGEN GROUP AMERICA                          | Volkswagen Group of America Finance LLC                                          | CUSIP: 928668AT9<br>LEI: 5493002SQ1AVQBY41K40 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $999713.69    | 0.06%             | 2025-11-13      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| UNITED AIR 2019-2 AA PTT                          | United Airlines 2019-2 Class AA Pass Through Trust                               | CUSIP: 90932JAA0<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3694378 | PA      | $3395719.91   | 0.19%             | 2032-05-01      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3140QR4E0<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     827405 | PA      | $807769.10    | 0.05%             | 2053-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae II Pool                                                               | CUSIP: 36202DFZ9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        679 | PA      | $718.00       | 0.00%             | 2030-02-20      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED THB / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | TH        |          1 | NC      | $104.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TESCO PROPERTY FIN 4 PLC                          | Tesco Property Finance 4 PLC                                                     | CUSIP: 000000000<br>LEI: 213800UCE6O94DGHWT77 | Long             | DBT              | CORP              | GB        |     175322 | PA      | $234803.69    | 0.01%             | 2040-10-13      | Fixed         | 5.80%                 | Yes           |                  2 | On Loan: No      |
| United Wholesale Mortgage LLC                     | UWM Mortgage Trust 2021-INV3                                                     | CUSIP: 90355RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5381639 | PA      | $4464241.95   | 0.25%             | 2051-11-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED JPY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | JP        |          1 | NC      | $43734.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Societe Generale SA                               | PURCHASED USD / SOLD JPY                                                         | CUSIP: 000000000<br>LEI: O2RNE8IBXP4R0TD8PU41 | N/A              | DFE              |  | US        |          1 | NC      | $-62307.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HarborView Mortgage Loan Trust                    | HarborView Mortgage Loan Trust 2007-2                                            | CUSIP: 41164LAB5<br>LEI: 549300SZXFEQICAU3R39 | Long             | ABS-MBS          | CORP              | US        |     526226 | PA      | $424138.73    | 0.02%             | 2038-05-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | IN        |          1 | NC      | $-7767.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Bain Capital Credit CLO, Limited                  | Bain Capital Credit CLO 2022-3 Ltd                                               | CUSIP: 05684NAL5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    5100000 | PA      | $5118802.27   | 0.29%             | 2035-07-17      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED INR / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | IN        |          1 | NC      | $-10535.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Standard Chartered Bank                           | PURCHASED USD / SOLD SGD                                                         | CUSIP: 000000000<br>LEI: RILFO74KP1CM8P6PCT96 | N/A              | DFE              |  | US        |          1 | NC      | $1455.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Japan Government Twenty Year Bonds                | Japan Government Twenty Year Bonds                                               | CUSIP: 000000000<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  431900000 | PA      | $2845338.57   | 0.16%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| Symphony CLO Ltd                                  | Symphony CLO XXXII Ltd                                                           | CUSIP: 87168NAU8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | BM        |    6100000 | PA      | $6124863.72   | 0.35%             | 2035-10-23      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| Morgan Stanley & Co. International PLC            | PURCHASED USD / SOLD TWD                                                         | CUSIP: 000000000<br>LEI: 4PQUHN3JPFGFNF3BB653 | N/A              | DFE              |  | US        |          1 | NC      | $10508.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36211J5K9<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       2987 | PA      | $2997.30      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD INR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $63.97        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212MJU4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |        422 | PA      | $423.34       | 0.00%             | 2030-11-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| UMBS, TBA                                         | Uniform Mortgage-Backed Security, TBA                                            | CUSIP: 01F0306A1<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -75680000 | PA      | $-66485914.55 | -3.78%            | 2049-10-10      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| The Montreal Exchange / Bourse De Montreal        | CAN 10YR BOND FUT DEC25                                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        258 | NC      | $470867.93    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| First Help Financial LLC                          | FHF Issuer Trust 2024-1                                                          | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1899880 | PA      | $1916935.58   | 0.11%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| Nelnet Student Loan Trust                         | Nelnet Student Loan Trust 2023-A                                                 | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1155023 | PA      | $1180508.32   | 0.07%             | 2041-02-20      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD EUR                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $35130.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31407JDQ2<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        869 | PA      | $916.45       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FIRSTENERGY PENN ELECTRI                          | FirstEnergy Pennsylvania Electric Co                                             | CUSIP: 708696BZ1<br>LEI: O1PLQWO3TX952VMBJ146 | Long             | DBT              | CORP              | US        |    4300000 | PA      | $4195903.54   | 0.24%             | 2029-06-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31371MSW8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |     111104 | PA      | $117137.46    | 0.01%             | 2036-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| Cordatus CLO PLC                                  | CVC Cordatus Loan Fund XI DAC                                                    | CUSIP: 000000000<br>LEI: 6354003WWBLW5OLHF232 | Long             | ABS-CBDO         | CORP              | IE        |    2933565 | PA      | $3444154.41   | 0.20%             | 2031-10-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| AMER AIRLINE 21-1A EETC                           | American Airlines 2021-1 Class A Pass Through Trust                              | CUSIP: 02379KAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    3990065 | PA      | $3622919.39   | 0.21%             | 2034-07-11      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36225BJG4<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       1199 | PA      | $1244.32      | 0.00%             | 2030-04-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31405EFS9<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |       3356 | PA      | $3481.78      | 0.00%             | 2034-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| Republic of South Africa                          | Republic of South Africa Government Bond                                         | CUSIP: 000000000<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   10160000 | PA      | $539094.61    | 0.03%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| Government National Mortgage Association          | Ginnie Mae I Pool                                                                | CUSIP: 36212HD56<br>LEI: 549300M8ZYFG0OCMTT87 | Long             | ABS-MBS          | USGA              | US        |       5084 | PA      | $5099.86      | 0.00%             | 2030-07-15      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| United States Treasury                            | U.S. Treasury Bonds                                                              | CUSIP: 912810SS8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4200000 | PA      | $2254710.95   | 0.13%             | 2050-11-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED KRW / SOLD USD                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | KR        |          1 | NC      | $-3159.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Deutsche Bank AG                                  | PURCHASED USD / SOLD IDR                                                         | CUSIP: 000000000<br>LEI: 7LTWFZYICNSX8D621K86 | N/A              | DFE              |  | US        |          1 | NC      | $8675.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 31400HFH1<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |        531 | PA      | $539.02       | 0.00%             | 2033-03-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| LCH Ltd.                                          | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                                            | CUSIP: 000000000<br>LEI: F226TOH6YD6XJB17KS62 | N/A              | DIR              |  | US        |    6700000 | OU      | $-35773.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC Bank PLC                                     | PURCHASED USD / SOLD CHF                                                         | CUSIP: 000000000<br>LEI: MP6I5ZYZBEU3UXPYFY54 | N/A              | DFE              |  | US        |          1 | NC      | $-152.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Goldman Sachs Bank USA                            | PURCHASED USD / SOLD BRL                                                         | CUSIP: 000000000<br>LEI: KD3XUN7C6T14HNAYLU02 | N/A              | DFE              |  | US        |          1 | NC      | $-20377.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Freddie Mac                                       | Freddie Mac Pool                                                                 | CUSIP: 3133CCNP7<br>LEI: S6XOOCT0IEG5ABCC6L87 | Long             | ABS-MBS          | USGSE             | US        |     444343 | PA      | $445742.94    | 0.03%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                      | UBS Group AG                                                                     | CUSIP: 902613AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    2800000 | PA      | $2810089.35   | 0.16%             | 2027-01-12      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| Barclays Bank PLC                                 | PURCHASED TRY / SOLD USD                                                         | CUSIP: 000000000<br>LEI: G5GSEF7VJP5I7OUK5573 | N/A              | DFE              |  | TR        |          1 | NC      | $3361.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT AS                            | Nykredit Realkredit A/S                                                          | CUSIP: 000000000<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.20         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | Yes           |                  2 | On Loan: No      |
| MARSH & MCLENNAN COS INC                          | Marsh & McLennan Cos Inc                                                         | CUSIP: 571748BZ4<br>LEI: 549300XMP3KDCKJXIU47 | Long             | DBT              | CORP              | US        |    1900000 | PA      | $1909313.00   | 0.11%             | 2027-11-08      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| Citibank NA                                       | PURCHASED NOK / SOLD USD                                                         | CUSIP: 000000000<br>LEI: E57ODZWZ7FF32TWEFA76 | N/A              | DFE              |  | NO        |          1 | NC      | $-92.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| Fannie Mae                                        | Fannie Mae Pool                                                                  | CUSIP: 3138WAXY8<br>LEI: B1V7KEBTPIMZEU4LTD58 | Long             | ABS-MBS          | USGSE             | US        |      81965 | PA      | $83380.70     | 0.00%             | 2044-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-10-30

**Name of Applicant:** PACIFIC SELECT FUND

**Signature:** Trevor Smith

**Name of Signer:** Trevor Smith

**Title:** Assistant Vice President