# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007250
**Filing Date:** 2026-5
**Character Count:** 639486
**Document Hash:** 2df2975b16d4ab97dc0ef267e5cea945
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007250.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007250

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20260331

**FILED AS OF DATE**: 20260529

**DATE AS OF CHANGE**: 20260529

**PERIOD START**: 20260331

**FILER**: 

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

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05028
- **FILM NUMBER:** 261043437

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

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

## Series and Classes Contracts Data

### PIMCO RAE PLUS Fund (Series ID: S000009681)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026529 | Institutional | PXTIX           |
| C000026531 | A             | PIXAX           |
| C000026532 | C             | PIXCX           |
| C000064135 | I-2           | PIXPX           |
| C000200440 | I-3           | PXTNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

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

- **b. EDGAR series identifier (if any):** S000009681

- **c. LEI of Series:** FI3TYFAC6Z35DQG3Y659

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $3731716970.34

**Total Liabilities:** $2581093431.30

**Net Assets:** $1150623539.04

**Cash Not Reported:** $22900843.57

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -71455.186100 | **1-Year:** 195169.832700 | **5-Year:** 275616.797700 | **10-Year:** 16237.862800 | **30-Year:** -40112.232600

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

- **3-Month:** 10134.402900 | **1-Year:** 14366.618100 | **5-Year:** 51494.215500 | **10-Year:** 9522.487700 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026531 | 4.42%                | 3.42%                | -1.79%               |
| Class ID C000026532 | 4.32%                | 3.44%                | -1.91%               |
| Class ID C000064135 | 4.43%                | 3.47%                | -1.77%               |
| Class ID C000200440 | 4.44%                | 3.48%                | -1.78%               |
| Class ID C000026529 | 4.48%                | 3.45%                | -1.76%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $2394948.87              | $1559437.02                                |
| Month 2  | $2085517.74              | $2016336.56                                |
| Month 3  | $-243069.81              | $-21432967.48                              |

**Designated Index Information**

- **Index Name:** Russell 1000 Value Index

- **Index Identifier:** RLV

### 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   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA PASS THRU POOLS                                              | GNMA POOL AM0064 GN 04/45 FIXED 3.5                     | CUSIP: 36184KB97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       93136 | PA      | $87505.78     | 0.01%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4378.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $451135.38    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $1112.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $27396.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZDA0 PIMCO FPPSWAPTION 4.427 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     3400000 | NC      | $206530.62    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $8210.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5             | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5421 | PA      | $5598.59      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-9139.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA2 1A1        | CUSIP: 55275NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1857478 | PA      | $1444926.77   | 0.13%             | 2046-12-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-64379.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8RA1 PIMCO SWAPTION 3.695 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1500000 | NC      | $-4312.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1327.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S949 PIMCO CDSOPT CALL USD 0.5 20260520            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -123900000 | NC      | $-38252.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4YA2 PIMCO SWAPTION 3.6 CALL USD 20260416          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1300000 | NC      | $-1160.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 821348 FN 05/35 FIXED 6                       | CUSIP: 31406VP91<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18135 | PA      | $18495.83     | 0.00%             | 2035-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $145791.32    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1669.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-7704.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-253.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                     | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1165985 | PA      | $1131255.51   | 0.10%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 809177 FN 01/35 FLOATING VAR                  | CUSIP: 31406F6N6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4720 | PA      | $4777.20      | 0.00%             | 2035-01-01      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-16935.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                             | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2C            | CUSIP: 61749NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      384296 | PA      | $191178.18    | 0.02%             | 2036-08-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20261130                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $40407.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-8240.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-176.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| F&G GLOBAL FUNDING                                                | F+G GLOBAL FUNDING SECURED 144A 01/30 5.875             | CUSIP: 30321L2J0<br>LEI: 6354009CCUKJIZ7KFX73 | Long             | DBT              | CORP              | US        |      200000 | PA      | $202750.37    | 0.02%             | 2030-01-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.52000 03/27/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-18833.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MYR SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-78450.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA RESECURITIZATION TRUST 2018-1R                             | NOMURA RESECURITIZATION TRUST NMRR 2018 1R 3A1 144A     | CUSIP: 65541JAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1521788 | PA      | $1486444.90   | 0.13%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2300.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-489875.35   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8QA2 PIMCO SWAPTION 4.055 PUT USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1500000 | NC      | $-4175.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-235.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $4016.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W3                                     | ARGENT SECURITIES INC. ARSI 2004 W3 A3                  | CUSIP: 040104FW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      473591 | PA      | $512842.72    | 0.04%             | 2034-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-83143.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $30869.27     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $607966.38    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87000 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1273.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $737.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-4058.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                 | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A         | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      211849 | PA      | $216407.35    | 0.02%             | 2041-02-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUXL 30Y BND JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |           1 | NC      | $-1526.83     | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE1                            | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2B         | CUSIP: 81879MAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8133446 | PA      | $3969214.58   | 0.34%             | 2036-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831215 FN 01/36 FIXED 6                       | CUSIP: 31407HN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2194 | PA      | $2296.92      | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $267.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SBB0 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -2085648 | NC      | $-1666.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI8506 FN 08/26 FIXED 4                       | CUSIP: 3138ANNY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1878 | PA      | $1872.93      | 0.00%             | 2026-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3439                                                  | FREDDIE MAC FHR 3439 FN                                 | CUSIP: 31397TAL6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1391 | PA      | $1376.92      | 0.00%             | 2037-02-15      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $1693.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-4872.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $387.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN3073 FN 02/49 FIXED 3.5                     | CUSIP: 3140JKMX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11310 | PA      | $11068.63     | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SBA TOWER TRUST                                                   | SBA TOWER TRUST ASSET BACKED 144A 04/27 1.84            | CUSIP: 78403DAV2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      700000 | PA      | $683274.90    | 0.06%             | 2027-04-15      | Fixed         | 1.84%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                 | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      300000 | PA      | $6751.95      | 0.00%             | 2026-08-19      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS5                              | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS5 A1 144A       | CUSIP: 52475XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      996767 | PA      | $998227.44    | 0.09%             | 2067-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                           | GA GLOBAL FUNDING TRUST SECURED 144A 01/35 5.9          | CUSIP: 36143L2S3<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |      350000 | PA      | $347548.94    | 0.03%             | 2035-01-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                    | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000     | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |     1700000 | PA      | $1331168.00   | 0.12%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC63A1 PIMCO SWAPTION 3.4425 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    16200000 | NC      | $74858.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-19.74       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 AS 144A     | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5900000 | PA      | $5911091.94   | 0.51%             | 2037-02-19      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SECURED 144A 07/30 5.033          | CUSIP: 04685A4R9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     4700000 | PA      | $4653366.46   | 0.40%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $3989.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8CA7 PIMCO SWAPTION 3.899 PUT USD 2026062          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -16100000 | NC      | $-111933.64   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $8156.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040651<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -23000000 | PA      | $-21687567.10 | -1.88%            | 2056-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844532 FN 11/35 FLOATING VAR                  | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8048 | PA      | $8175.81      | 0.00%             | 2035-11-01      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3305 FN 03/48 FIXED 3.5                     | CUSIP: 31418CU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1561130 | PA      | $1450276.76   | 0.13%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2497.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-46721.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.14800 11/20/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-6342.13     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-AR31                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR31 1A1       | CUSIP: 45660LV97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       72227 | PA      | $65646.75     | 0.01%             | 2036-01-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-2038.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9YOA1 PIMCO SWAPTION 4.255 PUT USD 2026080          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    13500000 | NC      | $84504.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-B                               | BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1           | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2826 | PA      | $2415.27      | 0.00%             | 2047-04-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $38899.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                       | REPUBLIC OF PANAMA EUR TERM LOAN 2                      | CUSIP: BA000HCH9<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | NUSS              | IE        |     1000000 | PA      | $1165002.74   | 0.10%             | 2027-04-01      | Floating      | 4.92%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-29036.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH4273 FN 04/41 FIXED 4.5                     | CUSIP: 3138A5XB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2345 | PA      | $2319.87      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XII DAC 12A                                | CORDATUS CLO PLC CORDA 12A ARR 144A                     | CUSIP: ACI378M42<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1500000 | PA      | $1731456.75   | 0.15%             | 2039-01-23      | Floating      | 3.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $5.21         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 02/12/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $22032.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $488.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15             | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1521428.88   | 0.13%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $4696.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-5950.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2024-1 CLASS AA PASS THROUGH TRUST                | UNITED AIR 2024 1 AA PTT PASS THRU CE 08/38 5.45        | CUSIP: 90932WAA1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      375898 | PA      | $384281.62    | 0.03%             | 2038-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-1676.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886891 FN 09/36 FLOATING VAR                  | CUSIP: 31410EKC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6254 | PA      | $6478.28      | 0.00%             | 2036-09-01      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB7792 GN 11/42 FIXED 3.5                     | CUSIP: 36178UUR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      153074 | PA      | $143917.92    | 0.01%             | 2042-11-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI4142 FN 06/41 FIXED 4.5                     | CUSIP: 3138AHS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      156701 | PA      | $155037.28    | 0.01%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 03/58 12                     | CUSIP: ACI2Z8HT4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   133500000 | PA      | $32808.37     | 0.00%             | 2058-03-13      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SNB7 PIMCO CDSOPT PUT USD 101.37500000 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -22400000 | NC      | $-41520.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM2510 GN 03/45 FIXED 3.5                     | CUSIP: 36184MYF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41032 | PA      | $38576.70     | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1298.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC9LA5 PIMCO SWAPTION 4.095 PUT USD 2026040          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    18000000 | NC      | $2876.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-D                               | BANC OF AMERICA FUNDING CORPOR BAFC 2007 D 1A5          | CUSIP: 05952GAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      158396 | PA      | $132466.24    | 0.01%             | 2047-06-20      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 1A2      | CUSIP: 02152AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9704 | PA      | $5850.08      | 0.00%             | 2037-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $2972.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-115                                               | FANNIE MAE FNR 2006 115 ES                              | CUSIP: 31396LT26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1334 | PA      | $1480.88      | 0.00%             | 2036-12-25      | Floating      | 11.45%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $1095.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.70000 03/28/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $11430.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-7801.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $357.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677174 GN 06/38 FIXED 5                       | CUSIP: 36295QJT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10935 | PA      | $11159.61     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $127.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1613.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4.5 JUMBOS                            | CUSIP: 21H042646<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16170000 | PA      | $15623674.88  | 1.36%             | 2056-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MDPKE 14A                                                         | MADISON PARK EURO FUNDING MDPKE 14A A1R 144A            | CUSIP: ACI2289F9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1781966 | PA      | $2057046.42   | 0.18%             | 2032-07-15      | Floating      | 2.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         833 | NC      | $-1720918.40  | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1106.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN BEAR RE LTD SERIES 2026-1                                  | GOLDEN BEAR RE LTD UNSECURED 144A 01/29 VAR             | CUSIP: 38090EAA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      400000 | PA      | $407260.00    | 0.04%             | 2029-01-08      | Floating      | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $1715.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SF+26.161/1.2* 9/16/23-28Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5648902.79   | 0.49%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $220.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBFQA7 PIMCO SWAPTION 3.2675 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    19600000 | NC      | $1.96         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89900 03/11/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-3824.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 12.975 12/16/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-239134.05   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $5642.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $8798.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC30A1 PIMCO SWAPTION 4.088 PUT USD 2026050          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -7100000 | NC      | $-22960.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-24924.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                       | PETROLEOS MEXICANOS COMPANY GUAR 02/48 6.35             | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |      700000 | PA      | $536139.73    | 0.05%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-29716.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | GENERAL ELECTRIC COMPANY SNR S* ICE                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $13567.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | REPUBLIC OF COLOMBIA SR UNSECURED 06/45 5               | CUSIP: 195325CU7<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     1100000 | PA      | $792121.00    | 0.07%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A1A         | CUSIP: 17307GW53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2296 | PA      | $2330.52      | 0.00%             | 2035-05-25      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-24529.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-1136.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.75000 09/16/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-2104274.93  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $593.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX MAIN44 5Y ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $-5541.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-2136.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-215.79      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $617.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ8195 FN 01/48 FIXED 3.5                     | CUSIP: 3140HAC99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7474 | PA      | $6977.46      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                                | FANNIE MAE FNR 2007 96 AF                               | CUSIP: 31396XNT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11942 | PA      | $11970.87     | 0.00%             | 2037-06-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -116 | NC      | $310788.36    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $8851.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2104.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-420532.69   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.07100 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $10151.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.46000 04/01/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-18307.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-127.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CZK BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $632.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5557                                           | FREDDIE MAC FHR 5557 FM                                 | CUSIP: 3137HLZ21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      434558 | PA      | $437096.03    | 0.04%             | 2055-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-54                                         | FANNIE MAE FNR 2025 54 FM                               | CUSIP: 3136BWNW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      425082 | PA      | $427567.44    | 0.04%             | 2055-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-18848.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 5.00000 09/16/26-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-79361.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | REPUBLIC OF COLOMBIA SR UNSECURED 11/54 8.375           | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |     1400000 | PA      | $1449658.00   | 0.13%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.41000 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $7371.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260708                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $31182.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECUR TR 2007-A5                                | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A5 2A5         | CUSIP: 76114HAM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      324320 | PA      | $156727.24    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0049 FR 10/53 FIXED 5               | CUSIP: 3142GQBT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1475363 | PA      | $1460530.83   | 0.13%             | 2053-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-25821.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SF+26.161/1.0* 9/15/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2808326.70   | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UCAEA0 PIMCO SWAPTION 4.219 PUT USD 2026060          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    13100000 | NC      | $45320.76     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-152.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.93300 01/06/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $7844.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $4038.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $3805.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Z8A6 PIMCO SWAPTION 2.972 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1200000 | NC      | $1571.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-18194.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1744.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-429.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-383.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB9                            | CREDIT BASED ASSET SERVICING A CBASS 2006 CB9 A1        | CUSIP: 12465MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17682 | PA      | $8192.09      | 0.00%             | 2036-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-2005-75                                                | FANNIE MAE FNR 2005 75 AF                               | CUSIP: 31394FAF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19540 | PA      | $19386.13     | 0.00%             | 2035-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE8                                              | GSAMP TRUST GSAMP 2006 HE8 A2D                          | CUSIP: 3622M8AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4200000 | PA      | $3735070.08   | 0.32%             | 2037-01-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $12715.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CLP 4.59000 01/09/26-4Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |           1 | NC      | $3604.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04359 FG 06/38 FIXED 5.5             | CUSIP: 3128M6E87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52404 | PA      | $53950.76     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTG SEC 2005-AA6                                | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA6 3A1       | CUSIP: 32051GQA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75790 | PA      | $62446.33     | 0.01%             | 2035-08-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $32.70        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $3460.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $3990.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $18917.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                  | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    27600000 | PA      | $1613583.63   | 0.14%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3355                                                  | FREDDIE MAC FHR 3355 BF                                 | CUSIP: 31397KC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49089 | PA      | $49165.63     | 0.00%             | 2037-08-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBKLA1 PIMCO SWAPTION 3.7625 PUT USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -16700000 | NC      | $-62062.21    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | FED FUND 30DAY    MAY26 XCBT 20260529                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         108 | NC      | $-174225.49   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 1A1       | CUSIP: 92925GAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      117145 | PA      | $108485.45    | 0.01%             | 2036-12-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $6545.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-4181.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO3036 FN 05/42 FIXED 4.5                     | CUSIP: 3138LTLS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       87549 | PA      | $86452.29     | 0.01%             | 2042-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-2805.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-65                                                | FANNIE MAE FNR 2007 65 KF                               | CUSIP: 31396WLX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11221 | PA      | $11118.48     | 0.00%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $90801.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1072.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $340.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                      | BONOS TESORERIA PESOS UNSECURED 144A REGS 09/30 4.7     | CUSIP: ACI13NCW6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   610000000 | PA      | $645193.57    | 0.06%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8         | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      400000 | PA      | $402301.28    | 0.03%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $609330.79    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0383 FN 04/30 FIXED 4.5                     | CUSIP: 31417YM95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4664 | PA      | $4669.62      | 0.00%             | 2030-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-42635.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90750 03/04/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-4981.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88000 01/13/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6187.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2832.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                     | EGYPT TREASURY BILL BILLS 10/26 0.00000                 | CUSIP: ACI3187G8<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |     1150000 | PA      | $18491.32     | 0.00%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.5975 09/28/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1933.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $103.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $12176.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8446 FR 07/54 FIXED 5.5             | CUSIP: 3132DWL35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1290300 | PA      | $1297973.98   | 0.11%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0742 G2 11/55 FIXED 3.5                  | CUSIP: 3618N5ZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11099995 | PA      | $10188825.38  | 0.89%             | 2055-11-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZIA5 PIMCO SWAPTION 2.965 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1200000 | NC      | $1569.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $10295.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $6145.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC7KA0 PIMCO SWAPTION 3.951 PUT USD 2026062          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -14400000 | NC      | $-84173.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-1412.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.00000 09/16/26-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $985952.40    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1688.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                      | ROMANIA SR UNSECURED REGS 07/39 6.75                    | CUSIP: ACI2W14X7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     2100000 | PA      | $2427528.19   | 0.21%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                           | GSG BIDCO LTD SR SECURED 144A 06/31 4.7                 | CUSIP: ACI38RGT1<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |     1200000 | PA      | $1375931.04   | 0.12%             | 2031-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QZ5154 FR 10/55 FIXED 6               | CUSIP: 31427CWQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      886834 | PA      | $908698.26    | 0.08%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-584.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-17.95       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CZK BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-1262.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $2088.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL5265 GN 02/45 FIXED 3.5                     | CUSIP: 36184BZ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       73031 | PA      | $68660.18     | 0.01%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROSS 2024-H6 MORTGAGE TRUST                                      | CROSS MORTGAGE TRUST CROSS 2024 H6 A1 144A              | CUSIP: 227919AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3110845 | PA      | $3113464.53   | 0.27%             | 2069-09-25      | Fixed         | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-3774.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 848226 FN 11/35 FIXED 6                       | CUSIP: 31408DLF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8214 | PA      | $8519.81      | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $410.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-470.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $7264.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX HY46 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $133859.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 144A 04/31 VAR                | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      250000 | PA      | $244667.29    | 0.02%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-149027.10   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         415 | NC      | $-625582.91   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5GA1 PIMCO FPPSWAPTION 4.11 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    37100000 | NC      | $2381163.33   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $4775.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-74                                         | FANNIE MAE FNR 2025 74 FB                               | CUSIP: 3136BXEJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7295025 | PA      | $7357038.27   | 0.64%             | 2055-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $2287.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBAMR 2019-9A                                                     | CBAMR LTD CBAMR 2019 9A AR 144A                         | CUSIP: 14987VAN9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3300000 | PA      | $3308548.55   | 0.29%             | 2037-07-15      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-16IP                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 16IP A1        | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2701 | PA      | $2030.43      | 0.00%             | 2045-07-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $195.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $14238.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD0938 FN 04/39 FIXED VAR                     | CUSIP: 31418NBG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3218 | PA      | $3377.67      | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735962 FN 10/35 FLOATING VAR                  | CUSIP: 31402RTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3332 | PA      | $3400.71      | 0.00%             | 2035-10-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $25.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-I                               | BANC OF AMERICA FUNDING CORPOR BAFC 2006 I 6A1          | CUSIP: 05951VAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       61222 | PA      | $55769.59     | 0.00%             | 2046-12-20      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2007-4                             | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 4 2A1         | CUSIP: 41164YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      162225 | PA      | $158484.54    | 0.01%             | 2037-07-19      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H030658<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -36100000 | PA      | $-32205703.84 | -2.80%            | 2056-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-38798.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD HUF BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-4186.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-625.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677192 GN 06/38 FIXED 5                       | CUSIP: 36295QKD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47931 | PA      | $48917.29     | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $12833.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASEFLEX TRUST 2007-3                                            | CHASEFLEX TRUST CFLX 2007 3 2A1                         | CUSIP: 16165AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      337382 | PA      | $299359.96    | 0.03%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 906745 FN 01/37 FIXED 5.5                     | CUSIP: 31411FL28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1963 | PA      | $2002.11      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                               | CAPE LOOKOUT RE LTD UNSECURED 144A 03/32 VAR            | CUSIP: 13947LAG7<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      550000 | PA      | $574145.00    | 0.05%             | 2032-03-13      | Floating      | 10.41%                | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $44350.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     5100000 | NC      | $295007.46    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-16586.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-7                               | BANC OF AMERICA FUNDING CORPOR BAFC 2006 7 T2A7         | CUSIP: 05951KBD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1401312 | PA      | $1267976.90   | 0.11%             | 2036-10-25      | Variable      | 6.41%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032641<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -5030000 | PA      | $-4611898.40  | -0.40%            | 2056-04-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1378.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                   | AVON FINANCE AVON 4A A 144A                             | CUSIP: ACI2JTXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2380708 | PA      | $3153636.79   | 0.27%             | 2049-12-28      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A81326 FG 08/38 FIXED 5.5             | CUSIP: 312927PK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1421 | PA      | $1454.57      | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                              | GSAMP TRUST GSAMP 2007 NC1 A2C                          | CUSIP: 3622MGAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28192 | PA      | $13989.18     | 0.00%             | 2046-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 697573 GN 11/38 FIXED 5                       | CUSIP: 36296P6J5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11162 | PA      | $11401.15     | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-3675.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XV LTD                                     | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 15A A1R 144A      | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1344139 | PA      | $1346397.41   | 0.12%             | 2032-10-23      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-C                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1B 144A      | CUSIP: 83207DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      343074 | PA      | $346845.15    | 0.03%             | 2052-11-15      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-14713.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERUSAHAAN PERSEROAN (PERSERO) PT PERUSAHAAN LISTRIK NEGARA       | PERUSAHAAN LISTRIK NEGAR SR UNSECURED REGS 05/27 4.125  | CUSIP: 71568QAC1<br>LEI: 254900OYVDRYS9J51J61 | Long             | DBT              | CORP              | ID        |      800000 | PA      | $794736.80    | 0.07%             | 2027-05-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-13150.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-17805.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.50000 09/16/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-9403.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -19000000 | NC      | $-7676.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AH7263 GN 01/45 FIXED 3.5                     | CUSIP: 36182QB88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       86840 | PA      | $81591.28     | 0.01%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ4826 FR 09/55 FIXED 5.5             | CUSIP: 3142GVLG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2686924 | PA      | $2740218.21   | 0.24%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $1404.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-743.44      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3181                                                  | FREDDIE MAC FHR 3181 PS                                 | CUSIP: 31396URJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       60633 | PA      | $5835.66      | 0.00%             | 2036-07-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $44465.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                    | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS            | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        1125 | PA      | $1487.78      | 0.00%             | 2044-06-15      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-44501.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-32                               | FHLMC STRUCTURED PASS THROUGH FSPC T 32 A1              | CUSIP: 3133TSQG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9890 | PA      | $9918.25      | 0.00%             | 2031-08-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    19000000 | NC      | $28918.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BELLA VISTA MORTGAGE TRUST 2005-1                                 | BELLA VISTA MORTGAGE TRUST BVMBS 2005 1 1A1             | CUSIP: 07820QBL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      444849 | PA      | $429917.61    | 0.04%             | 2045-01-22      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03936 FG 01/38 FIXED 5.5             | CUSIP: 3128M5V56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         548 | PA      | $566.66       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $1045.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-14531.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $61.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                   | POLESTAR RE LTD UNSECURED 144A 01/29 VAR                | CUSIP: 73110JAE2<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $249975.00    | 0.02%             | 2029-01-08      | Floating      | 12.66%                | No            |                  2 | On Loan: No      |
| N/A                                                               | 3MO EURO EURIBOR  JUN27 IFLL 20270614                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         -13 | NC      | $23837.48     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | AUST 10Y BOND FUT JUN26 XSFE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         181 | NC      | $-82496.33    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| BRAZIL GOVT                                                       | LETRA TESOURO NACIONAL BILLS 10/26 0.00000              | CUSIP: ACI2Q7PM2<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    74400000 | PA      | $13456025.35  | 1.17%             | 2026-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A57563 FG 02/37 FIXED 5.5             | CUSIP: 3128KLML8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4831 | PA      | $4992.90      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN 2006-1                                 | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 1 A5           | CUSIP: 83611MKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112056 | PA      | $106373.49    | 0.01%             | 2036-02-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $2827.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-1357.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                             | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $99798.72     | 0.01%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $21230.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                 | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      400000 | PA      | $9001.43      | 0.00%             | 2026-05-20      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $1.75         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $14998.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2469 FR 09/55 FIXED 5.5             | CUSIP: 31427PW75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3164102 | PA      | $3226856.94   | 0.28%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $108.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH7058 FN 12/47 FIXED 3.5                     | CUSIP: 3140GVZY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1156661 | PA      | $1078840.19   | 0.09%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC0UA4 PIMCO SWAPTION 3.3 CALL USD 20260602          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    13500000 | NC      | $30659.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $2412.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H09 FA          | CUSIP: 38380LFE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       72464 | PA      | $73898.19     | 0.01%             | 2068-04-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1635.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $383.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $610.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $3635.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 06/20/24-2Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4668.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH7630 FN 07/26 FIXED 4                       | CUSIP: 3138A9PQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         124 | PA      | $123.92       | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-E                                    | FREMONT HOME LOAN TRUST FHLT 2005 E 2A4                 | CUSIP: 35729PNC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24344 | PA      | $23770.36     | 0.00%             | 2036-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZWA9 PIMCO SWAPTION 3.239 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      800000 | NC      | $2300.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-3                                  | NOVASTAR HOME EQUITY LOAN NHEL 2006 3 A2C               | CUSIP: 66988WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      211269 | PA      | $96912.12     | 0.01%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 4.70000 03/23/31-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $25.71        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $135.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2029.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -10400000 | NC      | $-4212.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SF+26.161/2.50 9/20/23-4Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $85923.22     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ4828 FR 09/55 FIXED 5.5             | CUSIP: 3142GVLJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1850418 | PA      | $1892822.56   | 0.16%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $1615.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1423832.02   | 0.12%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-326.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-160327.81   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1952.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-829.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060659<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    31550000 | PA      | $32124057.93  | 2.79%             | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/45 4.875                             | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      346000 | PA      | $344945.78    | 0.03%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.52 03/27/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $28034.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     3400000 | NC      | $201439.46    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5IA9 PIMCO FPPSWAPTION 3.1625 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   733800000 | NC      | $4548972.96   | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-3                                     | SEQUOIA MORTGAGE TRUST SEMT 2007 3 1A1                  | CUSIP: 81744MAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       73376 | PA      | $63202.53     | 0.01%             | 2036-07-20      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 05/42 9.25                   | CUSIP: ACI22YPY3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   373500000 | PA      | $76315.54     | 0.01%             | 2042-05-28      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-73.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB6502 FN 07/54 FIXED 6.5                     | CUSIP: 3140AGGL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1441431 | PA      | $1514039.73   | 0.13%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAAMA3 PIMCO FPPSWAPTION 4.11 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    12900000 | NC      | $827951.67    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $2480.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $3672.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1871.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $1968.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $525.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI2963 FN 05/26 FIXED 4                       | CUSIP: 3138AGJH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          60 | PA      | $59.39        | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SJX4 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     2450000 | NC      | $14339.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $4388.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 4 LTD 2016-4A                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 4A AR 144A     | CUSIP: 03329TAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      400000 | PA      | $381817.13    | 0.03%             | 2039-04-27      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-13                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 13 A1         | CUSIP: 02150MAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3258381 | PA      | $1629198.09   | 0.14%             | 2047-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-202806.41   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKH7 PIMCO CDSOPT CALL USD 102.31250000 2          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -10400000 | NC      | $-2214.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20261217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $7599.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3238 FN 01/48 FIXED 3.5                     | CUSIP: 31418CS47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1025037 | PA      | $953599.35    | 0.08%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2.18        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.53000 04/23/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $14796.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $32329.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 B 144A      | CUSIP: 55284AAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4600000 | PA      | $4605218.88   | 0.40%             | 2036-10-16      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $473.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $1156.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO0771 FN 04/42 FIXED 4.5                     | CUSIP: 3138LQ2D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       65031 | PA      | $64178.41     | 0.01%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $11966.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 646088 GN 12/36 FIXED 5                       | CUSIP: 36292DXR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         255 | PA      | $254.02       | 0.00%             | 2036-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $9160.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-28621.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-124                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 124 HF          | CUSIP: 38381PHD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1559361 | PA      | $1573365.24   | 0.14%             | 2055-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.06300 12/06/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-4856.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030660<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1950000 | PA      | $1710164.78   | 0.15%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 716813 GN 04/39 FIXED 5                       | CUSIP: 3620A2K21<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49079 | PA      | $49714.63     | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060667<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   125500000 | PA      | $127744276.34 | 11.10%            | 2056-06-11      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $13413.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACRES COMMERCIAL REALTY 2026-FL4 ISSUER LLC                       | ACRES PLC ACRES 2026 FL4 A 144A                         | CUSIP: 00501XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     3400000 | PA      | $3397809.55   | 0.30%             | 2044-08-18      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-86.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 815195 FN 05/35 FLOATING VAR                  | CUSIP: 31406NUU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         340 | PA      | $346.10       | 0.00%             | 2035-05-01      | Floating      | 6.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.81000 01/02/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1090.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $347102.85    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                        | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M4         | CUSIP: 17307GWU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4687000 | PA      | $4566821.10   | 0.40%             | 2035-09-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA - PETROPERU SA                              | PETROLEOS DEL PERU SA SR UNSECURED REGS 06/47 5.625     | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |     1500000 | PA      | $1053900.00   | 0.09%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 605266 GN 06/34 FIXED 5                       | CUSIP: 36200NMP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1292 | PA      | $1303.96      | 0.00%             | 2034-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $836.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $15881.17     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-473.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-3027.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB7799 FN 01/54 FIXED 6.5                     | CUSIP: 3140QTUZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2670177 | PA      | $2814477.10   | 0.24%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $804.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                        | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7    | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |      700000 | PA      | $214029.14    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2026-21                                         | FANNIE MAE FNR 2026 21 YF                               | CUSIP: 3136G5FC9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    34500000 | PA      | $34402520.25  | 2.99%             | 2055-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2.17         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735805 FN 07/35 FLOATING VAR                  | CUSIP: 31402RNW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3286 | PA      | $3333.81      | 0.00%             | 2035-07-01      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-17676.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA1729 FN 11/28 FIXED 4                       | CUSIP: 31418A4P0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16725 | PA      | $16638.11     | 0.00%             | 2028-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A69653 FG 12/37 FIXED 5.5             | CUSIP: 3128L1WN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14615 | PA      | $15052.00     | 0.00%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THROUGH SEC T-63                            | FHLMC STRUCTURED PASS THROUGH FSPC T 63 1A1             | CUSIP: 31395M2F5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6490 | PA      | $6342.06      | 0.00%             | 2045-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $16995.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-8075.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A3       | CUSIP: 83612NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133816 | PA      | $35525.83     | 0.00%             | 2037-02-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                 | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFX 144A         | CUSIP: 64032PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      211849 | PA      | $219146.16    | 0.02%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $3092.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1041.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                  | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    37580000 | PA      | $2081471.72   | 0.18%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-7386.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.60500 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3120.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-10CB                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 10CB 1A1      | CUSIP: 12667GAW3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2338064 | PA      | $1710305.64   | 0.15%             | 2035-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-16                                    | COUNTRYWIDE HOME LOANS CWHL 2004 16 1A1                 | CUSIP: 12669FW82<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24853 | PA      | $24348.76     | 0.00%             | 2034-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     3300000 | NC      | $186974.70    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-16452.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.00000 09/16/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-1266430.84  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2023-2             | FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2023 2 A2 144A      | CUSIP: 35104AAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      110828 | PA      | $110972.30    | 0.01%             | 2028-05-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | AUST 3YR BOND FUT JUN26 XSFE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -26 | NC      | $5014.14      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | 317UBYBA2 PIMCO SWAPTION 3.967 PUT USD 2026050          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -12000000 | NC      | $-71102.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBRFA3 PIMCO FPPSWAPTION 4.296 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     6500000 | NC      | $514982.00    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH6301 FN 05/26 FIXED 4                       | CUSIP: 3138A8AB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         103 | PA      | $102.45       | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $2825.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A67434 FG 11/37 FIXED 6               | CUSIP: 3128KYHK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47560 | PA      | $49711.30     | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-2210.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBSFA1 PIMCO SWAPTION 3.449 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    18200000 | NC      | $129.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONAL HEALTH INVS INC                                          | NATIONAL HEALTH INVESTOR COMPANY GUAR 02/33 5.35        | CUSIP: 63633DAG9<br>LEI: 549300ZPKZIG6DKDEC02 | Long             | DBT              | CORP              | US        |      100000 | PA      | $98456.75     | 0.01%             | 2033-02-01      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.59500 08/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $9900.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A19022 FG 02/34 FIXED 6               | CUSIP: 31296UAX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       93864 | PA      | $95842.37     | 0.01%             | 2034-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $14206.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                 | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1         | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13920 | PA      | $13636.35     | 0.00%             | 2034-10-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2          | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A4       | CUSIP: 46628TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60477 | PA      | $28484.48     | 0.00%             | 2036-07-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $260.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-592.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-484.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $7775.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-14339.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $424474.02    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-355.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                             | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 2A1         | CUSIP: 007036TD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90498 | PA      | $71115.70     | 0.01%             | 2036-01-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 06/21/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $387461.71    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AO8051 FN 06/42 FIXED 4.5                     | CUSIP: 3138LY5M5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3458 | PA      | $3414.47      | 0.00%             | 2042-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $3936.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAUSA3 PIMCO SWAPTION 3.674 PUT USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1600000 | NC      | $-13076.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $7137.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1LA4 PIMCO SWAPTION 3.317 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      600000 | NC      | $2266.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H040640<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    36570000 | PA      | $34262019.76  | 2.98%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                 | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 AS 144A    | CUSIP: 78485KAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9100000 | PA      | $9082314.24   | 0.79%             | 2038-11-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.47000 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $13034.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/16/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $303753.24    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| BDS 2025-FL14 LLC                                                 | BDS LTD BDS 2025 FL14 AS 144A                           | CUSIP: 072921AC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5250000 | PA      | $5233672.55   | 0.45%             | 2042-10-17      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-139122.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $6094.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     3300000 | NC      | $181682.82    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-22323.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 840680 FN 09/35 FIXED 6                       | CUSIP: 31407T6R6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       45887 | PA      | $47369.46     | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $9987.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-7540.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTEGRITY RE III LTD                                              | INTEGRITY RE III UNSECURED 144A 06/27 VAR               | CUSIP: 45870GAC0<br>LEI: 254900VWHVNG2WMBWC74 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $255625.00    | 0.02%             | 2027-06-06      | Floating      | 13.26%                | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                               | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 2A        | CUSIP: 939355AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      135113 | PA      | $129000.52    | 0.01%             | 2047-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1021.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-159                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 159 FJ          | CUSIP: 38381U6P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8234552 | PA      | $8275586.08   | 0.72%             | 2055-09-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                          | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 3A1       | CUSIP: 94985GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       66599 | PA      | $58864.83     | 0.01%             | 2037-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-OAT FUTURE   JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -514 | NC      | $2237374.53   | 0.19%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $21793.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.70000 02/20/24-25Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $771929.03    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782562 GN 02/39 FIXED 5                       | CUSIP: 36241KZ35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         398 | PA      | $405.62       | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $6991.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WINSTON RE LTD                                                    | WINSTON RE LTD UNSECURED 144A 02/28 VAR                 | CUSIP: 975660AC5<br>LEI: 2549001Q4VX5Y31QFJ88 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $255800.00    | 0.02%             | 2028-02-21      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                               | SUMITOMO MITSUI FINL GRP SUMITOMO MITSUI FINL GRP       | CUSIP: 86562MDP2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |      300000 | PA      | $307580.82    | 0.03%             | 2034-07-09      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 934562 FN 08/38 FIXED 5.5                     | CUSIP: 31412TWX7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49993 | PA      | $50972.22     | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $3358.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 7.35        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      300000 | PA      | $309721.51    | 0.03%             | 2027-11-04      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2006-1                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 1 MV1           | CUSIP: 126670TW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      797670 | PA      | $783132.86    | 0.07%             | 2036-05-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI4855 FN 06/26 FIXED 4                       | CUSIP: 3138AJMD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         994 | PA      | $991.11       | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 763752 FN 01/34 FIXED 5.5                     | CUSIP: 31404BQD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4299 | PA      | $4344.64      | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-548.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1744.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $70142.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $436.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.69116 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $25191.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $997.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3136                                                  | FREDDIE MAC FHR 3136 NS                                 | CUSIP: 31396NH41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4837 | PA      | $432.38       | 0.00%             | 2036-04-15      | Floating      | 2.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888129 FN 02/37 FIXED VAR                     | CUSIP: 31410FVW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      161344 | PA      | $166590.38    | 0.01%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA48A3 PIMCO FPPSWAPTION 4.628 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    14200000 | NC      | $791881.46    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                               | CAPE LOOKOUT RE LTD UNSECURED 144A 03/33 VAR            | CUSIP: 13947LAJ1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00    | 0.02%             | 2033-03-21      | Floating      | 9.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $14207.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPE LOOKOUT RE LTD                                               | CAPE LOOKOUT RE LTD UNSECURED 144A 03/33 VAR            | CUSIP: 13947LAH5<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00    | 0.02%             | 2033-03-21      | Floating      | 8.76%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                           | FREDDIE MAC FHR 5517 FH                                 | CUSIP: 3137HKGL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1725337 | PA      | $1738830.20   | 0.15%             | 2055-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI5057 FN 07/26 FIXED 4                       | CUSIP: 3138AJTP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          34 | PA      | $33.58        | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1      | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1333403 | PA      | $1348457.66   | 0.12%             | 2045-12-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $2083.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $5369.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                 | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    49900000 | PA      | $1118964.59   | 0.10%             | 2028-05-17      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-734.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $703.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SF+26.161/0.9* 8/15/23-13Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1448813.13   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-7706.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-303.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $96.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85400 12/29/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-4716.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A         | CUSIP: 92927BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27596 | PA      | $23560.85     | 0.00%             | 2047-07-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-37249.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AK9707 GN 02/45 FIXED 3.5                     | CUSIP: 36183TYC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      162107 | PA      | $152308.11    | 0.01%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB3010 FN 05/26 FIXED 4                       | CUSIP: 31416YKY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         161 | PA      | $160.99       | 0.00%             | 2026-05-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DB3603 FN 05/54 FIXED 6.5                     | CUSIP: 3140ADAD3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      560879 | PA      | $589467.55    | 0.05%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                       | LETRA TESOURO NACIONAL BILLS 07/26 0.00000              | CUSIP: ACI2CRX85<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |    46100000 | PA      | $8618982.59   | 0.75%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ3573 FR 02/55 FIXED 6.5             | CUSIP: 3142GT6K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1107426 | PA      | $1157627.40   | 0.10%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CCA VINTAGE 2026  DEC26 IFED 20261224                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         145 | NC      | $-648948.13   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8464 FR 09/54 FIXED 6.5             | CUSIP: 3132DWMM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16294397 | PA      | $16857207.86  | 1.47%             | 2054-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO XIII DAC 13A                                           | ARBOUR CLO ARBR 13A AR 144A                             | CUSIP: ACI38J3K2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4600000 | PA      | $5300896.48   | 0.46%             | 2038-08-15      | Floating      | 3.15%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-99                                                | FANNIE MAE FNR 2009 99 FC                               | CUSIP: 31398F4R9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7141 | PA      | $7190.26      | 0.00%             | 2039-12-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-11299.54    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-1271.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $2628.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) JUN26 XCBT 20260630                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        1592 | NC      | $-1375956.73  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |    16980232 | PA      | $166660975.83 | 14.48%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-21684.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SJW6 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -2450000 | NC      | $-4833.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-33037.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-674.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX HY44 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $5935.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOFI PROFESSIONAL LOAN PROGRAM LLC 2020-A                         | SOCIAL PROFESSIONAL LOAN PROGR SOFI 2020 A A2FX 144A    | CUSIP: 83406TAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1033397 | PA      | $999140.76    | 0.09%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-4136.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.61000 03/24/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-19133.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 2A3        | CUSIP: 12667GN58<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1021247 | PA      | $952443.65    | 0.08%             | 2035-08-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $920.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS1185 FN 09/41 FIXED 4.5                     | CUSIP: 3138WAJ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19563 | PA      | $19249.79     | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-77                                         | FANNIE MAE FNR 2024 77 FM                               | CUSIP: 3136BTRF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2274865 | PA      | $2279947.13   | 0.20%             | 2054-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-102.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $9416.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRION SQUARE RESIDENTIAL 2024-1 DAC24-1A                        | MERRION SQUARE RESIDENTIAL MERRI 2024 1A A 144A         | CUSIP: ACI2PXBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |     3183768 | PA      | $3690653.07   | 0.32%             | 2081-03-24      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-786.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $5360.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN0508 FN 09/48 FIXED 3.5                     | CUSIP: 3140JGR64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5603 | PA      | $5218.62      | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-553009.26   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-37588.14    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.28000 11/22/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-5619.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3816                                           | FREDDIE MAC FHR 3816 HN                                 | CUSIP: 3137A6R46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       64158 | PA      | $64374.91     | 0.01%             | 2041-01-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKO2 PIMCO CDSOPT PUT USD 0.85 20260520            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -21500000 | NC      | $-17472.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 763877 GN 09/43 FIXED 3.5                     | CUSIP: 36176EM24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      115996 | PA      | $109055.24    | 0.01%             | 2043-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-292.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841775 FN 09/35 FLOATING VAR                  | CUSIP: 31407VFQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9718 | PA      | $10028.53     | 0.00%             | 2035-09-01      | Floating      | 6.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-813.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.01300 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $15843.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-15740.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-A                               | BANC OF AMERICA FUNDING CORPOR BAFC 2004 A 1A3          | CUSIP: 06051GAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         314 | PA      | $322.03       | 0.00%             | 2034-09-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $606.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $668.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260421                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1248.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260618                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $4439.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SON0 PIMCO CDSOPT CALL USD 94.23437500 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -6100000 | NC      | $-20405.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03156 FG 08/37 FIXED 5.5             | CUSIP: 3128M4ZV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         811 | PA      | $838.76       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS9843 FN 11/54 FIXED VAR                     | CUSIP: 3140XR5D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1953287 | PA      | $2059445.06   | 0.18%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $1437.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-4141.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM0874 GN 04/45 FIXED 3.5                     | CUSIP: 36184K6K8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       76899 | PA      | $72251.55     | 0.01%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1361.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3854.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-11639.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 838769 FN 09/35 FLOATING VAR                  | CUSIP: 31407R2A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6544 | PA      | $6729.30      | 0.00%             | 2035-09-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                           | FREDDIE MAC FHR 5513 MF                                 | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3321720 | PA      | $3343516.54   | 0.29%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD5901 FR 04/54 FIXED 6.5             | CUSIP: 3132DTRW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1785041 | PA      | $1883726.26   | 0.16%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $19339.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $14255.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-278.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA0888 FN 09/26 FIXED 4                       | CUSIP: 31417Y7A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2585 | PA      | $2577.65      | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA9080 FR 05/53 FIXED 6.5             | CUSIP: 3133KRCR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      277775 | PA      | $292865.21    | 0.03%             | 2053-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                           | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1          | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23171 | PA      | $23062.87     | 0.00%             | 2036-10-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| OCEAN TRAILS CLO X 2020-10A                                       | OCEAN TRAILS CLO OCTR 2020 10A BR2 144A                 | CUSIP: 67516CAY5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2002000.88   | 0.17%             | 2034-10-15      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $15517.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-25276.06    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-3.47        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SB46 PIMCO CDSOPT PUT USD 0.65 20260617            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |    67300000 | NC      | $161216.48    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-17                                         | FANNIE MAE FNR 2011 17 KS                               | CUSIP: 31397QZU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      107119 | PA      | $10091.99     | 0.00%             | 2041-03-25      | Floating      | 2.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-2057.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MA2391 G2 11/44 FLOATING VAR               | CUSIP: 36179QUQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24383 | PA      | $24913.21     | 0.00%             | 2044-11-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCJ2 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     1304352 | NC      | $4162.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 07/46 11.5                   | CUSIP: ACI2Q1VT3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   248500000 | PA      | $59949.40     | 0.01%             | 2046-07-25      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260428                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1420.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $13346.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $1088.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $562.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.42000 03/07/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-10747.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-35976.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.9255 05/08/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-7553.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB1                           | SPECIALTY UNDERWRITING + RESID SURF 2006 AB1 A4         | CUSIP: 84751PKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      416696 | PA      | $408098.76    | 0.04%             | 2036-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 03/18/26-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-86515.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0195 FR 11/53 FIXED 6.5             | CUSIP: 3142GQGD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6023428 | PA      | $6314488.23   | 0.55%             | 2053-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-4515.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 123 LIGHTS RE LTD                                                 | 123 LIGHTS RE LTD UNSECURED 144A 09/31 VAR              | CUSIP: 68302QAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $258062.50    | 0.02%             | 2031-09-14      | Floating      | 14.51%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KZT BOUGHT USD 20260604                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-9927.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-1047.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA0713 FN 07/54 FIXED VAR                     | CUSIP: 3140W0YK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1293975 | PA      | $1360091.27   | 0.12%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-111                                               | FANNIE MAE FNR 2009 111 FE                              | CUSIP: 31398GRA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3761 | PA      | $3776.64      | 0.00%             | 2040-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 3A1         | CUSIP: 863579VM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32823 | PA      | $28588.41     | 0.00%             | 2035-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKX2 PIMCO CDSOPT CALL USD 0.55 20260617           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -16700000 | NC      | $-19419.26    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-4737.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-10343.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7277 FR 08/54 FIXED 6.5             | CUSIP: 3132DVCN3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2140909 | PA      | $2259863.34   | 0.20%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745516 FN 05/36 FIXED VAR                     | CUSIP: 31403DGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17519 | PA      | $18088.38     | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 14.0087 05/12/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-9948.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $15855.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-92992.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $24313.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17             | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL17 AS 144A    | CUSIP: 55287HAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5800000 | PA      | $5785750.39   | 0.50%             | 2040-02-18      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5HA0 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    28400000 | NC      | $1608263.60   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP CBK                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $1036922.96   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A7       | CUSIP: 02146TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      123322 | PA      | $63812.79     | 0.01%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $6376.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.28000 03/04/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $18670.16     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $546.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-15226.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A4          | CUSIP: 55275RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      272476 | PA      | $130008.27    | 0.01%             | 2036-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0ZA1 PIMCO SWAPTION 3.2975 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      600000 | NC      | $2091.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-2773.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 848223 FN 11/35 FIXED 6                       | CUSIP: 31408DLC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37188 | PA      | $38923.40     | 0.00%             | 2035-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $2127.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $76514.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     9500000 | NC      | $14459.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CLP 4.71000 01/14/26-5Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |           1 | NC      | $5332.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD5620 GN 04/43 FIXED 3.5                     | CUSIP: 36180HG51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6183 | PA      | $5809.12      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $19038.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                              | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3B         | CUSIP: 59024FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      427755 | PA      | $98931.41     | 0.01%             | 2037-03-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA38A5 PIMCO SWAPTION 3.325 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      600000 | NC      | $2372.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-9824.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SAUDI ARABIA GOVT EM SP BRC                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-16679.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCV5 PIMCO CDSOPT PUT USD 103.53125000 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -3200000 | NC      | $-3245.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-14145.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO III DAC 3A                                       | INVESCO EURO CLO INVSC 3A AR                            | CUSIP: ACI2Q9953<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1500000 | PA      | $1732908.44   | 0.15%             | 2038-10-30      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88400 03/25/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-4534.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-1089.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $45275.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.97500 03/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-13243.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR13 A1A1      | CUSIP: 92922F4M7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7211 | PA      | $7027.66      | 0.00%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                     | EGYPT GOVERNMENT BOND BONDS 10/30 19.698                | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |    76600000 | PA      | $1379825.45   | 0.12%             | 2030-10-14      | Fixed         | 19.70%                | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.52000 04/09/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $12111.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $90.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARMOR RE II LTD                                                   | ARMOR RE II LTD UNSECURED 144A 01/32 VAR                | CUSIP: 04227FAF2<br>LEI: 549300X573KDIHEJL317 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $265075.00    | 0.02%             | 2032-01-07      | Floating      | 12.04%                | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE0391 GN 04/45 FIXED 3.5                     | CUSIP: 36180SNG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5511 | PA      | $5180.79      | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAN1A8 PIMCO SWAPTION 4.082 PUT USD 2027010          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   137700000 | NC      | $212484.87    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC SR UNSECURED 11/33 VAR                     | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     1500000 | PA      | $1677914.39   | 0.15%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 775982 FN 07/34 FLOATING VAR                  | CUSIP: 31404RCT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10797 | PA      | $11006.80     | 0.00%             | 2034-07-01      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $9231.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-118                                               | FANNIE MAE FNR 2006 118 A1                              | CUSIP: 31396L4R8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14635 | PA      | $14310.36     | 0.00%             | 2036-12-25      | Floating      | 3.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-900.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-4814.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3       | DEUTSCHE ALT A SECURITIES INC DBALT 2007 3 2A1          | CUSIP: 25151KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170502 | PA      | $134173.83    | 0.01%             | 2047-10-25      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9YNA2 PIMCO SWAPTION 3.505 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    13500000 | NC      | $79242.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AK6724 GN 01/45 FIXED 3.5                     | CUSIP: 36183QPH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       46595 | PA      | $43779.97     | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05852 FG 03/39 FIXED 5.5             | CUSIP: 3128M7ZR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23949 | PA      | $24655.76     | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-41663.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-7220.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.24000 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $17536.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1896.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04913 FG 03/38 FIXED 5               | CUSIP: 3128M6YJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      629313 | PA      | $637129.58    | 0.06%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                       | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/28 3             | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      800000 | PA      | $774437.60    | 0.07%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555800 FN 10/33 FIXED VAR                     | CUSIP: 31385XNR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         129 | PA      | $131.64       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2005-HE9               | BEAR STEARNS ASSET BACKED SECU BSABS 2005 HE9 M2        | CUSIP: 073879R59<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      420344 | PA      | $422217.37    | 0.04%             | 2035-10-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SO42 PIMCO CDSOPT PUT USD 96.85937500 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -20000000 | NC      | $-452.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 12/17/25-2Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $668.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $14202.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-6804.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    24660000 | PA      | $23776810.73  | 2.07%             | 2056-05-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.32 05/08/25-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-10711.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD9367 FN 09/30 FIXED 4.5                     | CUSIP: 31418XMR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      171535 | PA      | $171234.40    | 0.01%             | 2030-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     3400000 | NC      | $174569.60    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CITRUS RE LTD                                                     | CITRUS RE LTD UNSECURED 144A 06/33 VAR                  | CUSIP: 177510AT1<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |      500000 | PA      | $500000.00    | 0.04%             | 2033-06-07      | Floating      | 9.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-5702.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA39A4 PIMCO SWAPTION 3.075 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1300000 | NC      | $2596.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-44313.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260414                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1346.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                 | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1A 144A         | CUSIP: 64035UAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3587173 | PA      | $3551400.30   | 0.31%             | 2065-06-22      | Fixed         | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSLT TRS EQUITY SOFR+72 *BULLET* JPM                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $69009674.68  | 6.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $4027.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-68                                         | FANNIE MAE FNR 2025 68 FA                               | CUSIP: 3136BWL46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4085394 | PA      | $4117463.95   | 0.36%             | 2055-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLT0 PIMCO CDSOPT CALL USD 98.20703125 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -13000000 | NC      | $-34377.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-20151.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-8                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 8 2A4           | CUSIP: 045427AD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5765885 | PA      | $5517421.73   | 0.48%             | 2046-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $20577.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-86072.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $471.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-5879.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2978.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1401.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AG7215 GN 04/45 FIXED 3.5                     | CUSIP: 36182CAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       72335 | PA      | $68005.96     | 0.01%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $2738.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ICE 3MTH SONIA FU MAR27 IFLL 20270615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         341 | NC      | $157551.96    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ2                               | PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M5             | CUSIP: 70069FEM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3358849 | PA      | $3147291.61   | 0.27%             | 2035-02-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1249.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | JPN 10Y BOND(OSE) JUN26 XOSE 20260615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         -49 | NC      | $488328.06    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.40750 09/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $15455.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                             | WELLS FARGO + COMPANY WELLS FARGO + COMPANY             | CUSIP: ACI2Q2RG4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1279821.44   | 0.11%             | 2032-07-22      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-597.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| QUERCUS RE DESIGNATED ACTIVITY COMPANY                            | QUERCUS RE DAC BONDS 144A 01/31 VAR                     | CUSIP: ACI2Q34M4<br>LEI: 635400YNKWICCYBDBC76 | Long             | DBT              | CORP              | IE        |      250000 | PA      | $298729.49    | 0.03%             | 2031-01-06      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $5581.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2004-6                                | HOME EQUITY ASSET TRUST HEAT 2004 6 M4                  | CUSIP: 437084EW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      398633 | PA      | $398830.96    | 0.03%             | 2034-12-25      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                             | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 6A3         | CUSIP: 863579C30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33235 | PA      | $30999.49     | 0.00%             | 2035-11-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-580.19      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-17314.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20L                          | SMALL BUSINESS ADMINISTRATION SBAP 2007 20L 1           | CUSIP: 83162CRL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        9534 | PA      | $9566.17      | 0.00%             | 2027-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1832.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1295.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-32514.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1330.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $9017.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                           | FREDDIE MAC FHR 5580 FC                                 | CUSIP: 3137HMXP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     9002375 | PA      | $9035085.49   | 0.79%             | 2055-09-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $353.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $3868.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-7215.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2024-1A                           | HERTZ VEHICLE FINANCING LLC HERTZ 2024 1A A 144A        | CUSIP: 42806MCK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5000000 | PA      | $5073991.00   | 0.44%             | 2029-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9318 FN 10/54 FIXED 5.5                     | CUSIP: 3140QVK86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1987747 | PA      | $2033599.72   | 0.18%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2258.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2003-W10                                    | ARGENT SECURITIES INC. ARSI 2003 W10 M1                 | CUSIP: 040104EN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90982 | PA      | $87835.34     | 0.01%             | 2034-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                              | GSAMP TRUST GSAMP 2007 FM2 A2B                          | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1942312 | PA      | $1195854.93   | 0.10%             | 2037-01-25      | Floating      | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.93000 01/06/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-21718.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-1906.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A        | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      311969 | PA      | $278312.36    | 0.02%             | 2046-10-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| APS RESECURITIZATION TRUST 2015-1                                 | APS RESECURITIZATION TRUST APS 2015 1 2M 144A           | CUSIP: 00191TAG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      531187 | PA      | $530227.53    | 0.05%             | 2054-08-28      | Variable      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-757.70      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-44715.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060675<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    83000000 | PA      | $84451840.98  | 7.34%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                            | OZLM LTD OZLM 2019 24A A2AR 144A                        | CUSIP: 67113DBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1500000 | PA      | $1502988.83   | 0.13%             | 2032-07-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOO8 PIMCO CDSOPT CALL USD 94.31250000 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -6200000 | NC      | $-18314.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $43040.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2826.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                  | BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1             | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3852 | PA      | $3775.11      | 0.00%             | 2036-01-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.245 09/02/25-01/02/29 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-222710.44   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-6                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2025 6 A2 144A      | CUSIP: 69549BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1099899 | PA      | $1096407.55   | 0.10%             | 2033-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $11349.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-19647.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST REF MORT 10/43 4.65             | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |      800000 | PA      | $671617.66    | 0.06%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAOYA0 PIMCO SWAPTION 3.857 PUT USD 2026100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   136900000 | NC      | $261602.21    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260721                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $4103.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 872236 FN 05/36 FLOATING VAR                  | CUSIP: 31409JBD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11654 | PA      | $12020.41     | 0.00%             | 2036-05-01      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO VI DAC 6A                                              | ARBOUR CLO ARBR 6A AR 144A                              | CUSIP: ACI2RC930<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4200000 | PA      | $4855331.64   | 0.42%             | 2037-11-15      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 05/07/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-12795.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC9MA4 PIMCO SWAPTION 4.075 PUT USD 2026040          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      800000 | NC      | $173.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.99000 12/08/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-2190.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 12.81 01/27/26-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-159356.94   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KZT BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-118.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    27600000 | NC      | $39688.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.39 04/10/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $103897.09    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| HERBIE RE LTD                                                     | HERBIE RE LTD UNSECURED 144A 01/30 VAR                  | CUSIP: 42703VAN3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      500000 | PA      | $500750.00    | 0.04%             | 2030-01-07      | Floating      | 7.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2518.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3         | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34434 | PA      | $9060.93      | 0.00%             | 2037-04-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25               | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   165230000 | PA      | $7849016.98   | 0.68%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC                  | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 7A A 144A     | CUSIP: 05377RHL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2200000 | PA      | $2241444.04   | 0.19%             | 2028-08-21      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XXXIII DAC 33A                             | CORDATUS CLO PLC CORDA 33A A1 144A                      | CUSIP: ACI388DJ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     5100000 | PA      | $5882274.82   | 0.51%             | 2038-03-24      | Floating      | 3.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $1876.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-6330.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                   | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A A1 144A    | CUSIP: 03290AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $287590.43    | 0.02%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 08/29 11                     | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  5050000000 | PA      | $1273260.11   | 0.11%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2023-6                     | SANTANDER DRIVE AUTO RECEIVABL SDART 2023 6 A3          | CUSIP: 80287DAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      164478 | PA      | $164637.58    | 0.01%             | 2028-07-17      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1870.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL4                | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL4 A1A 144A | CUSIP: 16160NAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4814870 | PA      | $4311783.22   | 0.37%             | 2064-12-25      | Variable      | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $2057.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAODA3 PIMCO SWAPTION 4.093 PUT USD 2027010          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   128200000 | NC      | $194005.06    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-1423.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-43826.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-94258.13    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020653<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -24910000 | PA      | $-20059361.14 | -1.74%            | 2056-05-13      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1067.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1280.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-WMC6                            | MORGAN STANLEY CAPITAL INC MSAC 2005 WMC6 M4            | CUSIP: 61744CSY3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69434 | PA      | $68467.78     | 0.01%             | 2035-07-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3891                                                  | FREDDIE MAC FHR 3891 BF                                 | CUSIP: 3137ADTZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      132213 | PA      | $131601.97    | 0.01%             | 2041-07-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | DISCOVERY GLOBAL HOLDINGS INC SNR S* ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $55.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 03/18/26-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $23571.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-77.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3449.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR3                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR3 A1A        | CUSIP: 92925CDA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      194970 | PA      | $181502.48    | 0.02%             | 2046-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-2                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M5          | CUSIP: 542514KV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3407 | PA      | $3405.09      | 0.00%             | 2035-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10               | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1       | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         181 | PA      | $178.08       | 0.00%             | 2035-01-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $182581.55    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A        | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29376 | PA      | $25169.73     | 0.00%             | 2036-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    50810000 | PA      | $47952345.00  | 4.17%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $336.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MYR SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-593.68      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-1403.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR1                            | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR1 1A3        | CUSIP: 251510LD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      798674 | PA      | $804643.89    | 0.07%             | 2036-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH1504 FN 12/40 FIXED 4.5                     | CUSIP: 3138A2U64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4433 | PA      | $4389.97      | 0.00%             | 2040-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $121303.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-5984.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0HA1 PIMCO SWAPTION 3.245 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      600000 | NC      | $1780.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1         | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       68706 | PA      | $64179.02     | 0.01%             | 2035-01-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2661 FN 07/52 FIXED VAR                     | CUSIP: 3140XH5X1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2413220 | PA      | $2335938.23   | 0.20%             | 2052-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 01/37 8.5                | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    21300000 | PA      | $1176549.25   | 0.10%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-47.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $528.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H20                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H20 FA          | CUSIP: 38384LB73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4965221 | PA      | $5012009.67   | 0.44%             | 2075-09-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -4900000 | NC      | $-1979.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES4                                     | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES4 A1A 144A     | CUSIP: 74939FAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      532410 | PA      | $536463.20    | 0.05%             | 2044-06-25      | Variable      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5806.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-19153.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-21895.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UCA9A6 PIMCO SWAPTION 3.589 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -16900000 | NC      | $-62580.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $64241.32     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| URSA RE LTD                                                       | URSA RE LTD UNSECURED 144A 02/28 VAR                    | CUSIP: 90323WAR1<br>LEI: 549300O8X4DWGDJZ6W59 | Long             | DBT              | CORP              | BM        |      500000 | PA      | $511250.00    | 0.04%             | 2028-02-22      | Floating      | 11.04%                | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-7269.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795410 FN 09/34 FIXED 6.5                     | CUSIP: 31405PVB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         532 | PA      | $550.26       | 0.00%             | 2034-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                       | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A  | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1911103 | PA      | $1714180.26   | 0.15%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1353.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688012 GN 10/38 FIXED 5                       | CUSIP: 36296DKZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         692 | PA      | $701.77       | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US ULTRA BOND CBT JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -122 | NC      | $-124847.74   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $7219.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-2840.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-423.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $78590.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.25000 11/22/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-17321.51    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.15000 08/25/27-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-525697.81   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 255884 FN 08/35 FLOATING VAR                  | CUSIP: 31371MFZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       34795 | PA      | $35945.44     | 0.00%             | 2035-08-01      | Floating      | 6.47%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-2                                     | SEQUOIA MORTGAGE TRUST SEMT 2007 2 1A1                  | CUSIP: 81744LAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       80320 | PA      | $75670.82     | 0.01%             | 2036-06-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-12075.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-22955.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AE3798 GN 07/45 FIXED 3.5                     | CUSIP: 36180WGF6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      399466 | PA      | $375558.96    | 0.03%             | 2045-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-12373.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $263.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAV0A1 PIMCO SWAPTION 3.26 CALL USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    15100000 | NC      | $10097.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-83.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSLT TRS EQUITY SOFR+37 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $3904159.06   | 0.34%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $1279.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.35000 04/29/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $3229.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1801.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $1061.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260721                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $3240.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 4.52250 12/01/30-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-8514.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LOCKE TAVERN RE LTD                                               | LOCKE TAVERN RE LTD UNSECURED 144A 04/33 VAR            | CUSIP: 539694AC3<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00    | 0.02%             | 2033-04-11      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBQXA5 PIMCO FPPSWAPTION 4.296 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     6500000 | NC      | $382885.75    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| PALM RE LTD                                                       | PALM RE LTD UNSECURED 144A 06/32 VAR                    | CUSIP: 69664FAB4<br>LEI: 984500D3C66DA10DAP11 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $257725.00    | 0.02%             | 2032-06-07      | Floating      | 11.27%                | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CLP 4.67600 01/09/26-5Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |           1 | NC      | $3326.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAANA2 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     9800000 | NC      | $554964.20    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1663.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX MAIN45 5Y ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $-13482.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-421.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.55800 08/21/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $9670.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WHETSTONE PARK CLO LTD 2021-1A                                    | WHETSTONE PARK CLO LTD WHTPK 2021 1A A1R 144A           | CUSIP: 96329YAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3300000 | PA      | $3298350.00   | 0.29%             | 2035-01-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-18443.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-1723.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260520                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $31263.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -27600000 | NC      | $-11178.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 69 A1         | CUSIP: 12668AN27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4795 | PA      | $4407.47      | 0.00%             | 2035-12-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA0128 GN 05/42 FIXED 3.5                     | CUSIP: 36177WD98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       42951 | PA      | $40476.06     | 0.00%             | 2042-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-19894.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $64494.54     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q00623 FG 04/41 FIXED 4.5             | CUSIP: 3132GDVQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       71287 | PA      | $70078.81     | 0.01%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   104650000 | PA      | $103087780.61 | 8.96%             | 2056-05-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                   | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A    | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      665992 | PA      | $645725.30    | 0.06%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3218 FN 12/32 FIXED 3                       | CUSIP: 31418CSG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1047885 | PA      | $1012483.68   | 0.09%             | 2032-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0034 FR 06/54 FIXED 6.5             | CUSIP: 31427MBC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1313169 | PA      | $1390739.28   | 0.12%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4            | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    19500000 | PA      | $5323989.20   | 0.46%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL2                | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL2 A1A 144A | CUSIP: 161930AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2499271 | PA      | $2223073.53   | 0.19%             | 2064-08-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A69654 FG 12/37 FIXED 6               | CUSIP: 3128L1WP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11600 | PA      | $12190.58     | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.77500 03/03/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $9375.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.74200 03/26/26-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $23033.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.30500 11/27/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-6030.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $2432.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ECUADOR GOVT                                                      | REPUBLIC OF ECUADOR SR UNSECURED REGS 07/30 0.0000      | CUSIP: ACI1Q6QQ6<br>LEI: 5299003Y2U5XK0A35H71 | Long             | DBT              | NUSS              | EC        |     1260000 | PA      | $1056195.00   | 0.09%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260401                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-2057.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                      | BONOS TESORERIA PESOS BONDS 144A REGS 10/29 5.8         | CUSIP: ACI2QBM79<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   270000000 | PA      | $296846.67    | 0.03%             | 2029-10-01      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18659 FG 09/32 FIXED 3               | CUSIP: 3128MMWV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      698198 | PA      | $679895.45    | 0.06%             | 2032-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     5100000 | NC      | $276425.61    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2024-3                                   | ANGEL OAK MORTGAGE TRUST AOMT 2024 3 A1 144A            | CUSIP: 03466HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1459472 | PA      | $1451888.88   | 0.13%             | 2068-11-26      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-1956.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.91000 12/29/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $1369.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3414 FN 07/48 FIXED 3.5                     | CUSIP: 31418CYL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1586446 | PA      | $1479682.90   | 0.13%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $7389.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-19704.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $61716.87     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.58000 08/29/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $12148.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3437.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS PLN 4.72250 12/01/30-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $21581.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1429.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1595.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-781.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5521                                           | FREDDIE MAC FHR 5521 AF                                 | CUSIP: 3137HKCY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4023681 | PA      | $4056727.68   | 0.35%             | 2055-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $6518.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SCK9 PIMCO FXVAN PUT USD KRW 1350.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -1304352 | NC      | $-1151.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $11210.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $1699.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.51000 04/09/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $15652.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-574.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC8DA6 PIMCO SWAPTION 3.599 CALL USD 202606          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    15800000 | NC      | $122213.00    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A1A        | CUSIP: 93362YAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2351195 | PA      | $2202773.46   | 0.19%             | 2046-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-43115.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 722609 FN 08/33 FIXED 4.5                     | CUSIP: 31401YYE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         803 | PA      | $789.03       | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XXI DAC 21A                                           | HARVEST CLO HARVT 21A A2R 144A                          | CUSIP: ACI1WSV36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      270165 | PA      | $308153.81    | 0.03%             | 2031-07-15      | Fixed         | 1.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 3.76000 11/01/24-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-2886.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-32376.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-3442.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                    | COUNTRYWIDE HOME LOANS CWHL 2004 29 2A1                 | CUSIP: 12669GJB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         973 | PA      | $922.70       | 0.00%             | 2035-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.72050 04/01/26-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-742.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SP09 PIMCO CDSOPT PUT USD 94.37500000 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2000000 | NC      | $-7571.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VERAISON RE LTD                                                   | VERAISON RE LTD UNSECURED 144A 03/33 VAR                | CUSIP: 92335TAE9<br>LEI: 2549007WYB39A966J434 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $254350.00    | 0.02%             | 2033-03-08      | Floating      | 8.53%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-12N                                          | LEHMAN XS TRUST LXS 2007 12N 1A3A                       | CUSIP: 52524YAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3218088 | PA      | $3240510.56   | 0.28%             | 2047-07-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC75A7 PIMCO SWAPTION 3.7325 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -10200000 | NC      | $-49068.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08789 FG 11/47 FIXED 4               | CUSIP: 3128MJ2X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      732884 | PA      | $705111.82    | 0.06%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A        | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54169 | PA      | $53099.50     | 0.00%             | 2045-01-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $5951.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $14831.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20261207                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $167238.85    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 08/32 6.15              | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     4400000 | PA      | $1322288.57   | 0.11%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H060648<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15270000 | PA      | $15529016.61  | 1.35%             | 2056-04-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $2022.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DA8446 FN 04/54 FIXED 6.5                     | CUSIP: 3140YWL43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1192450 | PA      | $1254873.74   | 0.11%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.38000 12/31/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-22394.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260819                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-38348.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-1A                           | HERTZ VEHICLE FINANCING LLC HERTZ 2023 1A A 144A        | CUSIP: 42806MBS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      400000 | PA      | $400780.89    | 0.03%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-701.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-610.86      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $1349.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SANDERS RE III LTD                                                | SANDERS RE III LTD UNSECURED 144A 06/29 VAR             | CUSIP: 799925AA0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      650000 | PA      | $657475.00    | 0.06%             | 2029-06-05      | Floating      | 11.26%                | No            |                  2 | On Loan: No      |
| STELLANTIS FINANCE US INC                                         | STELLANTIS FIN US INC COMPANY GUAR 144A 09/31 2.691     | CUSIP: 85855CAB6<br>LEI: 549300QZ0AI8Q7LNON33 | Long             | DBT              | CORP              | US        |     3800000 | PA      | $3213033.11   | 0.28%             | 2031-09-15      | Fixed         | 2.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-66764.46    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                    | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 2CB1        | CUSIP: 93934NAQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      321129 | PA      | $228989.74    | 0.02%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $2279.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $346.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1544.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-24000.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -9500000 | NC      | $-3838.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 841965 FN 01/36 FIXED 6                       | CUSIP: 31407VMN2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17128 | PA      | $17714.08     | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 890220 FN 12/39 FIXED VAR                     | CUSIP: 31410LAV4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         255 | PA      | $261.61       | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1297.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-88355.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.55000 04/16/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $13659.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $17065.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZHA6 PIMCO SWAPTION 3.215 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      600000 | NC      | $1591.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $6954.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-22358.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS7160 FN 02/54 FIXED VAR                     | CUSIP: 3140XN5W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3310221 | PA      | $3474574.38   | 0.30%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A2D        | CUSIP: 00075WAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2149468 | PA      | $1202524.12   | 0.10%             | 2037-01-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-2450.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2006-OA2                    | MASTR ADJUSTABLE RATE MORTGAGE MARM 2006 OA2 2A1        | CUSIP: 55275NAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1919339 | PA      | $1737434.86   | 0.15%             | 2046-12-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX HY43 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $58913.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $7206.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2025-NPL8 LLC                                                | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL8 A1 144A   | CUSIP: 69392EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3752725 | PA      | $3763460.47   | 0.33%             | 2055-08-25      | Fixed         | 5.73%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A1 144A        | CUSIP: 61753EAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2956993 | PA      | $1117613.96   | 0.10%             | 2037-01-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SIS6 PIMCO CDSOPT PUT USD 96.58984375 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    24000000 | NC      | $201271.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $1165.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 602715 GN 02/45 FIXED 3.5                     | CUSIP: 36200JSC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61004 | PA      | $57353.90     | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.00000 02/26/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-4283.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RH91 PIMCO FXVAN PUT USD ZAR 17.00000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |   -10840000 | NC      | $-346869.16   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040669<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    23000000 | PA      | $21658817.10  | 1.88%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84200 03/04/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-14395.99    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PENTA CLO 9 DAC                                                   | PENTA CLO S.A. PENTA 2021 9A A 144A                     | CUSIP: ACI1Y3GV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2500000 | PA      | $2882223.20   | 0.25%             | 2036-07-25      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3448.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-3924.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $2520.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-10143.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929451 FN 05/38 FIXED 5.5                     | CUSIP: 31412MTG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16310 | PA      | $16800.47     | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $8147.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 06/20/24-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $791267.42    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $1986.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-1103.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAUZA5 PIMCO SWAPTION 3.56 PUT USD 20260428          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -15400000 | NC      | $-201821.62   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.04638 09/02/25-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-130247.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.45000 05/05/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $15324.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 190445 FN 03/55 FIXED VAR                     | CUSIP: 31368HP64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    16250486 | PA      | $16811780.04  | 1.46%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-11238.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-25137.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-4714.26     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOZ3 PIMCO CDSOPT CALL USD 97.37500000 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -2000000 | NC      | $-9655.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-BC2                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC2 1A          | CUSIP: 12669QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1892693 | PA      | $1938056.14   | 0.17%             | 2037-06-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAUQA5 PIMCO SWAPTION 3.674 PUT USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -13800000 | NC      | $-112781.88   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-7752.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1EA2 PIMCO FPPSWAPTION 4.52 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     6900000 | NC      | $402719.88    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| WINDROSE RE LTD                                                   | WINDROSE RE LTD UNSECURED 144A 02/33 VAR                | CUSIP: 972917AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $249275.00    | 0.02%             | 2033-02-11      | Floating      | 8.78%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                              | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A2          | CUSIP: 61752UAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1473776 | PA      | $753866.47    | 0.07%             | 2037-04-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| HANDSHAKE RE LTD                                                  | HANDSHAKE RE LTD UNSECURED 144A 01/30 VAR               | CUSIP: 410290AA8<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $248550.00    | 0.02%             | 2030-01-08      | Floating      | 8.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $205823.49    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ1835 GN 09/44 FIXED 3.5                     | CUSIP: 36182WBC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      277462 | PA      | $260691.34    | 0.02%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1DA3 PIMCO SWAPTION 3.038 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1300000 | NC      | $2236.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS7963 FN 05/54 FIXED VAR                     | CUSIP: 3140XPZ51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2351713 | PA      | $2476275.52   | 0.22%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050643<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10310000 | PA      | $10169382.12  | 0.88%             | 2056-04-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 06/17/26-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $132359.03    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-112726.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052656<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -4170000 | PA      | $-4183831.26  | -0.36%            | 2056-05-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLW3 PIMCO CDSOPT PUT USD 97.28125000 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -5200000 | NC      | $-17823.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $432161.15    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-OPT4                                | HSI ASSET SECURITIZATION CORPO HASC 2006 OPT4 M1        | CUSIP: 40430KAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7607588 | PA      | $6986703.51   | 0.61%             | 2036-03-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL5427 GN 02/45 FIXED 3.5                     | CUSIP: 36184CA47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      116824 | PA      | $109832.61    | 0.01%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260408                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $109123.58    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-3553.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 6A1                | CUSIP: 362341XG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14775 | PA      | $13000.98     | 0.00%             | 2035-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS PLN 5.20000 03/23/31-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $-20.71       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-974.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS7170 FN 05/46 FIXED 3.5                     | CUSIP: 3138WG6G4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5750 | PA      | $5382.15      | 0.00%             | 2046-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $6934.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3047.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $1265.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $2843.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $1809.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1FA1 PIMCO FPPSWAPTION 4.52 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     6900000 | NC      | $361586.91    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                  | SOCIETE GENERALE REGS 01/28 VAR                         | CUSIP: 83368TBH0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |      200000 | PA      | $197158.49    | 0.02%             | 2028-01-19      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 692340 GN 02/39 FIXED 5                       | CUSIP: 36296JEM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19689 | PA      | $20027.59     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 835058 FN 06/35 FLOATING VAR                  | CUSIP: 31407MWT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20581 | PA      | $21039.83     | 0.00%             | 2035-06-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 830817 FN 10/35 FIXED 6                       | CUSIP: 31407HAS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13301 | PA      | $13727.51     | 0.00%             | 2035-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1CA4 PIMCO SWAPTION 3.288 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      600000 | NC      | $2064.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-58.80       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYOU RE LTD                                                      | BAYOU RE LTD UNSECURED 144A 05/30 VAR                   | CUSIP: 07304LAA9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $253875.00    | 0.02%             | 2030-05-26      | Floating      | 15.94%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-49.77       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $552.56       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9YMA3 PIMCO SWAPTION 3.255 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    15200000 | NC      | $43791.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $161.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91057 FG 06/27 FIXED 5.5             | CUSIP: 3128P7E66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3751 | PA      | $3774.84      | 0.00%             | 2027-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                              | BAYER US FINANCE LLC COMPANY GUAR 144A 11/33 6.5        | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |      200000 | PA      | $212770.24    | 0.02%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM5807 FN 04/48 FIXED VAR                     | CUSIP: 3140JANZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1999363 | PA      | $1863308.14   | 0.16%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE5652 FN 01/47 FIXED 3.5                     | CUSIP: 3140FRH65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9617 | PA      | $8996.08      | 0.00%             | 2047-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX HY45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $293665.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2023-P5                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2023 P5 A3 144A    | CUSIP: 14687RAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      155130 | PA      | $156135.24    | 0.01%             | 2029-01-10      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $747.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A51074 FG 08/36 FIXED 6               | CUSIP: 3128KDFP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       54148 | PA      | $56146.95     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A9CB                             | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A9CB A9        | CUSIP: 76112HAJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      907684 | PA      | $254628.15    | 0.02%             | 2036-09-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $10761.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CC MORTGAGE FUNDING CORP 2005-AA                                  | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 AA A2 144A    | CUSIP: 16678RDC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84393 | PA      | $81535.57     | 0.01%             | 2036-01-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G08173 FG 01/37 FIXED 5.5             | CUSIP: 3128MJFP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1187 | PA      | $1226.72      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4298.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $518.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260423                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1591.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7       | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    21600000 | PA      | $6801216.13   | 0.59%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 3A2A              | CUSIP: 126670JY5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3899 | PA      | $3486.74      | 0.00%             | 2036-02-20      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90500 03/12/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-5463.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK3841 FN 04/48 FIXED 3.5                     | CUSIP: 3140HHHT5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2652 | PA      | $2472.43      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COMMONWEALTH RE LTD                                               | COMMONWEALTH RE LTD UNSECURED 144A 07/30 VAR            | CUSIP: 203235AB2<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $251650.00    | 0.02%             | 2030-07-08      | Floating      | 7.41%                 | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                | VICI PROPERTIES LP SR UNSECURED 02/28 4.75              | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1802306.93   | 0.16%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-E                                    | FREMONT HOME LOAN TRUST FHLT 2006 E 2A1                 | CUSIP: 35729NAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9776 | PA      | $4480.21      | 0.00%             | 2037-01-25      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-3983.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03867 FG 01/38 FIXED 5.5             | CUSIP: 3128M5TY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         505 | PA      | $519.70       | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995094 FN 11/35 FIXED VAR                     | CUSIP: 31416BNK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       41319 | PA      | $40915.58     | 0.00%             | 2035-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-5986.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-2019.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-959697.71   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $9098.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $10653.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 886376 FN 08/36 FLOATING VAR                  | CUSIP: 31410DXD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8437 | PA      | $8643.85      | 0.00%             | 2036-08-01      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/29 4.5      | CUSIP: 873923AC0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $1987509.26   | 0.17%             | 2029-03-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638767 GN 07/37 FIXED 6                       | CUSIP: 36291UTY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27030 | PA      | $28102.40     | 0.00%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SC60 PIMCO CDSOPT PUT USD 102.32812500 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -6700000 | NC      | $-27782.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $57.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-71345.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688013 GN 10/38 FIXED 5                       | CUSIP: 36296DK23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2245 | PA      | $2286.55      | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $4176.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL2577 GN 03/45 FIXED 3.5                     | CUSIP: 36183X2J8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20199 | PA      | $18978.32     | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK7414 FN 08/48 FIXED 3.5                     | CUSIP: 3140HMGY4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       77935 | PA      | $72295.51     | 0.01%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ICG EURO CLO 2023-2 DAC 23-2A                                     | ICG EURO CLO ICGE 2023 2A A1R 144A                      | CUSIP: ACI38GWX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4000000 | PA      | $4622445.69   | 0.40%             | 2038-01-26      | Floating      | 3.32%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR6                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR6 A1A        | CUSIP: 86359LEV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1435 | PA      | $1425.50      | 0.00%             | 2035-02-19      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257499 FN 12/28 FIXED 5.5                     | CUSIP: 31371N7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         113 | PA      | $114.37       | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2005-WCW2                               | PARK PLACE SECURITIES INC PPSI 2005 WCW2 M4             | CUSIP: 70069FLK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3200000 | PA      | $2870861.76   | 0.25%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2515.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.93000 03/24/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-12831.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $13742.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE8050 FN 11/40 FIXED 4.5                     | CUSIP: 31419J5L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24797 | PA      | $24375.57     | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1195.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-10104.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-1592.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 4.53000 12/31/30-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-469.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBFPA8 PIMCO SWAPTION 3.7675 PUT USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -9700000 | NC      | $-9528.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $27239.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ADJ IR S+P 500 TR JUN26 XCME 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        -117 | NC      | $1979757.00   | 0.17%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $8281.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85500 11/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2080.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM2842 GN 04/45 FIXED 3.5                     | CUSIP: 36184NEP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      186613 | PA      | $171754.57    | 0.01%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Z7A7 PIMCO SWAPTION 3.222 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |      600000 | NC      | $1597.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-10521.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                   | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |       83000 | PA      | $80213.76     | 0.01%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9023 FN 08/54 FIXED 6.5                     | CUSIP: 3140QVAZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2296925 | PA      | $2422578.50   | 0.21%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A82656 FG 10/38 FIXED 5.5             | CUSIP: 3129285R1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22269 | PA      | $22875.56     | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-16                                                | FANNIE MAE FNR 2006 16 SM                               | CUSIP: 31394V6K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26678 | PA      | $1893.12      | 0.00%             | 2036-03-25      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $572.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAUTA2 PIMCO SWAPTION 3.174 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1500000 | NC      | $599.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $5871.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-16                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 16 1A           | CUSIP: 23242FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      887392 | PA      | $834772.72    | 0.07%             | 2046-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $13087.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $11445.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S7L3 PIMCO CDSOPT PUT USD 0.65 20260520            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   253000000 | NC      | $474671.01    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1357.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-70                                         | FANNIE MAE FNR 2025 70 CF                               | CUSIP: 3136BXKF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6518208 | PA      | $6579121.05   | 0.57%             | 2055-09-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SB53 PIMCO CDSOPT CALL USD 0.5 20260617            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -84800000 | NC      | $-33510.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-114.83      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                              | BAYER US FINANCE LLC COMPANY GUAR 144A 11/30 6.375      | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |      200000 | PA      | $210379.26    | 0.02%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $12614.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260506                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-286.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-54481.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL1540 FR 02/55 FIXED 5.5             | CUSIP: 31427NWA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      763125 | PA      | $780295.26    | 0.07%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| BINOM SECURITIZATION TRUST 2022-RPL1                              | BINOM SECURITIZATION TRUST BINOM 2022 RPL1 A1 144A      | CUSIP: 05552CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      767410 | PA      | $715382.74    | 0.06%             | 2061-02-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $1460.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $300181.16    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $441.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-1426.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $7871.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $42.16        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-1                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 1 2A1A        | CUSIP: 41161PLD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      666887 | PA      | $649866.05    | 0.06%             | 2035-03-19      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -34510000 | PA      | $-31568678.88 | -2.74%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $4707.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE                                            | CUSIP: 22823QDG3<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     2400000 | PA      | $2395515.84   | 0.21%             | 2026-04-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-26740.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-4389.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $5465.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                            | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34052 | PA      | $33431.55     | 0.00%             | 2030-12-15      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A1       | CUSIP: 83612TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50551 | PA      | $34120.44     | 0.00%             | 2037-06-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $6110.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 5A1        | CUSIP: 12668AHE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      191142 | PA      | $177610.74    | 0.02%             | 2035-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                               | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A5         | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39257 | PA      | $23291.72     | 0.00%             | 2036-03-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $80.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 732218 FN 06/43 FLOATING VAR                  | CUSIP: 31402LPB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18080 | PA      | $18265.70     | 0.00%             | 2043-06-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 694531 GN 11/38 FIXED 5                       | CUSIP: 36296LSU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24480 | PA      | $25004.88     | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.27750 09/16/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $20460.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC1RA6 PIMCO SWAPTION 4.75 PUT USD 20260904          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    29800000 | NC      | $71067.04     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AI6588 FN 07/26 FIXED 4                       | CUSIP: 3138ALKA4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         635 | PA      | $633.38       | 0.00%             | 2026-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 698343 GN 05/39 FIXED 5                       | CUSIP: 36296QZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       32582 | PA      | $33279.44     | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                   | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   660000000 | PA      | $3226786.81   | 0.28%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MYR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-2149.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                               | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/46 FIXED 3     | CUSIP: 38122NB76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      500000 | PA      | $457336.45    | 0.04%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 826082 FN 07/35 FLOATING VAR                  | CUSIP: 31407BXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7843 | PA      | $7984.16      | 0.00%             | 2035-07-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA1                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA1 A3         | CUSIP: 74923GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119021 | PA      | $106512.40    | 0.01%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-5251.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0IA0 PIMCO SWAPTION 2.995 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1200000 | NC      | $1768.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A88452 FG 01/39 FIXED 5.5             | CUSIP: 312935L98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8141 | PA      | $8194.12      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC1                                      | ACE SECURITIES CORP. ACE 2006 NC1 M1                    | CUSIP: 004421UU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2820165 | PA      | $2710506.03   | 0.24%             | 2035-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-2                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 2 A5 144A     | CUSIP: 07384MTD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23013 | PA      | $22931.67     | 0.00%             | 2033-01-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022659<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -34430000 | PA      | $-28938684.24 | -2.52%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 1A1       | CUSIP: 933637AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      356609 | PA      | $313048.94    | 0.03%             | 2037-01-25      | Floating      | 3.53%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5482                                           | FREDDIE MAC FHR 5482 FA                                 | CUSIP: 3137HHLU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1314244 | PA      | $1326082.24   | 0.12%             | 2054-12-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                              | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3        | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      269463 | PA      | $260293.98    | 0.02%             | 2037-02-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                             | IVORY COAST SR UNSECURED REGS 03/48 6.625               | CUSIP: ACI11JW62<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |     1600000 | PA      | $1597292.54   | 0.14%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-6627.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/27 4.125       | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      400000 | PA      | $394941.07    | 0.03%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SECURITIES CORP HOME EQUITY LOAN TRUST 2006-HE2      | ASSET BACKED SECURITIES CORP H ABSHE 2006 HE2 A4        | CUSIP: 04541GWF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9374260 | PA      | $8456203.65   | 0.73%             | 2036-03-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260429                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-2893.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-35.36       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-12181.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1018.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-14                                                | FANNIE MAE FNR 2007 14 FB                               | CUSIP: 31396PZU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2765 | PA      | $2734.91      | 0.00%             | 2037-03-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5549                                           | FREDDIE MAC FHR 5549 BF                                 | CUSIP: 3137HLS52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      658904 | PA      | $665316.54    | 0.06%             | 2055-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL2468 FR 09/55 FIXED 5.5             | CUSIP: 31427PW67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5037816 | PA      | $5153200.46   | 0.45%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2023-3A                             | LENDBUZZ SECURITIZATION TRUST LBZZ 2023 3A A2 144A      | CUSIP: 525931AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2717585 | PA      | $2762437.28   | 0.24%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1127.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZXA8 PIMCO SWAPTION 2.989 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1600000 | NC      | $2277.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-9198.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSLT TRS EQUITY SOFR+63 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-2413086.20  | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SBA2 PIMCO FXVAN PUT USD KRW 1400.0000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     2085648 | NC      | $6217.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUTK/2.00000 09/16/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-472178.67   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB8013 FN 02/54 FIXED 6.5                     | CUSIP: 3140QT3X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6643709 | PA      | $6978647.99   | 0.61%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 829708 FN 06/35 FLOATING VAR                  | CUSIP: 31407FYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17545 | PA      | $18064.03     | 0.00%             | 2035-06-01      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-7093.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-39449.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAROA4 PIMCO SWAPTION 3.646 PUT USD 2026041          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -9700000 | NC      | $-76141.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-6814.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03812 FG 02/38 FIXED 5.5             | CUSIP: 3128M5R93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15818 | PA      | $16301.86     | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-9575.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-7888.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL V85233 FG 03/49 FIXED 4               | CUSIP: 3132LAY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      229310 | PA      | $219987.32    | 0.02%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2C            | CUSIP: 61753KAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2439214 | PA      | $986554.94    | 0.09%             | 2037-03-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $377.97       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $12235.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-75162.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.10000 01/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $8977.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $479.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A       | CUSIP: 126680AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       92064 | PA      | $86042.19     | 0.01%             | 2047-05-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260720                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $189804.84    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                               | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2       | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      548079 | PA      | $536556.01    | 0.05%             | 2036-08-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 778753 GN 01/42 FIXED 3.5                     | CUSIP: 36176W5N7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24191 | PA      | $22835.48     | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 09/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-3003601.86  | -0.26%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC4XA3 PIMCO SWAPTION 3.9 PUT USD 20260416           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -1300000 | NC      | $-6790.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-47                                                | FANNIE MAE FNR 2009 47 FA                               | CUSIP: 31396QFA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3202 | PA      | $3231.39      | 0.00%             | 2039-07-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                            | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A      | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7102785 | PA      | $6918727.27   | 0.60%             | 2046-11-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-1A                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2023 1A A3 144A     | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      848651 | PA      | $853706.29    | 0.07%             | 2028-10-16      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 835514 FN 08/35 FLOATING VAR                  | CUSIP: 31407NGX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24882 | PA      | $25382.61     | 0.00%             | 2035-08-01      | Floating      | 6.46%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B       | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      321775 | PA      | $119745.81    | 0.01%             | 2036-12-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-4986.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-308439.12   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-168.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                            | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A       | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      318738 | PA      | $203848.09    | 0.02%             | 2036-01-19      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL2283 GN 03/45 FIXED 3.5                     | CUSIP: 36183XRC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17077 | PA      | $16055.06     | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260520                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $29352.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-10                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 10 2A4          | CUSIP: 23246BAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1065822 | PA      | $1042461.84   | 0.09%             | 2047-06-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20I                          | SMALL BUSINESS ADMINISTRATION SBAP 2008 20I 1           | CUSIP: 83162CSA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       78788 | PA      | $79734.01     | 0.01%             | 2028-09-01      | Fixed         | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $97987.97     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA10A7 PIMCO SWAPTION 3.0475 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1300000 | NC      | $2257.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $26840.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $3356.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3898                                                  | FREDDIE MAC FHR 3898 AF                                 | CUSIP: 3137ADX44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      120162 | PA      | $119882.99    | 0.01%             | 2041-06-15      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN 2007-PA4                             | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1       | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1214208 | PA      | $1148972.09   | 0.10%             | 2037-07-25      | Floating      | 6.58%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD7853 FN 06/30 FIXED 4.5                     | CUSIP: 31418VWP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2465 | PA      | $2470.12      | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A               | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A       | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      236564 | PA      | $237844.76    | 0.02%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1                           | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 1A        | CUSIP: 939336PL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          19 | PA      | $19.13        | 0.00%             | 2033-02-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB7255 GN 10/42 FIXED 3.5                     | CUSIP: 36178UBY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9635 | PA      | $9058.23      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.9271 05/08/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-83568.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL3365 FN 05/41 FIXED VAR                     | CUSIP: 3138EKW35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       39713 | PA      | $41679.66     | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8475 FR 11/54 FIXED 5.5             | CUSIP: 3132DWMY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    44271863 | PA      | $44523913.66  | 3.87%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 254693 FN 04/33 FIXED 5.5                     | CUSIP: 31371K3A7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         451 | PA      | $460.96       | 0.00%             | 2033-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KZT BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-544.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 813586 FN 03/35 FLOATING VAR                  | CUSIP: 31406L2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1373 | PA      | $1405.38      | 0.00%             | 2035-03-01      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| BLACK DIAMOND CLO 2019-1 DAC 19-1A                                | BLACK DIAMOND CLO LTD BLACK 2019 1A A1R 144A            | CUSIP: ACI20P3Q5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      749442 | PA      | $867144.11    | 0.08%             | 2032-05-15      | Floating      | 2.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $4676.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JOINT STOCK COMPANY DEVELOPMENT BANK OF KAZAKHSTAN                | DEVELOPMENT BANK OF KAZA SR UNSECURED 144A 10/28 18.4   | CUSIP: 48129VAF3<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | CORP              | KZ        |   205000000 | PA      | $440757.31    | 0.04%             | 2028-10-16      | Fixed         | 18.40%                | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBSEA2 PIMCO SWAPTION 4.049 PUT USD 2026040          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -11600000 | NC      | $-3724.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $1998.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $700420.79    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 04/09/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $3448.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.68400 01/03/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2054.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                 | FANNIE MAE FNR 2006 5 3A2                               | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2437 | PA      | $2483.04      | 0.00%             | 2035-05-25      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 1A          | CUSIP: 542514RH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       60132 | PA      | $59782.04     | 0.01%             | 2036-02-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $4.98         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $4161.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C            | CUSIP: 61753EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      227447 | PA      | $104549.86    | 0.01%             | 2037-01-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995018 FN 06/38 FIXED VAR                     | CUSIP: 31416BK72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3169 | PA      | $3271.91      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOM2 PIMCO CDSOPT CALL USD 94.27343750 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -7600000 | NC      | $-23904.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $37941.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.2914 05/08/25-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-138587.66   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | REPUBLIC OF COLOMBIA SR UNSECURED 01/33 6.5             | CUSIP: 195325EV3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |      300000 | PA      | $294150.00    | 0.03%             | 2033-01-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 832435 FN 09/35 FIXED 6                       | CUSIP: 31407JY89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1307 | PA      | $1355.57      | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                              | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 1A1         | CUSIP: 07402FAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55249 | PA      | $39536.70     | 0.00%             | 2036-01-26      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 11/40 12.75                  | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  1594500000 | PA      | $422621.82    | 0.04%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     4900000 | NC      | $7457.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 685882 GN 05/38 FIXED 5                       | CUSIP: 36296A6T6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      117980 | PA      | $120506.39    | 0.01%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $798.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC31A0 PIMCO SWAPTION 4.084 PUT USD 2026050          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -21100000 | NC      | $-69634.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                    | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1        | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          18 | PA      | $18.81        | 0.00%             | 2033-02-25      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03400 FG 03/37 FIXED 5.5             | CUSIP: 3128M5DD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49477 | PA      | $50419.50     | 0.00%             | 2037-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $2831.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $2518.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 852954 FN 02/36 FIXED 5.5                     | CUSIP: 31408JTK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2829 | PA      | $2858.81      | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.67000 04/03/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $3270.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1476.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H050656<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    32540000 | PA      | $32164696.66  | 2.80%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4                      | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 4 B1           | CUSIP: 576433EU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32080 | PA      | $28535.06     | 0.00%             | 2033-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06817 FG 05/40 FIXED 5.5             | CUSIP: 3128M84A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22635 | PA      | $23318.72     | 0.00%             | 2040-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $1590.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2278.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CITIGROUP REPO REPO                     5807            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     5300000 | PA      | $5300000.00   | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $24.94        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLV5 PIMCO CDSOPT CALL USD 100.28125000 2          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -5200000 | NC      | $-4612.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-3030.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-30714.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 07/30 3.875                             | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    18700000 | PA      | $18671146.46  | 1.62%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-44568.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                           | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 2A3        | CUSIP: 93364EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      396337 | PA      | $359131.39    | 0.03%             | 2037-05-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS6765 FN 12/53 FIXED VAR                     | CUSIP: 3140XNQT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1644796 | PA      | $1735707.95   | 0.15%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9479 FN 11/54 FIXED 5.5                     | CUSIP: 3140QVQ98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2693380 | PA      | $2759729.34   | 0.24%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ7522 FN 01/27 FIXED 3                       | CUSIP: 3138E0LC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      101411 | PA      | $100831.12    | 0.01%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-1632.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-122277.50   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ISHARES CORE S&P 500 ETF                                          | ISHARES CORE S+P 500 ETF ISHARES CORE S+P 500 ETF       | CUSIP: 464287200<br>LEI: 5493007M4YMN8XL48C14 | Long             | EC               | CORP              | US        |       65142 | NS      | $42551405.82  | 3.70%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP MYC                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $372223.64    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-1842.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $492.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-12392.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $3972.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 756226 FN 01/34 FIXED 5.5                     | CUSIP: 31403SD78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       63192 | PA      | $63865.84     | 0.01%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-22763.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $1536922.06   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RHA8 PIMCO FXVAN PUT USD ZAR 18.00000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |     5420000 | NC      | $387345.72    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 638742 GN 05/37 FIXED 6                       | CUSIP: 36291US71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8560 | PA      | $9003.97      | 0.00%             | 2037-05-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-5                                    | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 5 1A6         | CUSIP: 93934NAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      706514 | PA      | $564372.51    | 0.05%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-50996.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04576 FG 09/38 FIXED 6               | CUSIP: 3128M6MZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52095 | PA      | $54716.61     | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $1606.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MDPK-2021-39A                                                     | MADISON PARK FUNDING LTD MDPK 2021 39A AR 144A          | CUSIP: 55821LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3000000 | PA      | $3004108.02   | 0.26%             | 2034-10-22      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-19754.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-791.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $96.34        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                   | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                 | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      419982 | PA      | $486040.23    | 0.04%             | 2031-04-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-1A                       | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 1A A1B 144A     | CUSIP: 64830TAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29655 | PA      | $27821.68     | 0.00%             | 2059-10-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y6A1 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     8600000 | NC      | $441577.32    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UCAAA4 PIMCO SWAPTION 3.889 PUT USD 2026043          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    16200000 | NC      | $50548.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-2094872.04  | -0.18%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2                    | AMERICAN HOME MORTGAGE INVESTM AHM 2007 2 13A1          | CUSIP: 02660CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25918 | PA      | $15012.53     | 0.00%             | 2047-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y5A2 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     8600000 | NC      | $509426.16    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-224.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3 MONTH SOFR FUT  MAR27 XCME 20270615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -15 | NC      | $17047.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $452.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260526                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $55931.41     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUND FUTURE  JUN26 XEUR 20260608                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         494 | NC      | $-1788418.11  | -0.16%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    88400000 | PA      | $88400000.00  | 7.68%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MYR SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-2477.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FAIR OAKS LOAN FUNDING V DAC 5A                                   | FAIR OAKS LOAN FUNDING FOAKS 5A AR 144A                 | CUSIP: ACI384R29<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      800000 | PA      | $924160.60    | 0.08%             | 2036-10-15      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $21382.90     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-478.13      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260720                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $31582.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $10948.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A1                               | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A1 7A1        | CUSIP: 161630AU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16843 | PA      | $16959.38     | 0.00%             | 2037-02-25      | Floating      | 6.87%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2024-6                          | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 6 A11 144A    | CUSIP: 161931AP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1176510 | PA      | $1179664.95   | 0.10%             | 2055-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $3030.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SEQ4 PIMCO FXVAN CALL USD BRL 5.70000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -3470000 | NC      | $-3938.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN BEAR RE LTD SERIES 2026-1                                  | GOLDEN BEAR RE LTD UNSECURED 144A 03/32 VAR             | CUSIP: 38090EAB6<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      300000 | PA      | $300000.00    | 0.03%             | 2032-03-08      | Floating      | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260413                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-3745.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $12109.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $34256.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITRUS RE LTD                                                     | CITRUS RE LTD UNSECURED 144A 06/33 VAR                  | CUSIP: 177510AS3<br>LEI: 549300VWWT5SE805NK88 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00    | 0.02%             | 2033-06-07      | Floating      | 8.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-310847.57   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING II LTD                                      | ROMARK CREDIT FUNDING, LTD. RCF 2021 2A A 144A          | CUSIP: 77588JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $285625.80    | 0.02%             | 2039-10-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 795297 FN 07/44 FLOATING VAR                  | CUSIP: 31405PRS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3644 | PA      | $3652.70      | 0.00%             | 2044-07-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G02422 FG 12/36 FIXED 6               | CUSIP: 3128M4AX1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       56230 | PA      | $59079.11     | 0.01%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-936.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $120353.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $5171.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1364.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL5247 GN 01/45 FIXED 3.5                     | CUSIP: 36184BZL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7029 | PA      | $6608.59      | 0.00%             | 2045-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOX8 PIMCO CDSOPT PUT USD 96.10156250 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -13100000 | NC      | $-21846.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                  | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A               | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4003210 | PA      | $2628184.37   | 0.23%             | 2037-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.74800 03/03/26-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $14196.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-20                           | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 20 3A1         | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13774 | PA      | $13702.45     | 0.00%             | 2035-01-25      | Floating      | 3.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    10400000 | NC      | $14955.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                   | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A1              | CUSIP: 07386HSY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1062 | PA      | $1027.18      | 0.00%             | 2035-05-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-6838.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G06020 FG 12/39 FIXED 5.5             | CUSIP: 3128M8AV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3359 | PA      | $3459.02      | 0.00%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB9112 GN 10/42 FIXED 3.5                     | CUSIP: 36178WDR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2873 | PA      | $2703.66      | 0.00%             | 2042-10-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-1285.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BN2024 FN 02/49 FIXED 3.5                     | CUSIP: 3140JJHA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22556 | PA      | $20944.24     | 0.00%             | 2049-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20261110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $14919.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 4.50000 06/18/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-411717.90   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $24947.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POST CLO 2021-1 LTD                                               | POST CLO LTD POST 2021 1A AR 144A                       | CUSIP: 73742FAJ5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2702742.69   | 0.23%             | 2034-10-15      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| CENTERBRIDGE CREDIT FUNDING 1 LTD                                 | CENTERBRIDGE CREDIT FUNDING LT CBCF 2021 1A A 144A      | CUSIP: 15186PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $290793.46    | 0.03%             | 2039-07-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-11                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 11 A2A         | CUSIP: 17307GW79<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5432 | PA      | $5560.90      | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1MA3 PIMCO SWAPTION 3.067 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1300000 | NC      | $2464.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 01/02/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $274.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A3        | CUSIP: 92927XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      789143 | PA      | $711176.75    | 0.06%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $1923.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2004-FF1                                | ASSET BACKED FUNDING CERTIFICA ABFC 2004 FF1 M1         | CUSIP: 04542BHM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1263678 | PA      | $1229268.85   | 0.11%             | 2034-03-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-6503.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G05546 FG 07/39 FIXED 5.5             | CUSIP: 3128M7P75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4029 | PA      | $4149.68      | 0.00%             | 2039-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $5102.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-21.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                          | LEHMAN XS TRUST LXS 2007 15N 2A1                        | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38770 | PA      | $38341.44     | 0.00%             | 2037-08-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0307 FR 01/55 FIXED 5.5             | CUSIP: 31427MKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6380382 | PA      | $6516260.53   | 0.57%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y4A3 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    14100000 | NC      | $723981.42    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.42375 10/30/25-30Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-73249.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                            | OZLM LTD OZLM 2019 24A A1CR 144A                        | CUSIP: 67113DBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2500000 | PA      | $2503039.28   | 0.22%             | 2032-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1579.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2325.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                               | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 1A1A       | CUSIP: 41162DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50023 | PA      | $42096.67     | 0.00%             | 2036-12-19      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.86000 11/14/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5033.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $12161.61     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $15357.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ORANGE CAPITAL RE DESIGNATED ACTIVITY COMPANY                     | ORANGE CAPITAL RE DAC SR UNSECURED 144A 01/29 VAR       | CUSIP: ACI2S2B04<br>LEI: 635400PXTZAPQFEPH515 | Long             | DBT              | CORP              | IE        |      250000 | PA      | $303641.85    | 0.03%             | 2029-01-17      | Floating      | 8.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.01500 12/30/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4863.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | PEMEX LCDS SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $1675.40      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL9735 GN 04/45 FIXED 3.5                     | CUSIP: 36184HY81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61379 | PA      | $57668.47     | 0.01%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $26809.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR7                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR7 2A1        | CUSIP: 86364KAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1915111 | PA      | $1540551.29   | 0.13%             | 2047-05-25      | Floating      | 3.47%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-69                  | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 69 YH           | CUSIP: 38385FGR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2919694 | PA      | $2937137.76   | 0.26%             | 2055-04-20      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $520.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 03/32 8.25               | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    16600000 | PA      | $957961.14    | 0.08%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC62A2 PIMCO SWAPTION 3.7825 PUT USD 202606          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -16400000 | NC      | $-154209.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1         | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      517402 | PA      | $434252.95    | 0.04%             | 2037-02-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.12800 12/04/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-4573.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $309023.90    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SAUDI ARABIA GOVT EM SP JPM                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-35292.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BANK OF AMERICA CORPORATION SNR S* ICE                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $11006.43     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.32000 10/20/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $594.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MYR SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-8832.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.3475 04/11/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $32910.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-4599.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $836.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 738423 GN 06/41 FIXED 5                       | CUSIP: 3620ASLC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23077 | PA      | $23109.21     | 0.00%             | 2041-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 2A3          | CUSIP: 12667AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3164977 | PA      | $3058540.11   | 0.27%             | 2036-12-25      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-87218.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $28615.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3404                                                  | FREDDIE MAC FHR 3404 AF                                 | CUSIP: 31397PST8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23527 | PA      | $23694.59     | 0.00%             | 2038-01-15      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1443.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS PLN 4.73000 12/31/30-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $1270.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 687435 FN 02/33 FIXED 5.5                     | CUSIP: 31400GV44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2878 | PA      | $2968.69      | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A        | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41361 | PA      | $39786.90     | 0.00%             | 2046-10-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q53756 FG 01/48 FIXED 4               | CUSIP: 3132XWE64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       66568 | PA      | $63870.71     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/39 7       | CUSIP: ACI2PNWZ1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     1000000 | PA      | $298278.69    | 0.03%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $95.77        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-6971.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $5344.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $32959.74     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AC8778 GN 06/43 FIXED 3.5                     | CUSIP: 36179JXF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3313 | PA      | $3114.59      | 0.00%             | 2043-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CZK BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $6351.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ2758 FN 05/48 FIXED 3.5                     | CUSIP: 3140H4B45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7877 | PA      | $7327.54      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC0TA6 PIMCO SWAPTION 3.6 PUT USD 20260602           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -16200000 | NC      | $-231823.62   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ8647 FN 01/48 FIXED 3.5                     | CUSIP: 3140HATD2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8428 | PA      | $7828.39      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $608.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-32176.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA4ZA3 PIMCO FPPSWAPTION 4.6275 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    11300000 | NC      | $630003.25    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AI2571 GN 06/44 FIXED 3.5                     | CUSIP: 36198N2C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       64829 | PA      | $60949.35     | 0.01%             | 2044-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CARVAL CLO LTD 2018-1A                                            | CARVAL CLO LTD CARVL 2018 1A AR 144A                    | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2374077 | PA      | $2376543.11   | 0.21%             | 2031-07-16      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH9277 FN 02/48 FIXED 3.5                     | CUSIP: 3140GYJX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9390 | PA      | $8750.35      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58                        | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1         | CUSIP: 12668AWH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35622 | PA      | $34095.56     | 0.00%             | 2035-12-20      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ3342 FR 01/55 FIXED 6.5             | CUSIP: 3142GTWC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1030820 | PA      | $1091466.12   | 0.09%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $1420.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $21637.36     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.67900 08/13/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1697.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-57206.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-65975.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOFTBANK GROUP CORP SNR JP SP GST                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-122.22      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ARM LOAN TRUST 2005-19XS                               | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 19XS 1A1       | CUSIP: 863579YR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      921217 | PA      | $891286.15    | 0.08%             | 2035-10-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-40449.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MRGT PASS THRU CER 2003-1                              | GREENPOINT MORTGAGE PASS THROU GMSI 2003 1 A1           | CUSIP: 395387AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8225 | PA      | $8123.97      | 0.00%             | 2033-10-25      | Floating      | 6.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 12/18/24-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3601922.25   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | KBCZ26C45 DEC26 45 CALL FSO                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         136 | NC      | $10200.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $16837.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 2A1              | CUSIP: 46630PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3390 | PA      | $2404.92      | 0.00%             | 2037-04-25      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1421.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                  | FREDDIE MAC FHR 3360 FB                                 | CUSIP: 31397KE23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35389 | PA      | $35410.35     | 0.00%             | 2037-08-15      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ3702 FR 03/55 FIXED 6.5             | CUSIP: 3142GUDG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      926283 | PA      | $980778.13    | 0.09%             | 2055-03-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $7782.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $12343.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $6308.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     3400000 | NC      | $168659.72    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE                                            | CUSIP: 22823QDE8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     8900000 | PA      | $8885452.95   | 0.77%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $11736.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $25833.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CAPITAL FOUR US CLO I LTD 2021-1A                                 | CAPITAL FOUR US CLO C4US 2021 1A AR 144A                | CUSIP: 14016TAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1800000 | PA      | $1797300.13   | 0.16%             | 2035-01-18      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| TORO EUROPEAN CLO 6 DAC 6A                                        | TORO EUROPEAN CLO TCLO 6A AR 144A                       | CUSIP: ACI1ZW9V7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     7763077 | PA      | $8980608.79   | 0.78%             | 2032-01-12      | Floating      | 2.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-6196.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-S3                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 S3 1A2              | CUSIP: 466247ZP1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10383 | PA      | $4500.46      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1585.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $2463477.23   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3576.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-21403.92    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XXX DAC 30A                                | CORDATUS CLO PLC CORDA 30A AR 144A                      | CUSIP: ACI354435<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1980000 | PA      | $2287223.34   | 0.20%             | 2037-05-15      | Floating      | 3.23%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC MULTIFAMILY STRUCTURED PASS THROUGH CERTIFICATES Q034 | FHLMC MULTIFAMILY STRUCTURED P FHMS Q034 APT2           | CUSIP: 3137HLY30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2889059 | PA      | $2806950.80   | 0.24%             | 2054-07-25      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                              | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 2A1         | CUSIP: 07384MXB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1354 | PA      | $1341.82      | 0.00%             | 2033-08-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $27239.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $207.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2003-2F                                       | GSR MORTGAGE LOAN TRUST GSR 2003 2F 3A1                 | CUSIP: 36228FNB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          36 | PA      | $36.66        | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-49752.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                     | ARGENT SECURITIES INC. ARSI 2006 M2 A2B                 | CUSIP: 04013BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75016 | PA      | $24267.54     | 0.00%             | 2036-09-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | OIS CAD CAONREPO/3.0000 09/16/26-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |           1 | NC      | $-124774.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1B 144A      | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2596843 | PA      | $2622650.34   | 0.23%             | 2056-03-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.23200 09/10/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $11133.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 827732 FN 06/35 FIXED 5.5                     | CUSIP: 31407DSV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6010 | PA      | $6160.27      | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/44 4.625                             | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    13000000 | PA      | $12611777.36  | 1.10%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $3749.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-567.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 06/21/23-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3738187.28   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.39000 10/01/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $26596.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2025-NQM13 TRUST                                              | ONSLOW BAY FINANCIAL LLC OBX 2025 NQM13 A1 144A         | CUSIP: 67121UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1713330 | PA      | $1719952.14   | 0.15%             | 2065-05-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $35.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SEP6 PIMCO FXVAN PUT USD BRL 5.12000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -3470000 | NC      | $-21680.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/2.75000 06/21/23-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2310444.53   | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B      | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      280665 | PA      | $277990.91    | 0.02%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $5113.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PHH ALTERNATIVE MORTGAGE TRUST 2007-1                             | PHH ALTERNATIVE MORTGAGE TRUST PHHAM 2007 1 1A1         | CUSIP: 69337BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119096 | PA      | $87500.71     | 0.01%             | 2037-02-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| INTEGRITY RE LTD                                                  | INTEGRITY RE LTD SR UNSECURED 144A 06/26 VAR            | CUSIP: 45833UAJ0<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $254125.00    | 0.02%             | 2026-06-06      | Floating      | 14.06%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BK9579 FN 01/49 FIXED 3.5                     | CUSIP: 3140HPUD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       49444 | PA      | $45899.49     | 0.00%             | 2049-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/29 5.8         | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      600000 | PA      | $606908.61    | 0.05%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                        | HPS CORPORATE LENDING FU SR UNSECURED 04/32 5.95        | CUSIP: 40440VAK1<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |      800000 | PA      | $773422.26    | 0.07%             | 2032-04-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB1260 GN 07/42 FIXED 3.5                     | CUSIP: 36178LMH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       64982 | PA      | $61257.57     | 0.01%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-4678.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $1600.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 676926 GN 04/38 FIXED 5                       | CUSIP: 36295QA34<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      114182 | PA      | $115715.34    | 0.01%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A        | CUSIP: 92925DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      207531 | PA      | $192909.51    | 0.02%             | 2046-12-25      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                 | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2        | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      872255 | PA      | $208852.14    | 0.02%             | 2036-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260819                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $27297.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-1276.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $37619.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-1715.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-5905.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD5625 GN 05/43 FIXED 3.5                     | CUSIP: 36180HHA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       81679 | PA      | $76792.65     | 0.01%             | 2043-05-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC6EA9 PIMCO SWAPTION 3.62 CALL USD 2026042          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -700000 | NC      | $-874.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5473                                           | FREDDIE MAC FHR 5473 FA                                 | CUSIP: 3137HHFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3415239 | PA      | $3426805.58   | 0.30%             | 2054-11-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $16801.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                   | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A     | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      300000 | PA      | $286675.30    | 0.02%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.0535* 09/02/25-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-126376.88   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 675179 GN 03/38 FIXED 5                       | CUSIP: 36295NCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      121086 | PA      | $123678.75    | 0.01%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2005-4                             | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 4 M3          | CUSIP: 68389FJK1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6767000 | PA      | $5978665.48   | 0.52%             | 2035-11-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.79250 11/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-741.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG46 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-1954898.06  | -0.17%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-32036.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SEO9 PIMCO FXVAN PUT USD BRL 5.32000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     3470000 | NC      | $102507.27    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.09000 01/22/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $17334.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H052652<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    15470000 | PA      | $15539518.16  | 1.35%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750S7M1 PIMCO CDSOPT CALL USD 0.525 20260520          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -168000000 | NC      | $-103420.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.46000 03/13/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-30224.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-46848.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                              | GSAMP TRUST GSAMP 2007 NC1 A1                           | CUSIP: 3622MGAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1246229 | PA      | $659351.60    | 0.06%             | 2046-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-7735.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-61087.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-14314.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH5752 FN 11/47 FIXED 3.5                     | CUSIP: 3140GUMA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1312208 | PA      | $1224464.60   | 0.11%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677191 GN 06/38 FIXED 5                       | CUSIP: 36295QKC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61472 | PA      | $62787.13     | 0.01%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-449.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-25051.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $12001.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-790.18      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLESTAR RE LTD                                                   | POLESTAR RE LTD UNSECURED 144A 01/28 VAR                | CUSIP: 73110JAC6<br>LEI: 254900VQQ6V3O4PG3408 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $262050.00    | 0.02%             | 2028-01-07      | Floating      | 14.13%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-8395.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $959.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-97363.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAMPA4 PIMCO SWAPTION 4.141 PUT USD 2026123          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   137400000 | NC      | $189034.92    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UARPA3 PIMCO SWAPTION 3.146 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     8000000 | NC      | $955.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745586 FN 06/36 FIXED VAR                     | CUSIP: 31403DJ75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         308 | PA      | $317.58       | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $36460.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC1                         | STRUCTURED ASSET SECURITIES CO SASC 2006 BC1 A2         | CUSIP: 86359YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1091762 | PA      | $1056754.48   | 0.09%             | 2036-03-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-2238.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                              | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581        | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     5060000 | PA      | $5206388.08   | 0.45%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| NATURE COAST RE LTD                                               | NATURE COAST RE LTD UNSECURED 144A 04/33 VAR            | CUSIP: 63901CAE1<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $258800.00    | 0.02%             | 2033-04-10      | Floating      | 13.28%                | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1516.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-5340.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-6                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2025 6 A1 144A      | CUSIP: 69549BAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1024004 | PA      | $1023941.71   | 0.09%             | 2026-09-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.11000 08/25/27-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-23960.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-75531.25    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $21398.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR3                                 | SECURITIZED ASSET BACKED RECEI SABR 2006 FR3 A3         | CUSIP: 813765AC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7058262 | PA      | $3787965.69   | 0.33%             | 2036-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $449.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-156                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 156 JF          | CUSIP: 38383BBP6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6837602 | PA      | $6857213.50   | 0.60%             | 2055-09-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 885961 FN 07/36 FLOATING VAR                  | CUSIP: 31410DJE1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15363 | PA      | $15829.14     | 0.00%             | 2036-07-01      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-1835.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKG9 PIMCO CDSOPT PUT USD 102.31250000 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -10400000 | NC      | $-56464.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                         | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5    | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |     5300000 | PA      | $5334450.00   | 0.46%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $115472.71    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                             | GLP CAPITAL LP / FIN II COMPANY GUAR 09/34 5.625        | CUSIP: 361841AT6<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      200000 | PA      | $197065.08    | 0.02%             | 2034-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLU7 PIMCO CDSOPT PUT USD 95.20703125 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -13000000 | NC      | $-74088.30    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                     | UNICREDIT SPA 144A 06/27 VAR                            | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |      200000 | PA      | $199081.24    | 0.02%             | 2027-06-03      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| CC MORTGAGE FUNDING CORP 2005-BA                                  | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 BA A2 144A    | CUSIP: 16678REC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      132537 | PA      | $130472.43    | 0.01%             | 2036-06-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.86600 11/14/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4031.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 4.48500 12/02/30-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-1421.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLOBAL SPORTS GROUP (GSG BIDCO LIMITED)                           | GSG BIDCO LTD SR SECURED 144A 06/36 5.375               | CUSIP: ACI38RGS3<br>LEI: 984500F49D98F3GDZ668 | Long             | DBT              | CORP              | JE        |     1400000 | PA      | $1607073.34   | 0.14%             | 2036-06-15      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAURA4 PIMCO SWAPTION 3.174 CALL USD 202604          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    13100000 | NC      | $5233.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC7LA9 PIMCO SWAPTION 3.651 CALL USD 202606          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    14500000 | NC      | $128745.50    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-9Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3097.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-18                          | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 18 6A1         | CUSIP: 863579XK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19646 | PA      | $17658.98     | 0.00%             | 2035-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| BARINGS EURO CLO 2025-1 DAC 25-1A                                 | BARINGS EURO CLO DAC BABSE 2025 1A A 144A               | CUSIP: ACI379GS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3100000 | PA      | $3576266.81   | 0.31%             | 2039-08-15      | Floating      | 3.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260430                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $869.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677098 GN 07/38 FIXED 5                       | CUSIP: 36295QGF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22928 | PA      | $23224.42     | 0.00%             | 2038-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89000 03/03/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2600.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-11724.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $30667.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-4204.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-431.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H032647<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25000000 | PA      | $22934195.75  | 1.99%             | 2056-04-21      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS PLN 4.68500 12/02/30-5Y CME                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $3209.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2062.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $267.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $3607.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     2160000 | PA      | $673200.72    | 0.06%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ5470 GN 09/44 FIXED 3.5                     | CUSIP: 36183BCF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36510 | PA      | $34325.78     | 0.00%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260724                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $69683.50     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.68000 08/07/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $2122.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ABX.HE.AAA.06-2 SP BOA                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-679163.44   | -0.06%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $12950.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $4253.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PURPLE RE LTD                                                     | PURPLE RE LTD UNSECURED 144A 06/26 VAR                  | CUSIP: 74639NAB9<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      300000 | PA      | $304950.00    | 0.03%             | 2026-06-05      | Floating      | 14.14%                | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A B1R 144A     | CUSIP: 36361UAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2700000 | PA      | $2707647.35   | 0.24%             | 2031-07-15      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 5A1         | CUSIP: 07384MTM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         739 | PA      | $746.77       | 0.00%             | 2033-04-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $300.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-22743.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                        | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A2         | CUSIP: 07384MR87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4151 | PA      | $3941.54      | 0.00%             | 2034-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $314776.05    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 758900 FN 12/33 FLOATING VAR                  | CUSIP: 31403VDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7121 | PA      | $7294.17      | 0.00%             | 2033-12-01      | Floating      | 6.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89600 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4865.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $3244.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US LONG BOND(CBT) JUN26 XCBT 20260618                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         159 | NC      | $-639945.90   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 754031 FN 12/33 FLOATING VAR                  | CUSIP: 31403NVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27040 | PA      | $27673.44     | 0.00%             | 2033-12-01      | Floating      | 5.84%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL2567 GN 03/45 FIXED 3.5                     | CUSIP: 36183XZ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1005 | PA      | $945.14       | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TREMONT RE LTD                                                    | TREMONT RE LTD UNSECURED 144A 03/33 VAR                 | CUSIP: 89479VAA4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      500000 | PA      | $500000.00    | 0.04%             | 2033-03-22      | Floating      | 7.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y3A4 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    14100000 | NC      | $835221.96    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-NC2                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 NC2 A2B        | CUSIP: 17309TAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2303049 | PA      | $1783269.70   | 0.15%             | 2036-09-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 4.50000 09/20/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |           1 | NC      | $-500272.18   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-NC2                             | MORGAN STANLEY CAPITAL INC MSAC 2007 NC2 A1 144A        | CUSIP: 61753NAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      637999 | PA      | $577616.91    | 0.05%             | 2037-02-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-15458.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-4320.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $123931.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032641<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5030000 | PA      | $4611898.40   | 0.40%             | 2056-04-13      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.25000 11/06/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-13094.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $718.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ9565 GN 03/45 FIXED 3.5                     | CUSIP: 36183FTW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23104 | PA      | $21722.09     | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    57440000 | PA      | $59379265.73  | 5.16%             | 2056-05-13      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    21400000 | PA      | $6431130.78   | 0.56%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CZK SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-32.07       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-695612.91   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 01/35 11.75                  | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 79155600000 | PA      | $19625520.98  | 1.71%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-140.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $1901.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC1                             | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC1 M6        | CUSIP: 76112BRR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1789019 | PA      | $1757433.14   | 0.15%             | 2035-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| MAYFLOWER RE LTD                                                  | MAYFLOWER RE LTD UNSECURED 144A 07/30 VAR               | CUSIP: 57839MAB4<br>LEI: N/A                  | Long             | DBT              | CORP              | BM        |      250000 | PA      | $253250.00    | 0.02%             | 2030-07-08      | Floating      | 10.02%                | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                       | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 1A1         | CUSIP: 61752JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      672171 | PA      | $215899.83    | 0.02%             | 2046-09-25      | Variable      | 6.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.95000 12/19/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-8121.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |      547733 | PA      | $5334375.51   | 0.46%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AB2803 FN 04/26 FIXED 4                       | CUSIP: 31416YDH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          10 | PA      | $10.04        | 0.00%             | 2026-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 3M CORRA FUTURES  MAR27 XMOD 20270615                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          51 | NC      | $-19193.05    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20261002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-238.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $1066.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VIPER ENERGY PARTNERS LLC                                         | VIPER ENERGY PARTNERS LL COMPANY GUAR 08/35 5.7         | CUSIP: 92764MAB0<br>LEI: 54930010ZZ02MRGRI973 | Long             | DBT              | CORP              | US        |      800000 | PA      | $806724.00    | 0.07%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 688091 GN 11/38 FIXED 5                       | CUSIP: 36296DNG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13184 | PA      | $13466.02     | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $32315.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052649<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    14410000 | PA      | $14478622.73  | 1.26%             | 2056-04-13      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.97000 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $2507.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-4190.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $5651.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $7476.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.00000 09/17/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $-405658.18   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.65543 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $7469.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260406                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $24118.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260916                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-252006.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                              | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4           | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      156856 | PA      | $28046.43     | 0.00%             | 2036-10-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260417                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-2280.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $8819.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 799940 FN 11/34 FLOATING VAR                  | CUSIP: 31405UV97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         938 | PA      | $950.71       | 0.00%             | 2034-11-01      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260409                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $3196.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2      | CUSIP: 12668AKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4085 | PA      | $2259.12      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                           | FREDDIE MAC FHR 5580 FA                                 | CUSIP: 3137HMXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5569457 | PA      | $5614684.25   | 0.49%             | 2055-09-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-8605.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5JA8 PIMCO FPPSWAPTION 3.1625 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   733800000 | NC      | $2482298.64   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $49261.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 12.985 01/27/26-01/02/31 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-125208.67   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889770 FN 06/38 FIXED VAR                     | CUSIP: 31410KQX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10046 | PA      | $10373.12     | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BE5475 FN 02/47 FIXED 3.5                     | CUSIP: 3140FRCM5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12120 | PA      | $11294.09     | 0.00%             | 2047-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-22855.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-11301.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $19386.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-9                                     | GSAA HOME EQUITY TRUST GSAA 2006 9 A2                   | CUSIP: 362382AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       63894 | PA      | $11427.93     | 0.00%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87400 03/05/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-4096.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                 | HSBC HOLDINGS PLC SR UNSECURED 06/31 VAR                | CUSIP: 404280CH0<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      300000 | PA      | $277322.82    | 0.02%             | 2031-06-04      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY10                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY10 3A1      | CUSIP: 12668BUK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      102992 | PA      | $91956.32     | 0.01%             | 2036-05-25      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260416                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $21097.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-416.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $6837.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.86500 11/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $987.58       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-68183.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $11778.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1127.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-15440.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 880623 FN 04/36 FIXED 5.5                     | CUSIP: 31409WLC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       70463 | PA      | $72752.38     | 0.01%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-0.56        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260422                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4565.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-OP2                                 | SECURITIZED ASSET BACKED RECEI SABR 2005 OP2 M3         | CUSIP: 81375WGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      304000 | PA      | $271786.09    | 0.02%             | 2035-10-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF1                                | STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A6         | CUSIP: 86358BAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      897593 | PA      | $885125.03    | 0.08%             | 2037-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| CONTEGO CLO III BV 3A                                             | CONTEGO CLO DAC CONTE 3A ARR 144A                       | CUSIP: ACI2ZDDH3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | NL        |     1700000 | PA      | $1963803.74   | 0.17%             | 2038-04-15      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $572.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES7                                     | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES7 A1A 144A     | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1346020 | PA      | $1345353.79   | 0.12%             | 2044-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC6DA0 PIMCO SWAPTION 3.9 PUT USD 20260420           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     -700000 | NC      | $-3964.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C03424 FG 10/39 FIXED 6               | CUSIP: 31292KYV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57383 | PA      | $60591.58     | 0.01%             | 2039-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-9269.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-19387.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2025-CA                                 | NELNET STUDENT LOAN TRUST NSLT 2025 CA A1B 144A         | CUSIP: 64035UAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2690380 | PA      | $2713130.97   | 0.24%             | 2065-06-22      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3568.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-1497.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-3464.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-28720.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 08/35 4.25                              | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      549000 | PA      | $547027.03    | 0.05%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| EAST LANE RE VII LTD                                              | EAST LANE RE VII LTD SR UNSECURED 144A 03/32 VAR        | CUSIP: 27332EAC5<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      300000 | PA      | $300510.00    | 0.03%             | 2032-03-31      | Floating      | 12.10%                | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                  | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 AS 144A     | CUSIP: 55284AAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4600000 | PA      | $4599663.97   | 0.40%             | 2036-10-16      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $127.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLB9 PIMCO CDSOPT PUT USD 102.17187500 20          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -21900000 | NC      | $-118923.57   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260403                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-5639.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC76A6 PIMCO SWAPTION 4.0325 PUT USD 202605          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     8800000 | NC      | $39081.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                 | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    43800000 | PA      | $981684.54    | 0.09%             | 2028-09-06      | Fixed         | 39.28%                | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 06/15/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1058454.92   | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-15382.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A3                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A3 1A          | CUSIP: 589929R26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1992 | PA      | $1950.11      | 0.00%             | 2033-05-25      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-17853.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-2179.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-78                                         | FANNIE MAE FNR 2025 78 KF                               | CUSIP: 3136BW7K6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6991064 | PA      | $7050028.34   | 0.61%             | 2055-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.22000 01/08/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-35478.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKZ7 PIMCO CDSOPT PUT USD 99.09765625 202          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    99600000 | NC      | $86333.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS8455 FN 08/53 FIXED VAR                     | CUSIP: 3140XQMD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      973419 | PA      | $992964.99    | 0.09%             | 2053-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 938574 FN 09/36 FIXED 5.5                     | CUSIP: 31412YFP2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30078 | PA      | $30815.86     | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.80740 03/01/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-785.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062663<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   162500000 | PA      | $167973562.25 | 14.60%            | 2056-06-11      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-87218.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AK7012 GN 04/45 FIXED 3.5                     | CUSIP: 36183QYH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       19597 | PA      | $18412.79     | 0.00%             | 2045-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                      | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                      | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       89940 | PA      | $89602.41     | 0.01%             | 2042-09-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AS5068 FN 06/45 FIXED 3.5                     | CUSIP: 3138WET25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2008 | PA      | $1886.51      | 0.00%             | 2045-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 2A1        | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      579030 | PA      | $537985.20    | 0.05%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6       | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    48800000 | PA      | $14319004.57  | 1.24%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/17/26-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $59535.93     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-34520.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-63                                                | FANNIE MAE FNR 2007 63 FC                               | CUSIP: 31396WTU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5131 | PA      | $5079.10      | 0.00%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-3F                                   | GSR MORTGAGE LOAN TRUST GSR 2007 3F 3A5                 | CUSIP: 3622MWAR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      163661 | PA      | $115200.42    | 0.01%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $7865.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-2506.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AZ0862 FN 07/45 FIXED 3.5                     | CUSIP: 3138YR5Y0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9876 | PA      | $9279.38      | 0.00%             | 2045-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875              | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   108500000 | PA      | $6301768.49   | 0.55%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84200 12/26/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-1774.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $3993.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.4525 07/20/22-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-10608.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSLT TRS EQUITY SOFR+63 MYI                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-30925.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR JPY MUTK/2.50000 12/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-1050142.56  | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $13922.55     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL2088 FN 09/26 FIXED VAR                     | CUSIP: 3138EJKA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         276 | PA      | $275.01       | 0.00%             | 2026-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CZK BOUGHT USD 20260415                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $2654.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ERAUSLT TRS EQUITY SOFR+60 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-385058.01   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20261221                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $49832.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ2091 FR 04/54 FIXED 5.5             | CUSIP: 3142GSKD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3172033 | PA      | $3193564.54   | 0.28%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2006-A7CB                             | RESIDENTIAL ASSET SECURITIZATI RAST 2006 A7CB 1A3       | CUSIP: 76113NAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      307958 | PA      | $225269.46    | 0.02%             | 2036-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-68693.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBKMA0 PIMCO SWAPTION 3.4625 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    14900000 | NC      | $12161.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $288.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

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

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer