# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-26-007198
**Filing Date:** 2026-5
**Character Count:** 562989
**Document Hash:** 85e91d36ecdff59bfd7e0add0f95b5f1
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-007198.hdr.sgml**: 20260529

**ACCESSION NUMBER**: 0001099263-26-007198

**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:** 261043364

**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 StocksPLUS Absolute Return Fund (Series ID: S000009705)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000026637 | Institutional | PSPTX           |
| C000026638 | A             | PTOAX           |
| C000026640 | C             | PSOCX           |
| C000064153 | I-2           | PTOPX           |
| C000200450 | I-3           | PSPNX           |

## 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 StocksPLUS Absolute Return Fund

- **b. EDGAR series identifier (if any):** S000009705

- **c. LEI of Series:** DP5YBOMA0XM2I3P0Z191

**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:** $5795892831.28

**Total Liabilities:** $4241607970.42

**Net Assets:** $1554284860.86

**Cash Not Reported:** $56169239.55

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -104082.963900 | **1-Year:** 269890.396100 | **5-Year:** 416373.022800 | **10-Year:** 29620.814800 | **30-Year:** -56036.985500

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

- **3-Month:** 9635.901700 | **1-Year:** 17703.663700 | **5-Year:** 75040.522800 | **10-Year:** 16704.088000 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026638 | 1.24%                | -0.49%               | -6.39%               |
| Class ID C000026640 | 1.17%                | -0.42%               | -6.57%               |
| Class ID C000064153 | 1.22%                | -0.40%               | -6.45%               |
| Class ID C000200450 | 1.22%                | -0.40%               | -6.36%               |
| Class ID C000026637 | 1.26%                | -0.39%               | -6.40%               |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-1132646.99             | $11160573.65                               |
| Month 2  | $2914710.88              | $-270775.23                                |
| Month 3  | $-1916735.58             | $-34881704.81                              |

**Designated Index Information**

- **Index Name:** S&P 500 Index

- **Index Identifier:** SPTR

### Schedule of Portfolio Investments

| Name                                                              | Title                                                  | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                               | SOLD CZK BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $9317.31      | 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      | $-90796.33    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $8383.87      | 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      | $9186.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 09/17/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-3569352.59  | -0.23%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $5747.00      | 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        |      360144 | PA      | $367892.50    | 0.02%             | 2041-02-20      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $3078.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLONY MORTGAGE CAPITAL SERIES LTD 2019-IKPR                      | COLONY MORTGAGE CAPITAL LTD CLNY 2019 IKPR A 144A      | CUSIP: 12564NAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2744755 | PA      | $2718556.32   | 0.17%             | 2038-11-15      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| MADISON PARK EURO FUNDING X DAC 10A                               | MADISON PARK EURO FUNDING CADOG 10A A1 144A            | CUSIP: ACI216KN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2244131 | PA      | $2590962.53   | 0.17%             | 2030-10-25      | Floating      | 2.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $2680.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MTGE LOAN TRUST 2004-7                                        | GSR MORTGAGE LOAN TRUST GSR 2004 7 1A1                 | CUSIP: 36228F4P8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10338 | PA      | $10045.42     | 0.00%             | 2034-06-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $72403.90     | 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      | $27895.58     | 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                  | Long             | ABS-MBS          | USGSE             | US        |    44000000 | PA      | $41489258.80  | 2.67%             | 2056-05-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $116.57       | 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      | $-20466.91    | -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      | $2577.54      | 0.00%             |  |  |  | No            |                  3 | 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        |      563847 | PA      | $576422.42    | 0.04%             | 2038-08-15      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-47127.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOFTBANK GROUP CORP SNR JP SP GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-366.67      | -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        |    54000000 | PA      | $49537862.82  | 3.19%             | 2056-04-21      | 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      | $23056.96     | 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      | $8999.64      | 0.00%             |  |  |  | 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        |     3111256 | PA      | $3183025.64   | 0.20%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1024.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BMW CANADA AUTO TRUST 2024-1A                                     | BMW CANADA AUTO TRUST BMWC 2024 1A A2 144A             | CUSIP: 05570XCL8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | CA        |      370733 | PA      | $267105.79    | 0.02%             | 2027-07-20      | Fixed         | 4.84%                 | 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      | $-15843.41    | -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      | $262158.52    | 0.02%             |  |  |  | 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        |    -3165278 | NC      | $-2529.06     | -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      | $5934.83      | 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      | $-6266.85     | -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        |      200000 | PA      | $206481.01    | 0.01%             | 2027-11-04      | Fixed         | 7.35%                 | 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      | $23765.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-504.37      | -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      | $-58730.09    | -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      | $2552.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SPTR TRS EQUITY SOFR+44 JPM                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-7613145.95  | -0.49%            |  |  |  | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                        | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A           | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2467510 | PA      | $2503298.52   | 0.16%             | 2037-10-25      | Floating      | 5.29%                 | 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      | $-62664.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $922.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-6                                  | TOWD POINT MORTGAGE TRUST TPMT 2017 6 B1 144A          | CUSIP: 89175JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4900000 | PA      | $4183759.65   | 0.27%             | 2057-10-25      | Variable      | 3.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $6902.25      | 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        |     2070360 | PA      | $2176146.03   | 0.14%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE4                             | MORGAN STANLEY CAPITAL INC MSAC 2006 HE4 A3            | CUSIP: 61748BAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1275452 | PA      | $628996.15    | 0.04%             | 2036-06-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3355                                                  | FREDDIE MAC FHR 3355 BF                                | CUSIP: 31397KC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       43313 | PA      | $43381.44     | 0.00%             | 2037-08-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $7646.28      | 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      | $7795.04      | 0.00%             |  |  |  | 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        |     2224038 | PA      | $2149244.40   | 0.14%             | 2036-12-25      | Floating      | 4.31%                 | 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        |     9096780 | PA      | $9170650.95   | 0.59%             | 2055-09-25      | Floating      | 4.61%                 | 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        |     5815157 | PA      | $5831835.97   | 0.38%             | 2055-09-20      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | FED FUND 30DAY    MAY26 XCBT 20260529                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         160 | NC      | $-258111.83   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-133.25      | -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      | $-154553.77   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER DRIVE AUTO RECEIVABLES TRUST 2024-3                     | SANTANDER DRIVE AUTO RECEIVABL SDART 2024 3 A3         | CUSIP: 80287LAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1197115 | PA      | $1200420.29   | 0.08%             | 2029-01-16      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $122.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.0535* 09/02/25-27Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-206813.61   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $14033.03     | 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      | $-66765.05    | -0.00%            |  |  |  | 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        |   -46690000 | PA      | $-42809052.96 | -2.75%            | 2056-04-13      | 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        |   -22800000 | NC      | $-326270.28   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                           | NTT FINANCE CORP SR UNSECURED 144A 07/30 4.876         | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      200000 | PA      | $201323.53    | 0.01%             | 2030-07-16      | Fixed         | 4.88%                 | 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        |     6600000 | PA      | $1983432.86   | 0.13%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $13633.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.55000 04/16/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $16391.15     | 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      | $-23805.31    | -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        |         474 | NC      | $219001.85    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-3399.03     | -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      | $26604.32     | 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      | $32807.89     | 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      | $-5037.89     | -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        |     1850000 | PA      | $29746.90     | 0.00%             | 2026-10-20      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                             | TAKEOFF MERGER SUB INC SR UNSECURED 144A 03/29 4.5     | CUSIP: 873923AC0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     3100000 | PA      | $3080639.35   | 0.20%             | 2029-03-24      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-1964.18     | -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      | $-589.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE5                                | MASTR ASSET BACKED SECURITIES MABS 2006 HE5 A2         | CUSIP: 576455AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6507638 | PA      | $3815720.95   | 0.25%             | 2036-11-25      | Floating      | 3.99%                 | 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        |      500000 | PA      | $477792.17    | 0.03%             | 2040-01-21      | Fixed         | 3.00%                 | 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      | $14147252.13  | 0.91%             |  |  |  | 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        |     4380186 | PA      | $4255699.59   | 0.27%             | 2054-07-25      | Floating      | 2.94%                 | 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        |     1900000 | NC      | $2485.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                            | CUSIP: 912797TE7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2500000 | PA      | $2478853.30   | 0.16%             | 2026-06-25      | None          | 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      | $50472.18     | 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        |     8142963 | PA      | $8219695.94   | 0.53%             | 2075-09-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $11936.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $5898.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SPTR TRS EQUITY SOFR+35 *BULLET* JPM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-11685863.38 | -0.75%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N2                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N2 E 144A    | CUSIP: 14686KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5024855 | PA      | $4941247.63   | 0.32%             | 2028-03-10      | Fixed         | 2.90%                 | 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        |      100169 | PA      | $93616.63     | 0.01%             | 2047-05-25      | Floating      | 4.15%                 | 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      | $-12061.76    | -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      | $17739.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $4198.44      | 0.00%             |  |  |  | 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        |     2871587 | PA      | $3030342.24   | 0.19%             | 2054-04-01      | Fixed         | 6.50%                 | 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        |     -900000 | NC      | $-1124.64     | -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      | $133167.28    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-6747.59     | -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        |    41900000 | NC      | $99923.12     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $149.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SALOMON BROTHERS MTGE SEC VII 2003-UP2                            | SALOMON BROTHERS MORTGAGE SECU SBM7 2003 UP2 A1        | CUSIP: 79549AXP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         479 | PA      | $479.18       | 0.00%             | 2033-06-25      | Variable      | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC75A7 PIMCO SWAPTION 3.7325 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -14000000 | NC      | $-67348.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2005-OPT2                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 OPT2 M2       | CUSIP: 83611MGJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1982552 | PA      | $1856113.20   | 0.12%             | 2035-08-25      | Floating      | 4.63%                 | 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        |        4327 | PA      | $4228.05      | 0.00%             | 2045-02-25      | Floating      | 5.06%                 | 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        |   381900000 | NC      | $716509.32    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $7708.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-42068.69    | -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        |     5200000 | NC      | $286288.08    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $67823.18     | 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        |   100500000 | NC      | $240746.75    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-51.61       | -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      | $-8530.94     | -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        |      864414 | PA      | $727449.62    | 0.05%             | 2036-12-19      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A BR2 144A | CUSIP: 38178DAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     4900000 | PA      | $4865622.24   | 0.31%             | 2035-04-20      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1600.53     | -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      | $1635041.85   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $5753.66      | 0.00%             |  |  |  | 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        |        5866 | PA      | $2688.13      | 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      | $-14367.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                            | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG      | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     3900000 | PA      | $1365000.00   | 0.09%             | 2060-12-31      | None          | 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      | $-5895.28     | -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        |     1200000 | PA      | $1210086.00   | 0.08%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260408                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $167428.90    | 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      | $2291.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIV1 PIMCO FXVAN CALL USD HKD 7.80000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    16200000 | NC      | $23295.60     | 0.00%             |  |  |  | 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      | $22986.83     | 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      | $42629.62     | 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      | $45694.18     | 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      | $-19250.28    | -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        |     9170000 | PA      | $8860179.26   | 0.57%             | 2056-04-21      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-234053.64   | -0.02%            |  |  |  | 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      | $334415.96    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $13461.55     | 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      | $3532.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                  | DEUTSCHE BANK NY 09/31 VAR                             | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |      500000 | PA      | $470212.86    | 0.03%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $26126.65     | 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      | $-72289.73    | -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      | $-355.24      | -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      | $33421.42     | 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      | $-2853.47     | -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      | $5021.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                                     | ARGENT SECURITIES INC. ARSI 2006 W4 A2D                | CUSIP: 040104TH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5264425 | PA      | $1243334.57   | 0.08%             | 2036-05-25      | Floating      | 4.33%                 | 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        |        7388 | PA      | $6500.49      | 0.00%             | 2035-11-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-495.82      | -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      | $-139470.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $51.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.07100 01/15/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $16242.18     | 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        |     1900000 | NC      | $2487.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US ULTRA BOND CBT JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          41 | NC      | $-114693.85   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-OPT1                              | HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 2A3      | CUSIP: 40431JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4475571 | PA      | $4052535.67   | 0.26%             | 2036-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                            | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      589000 | PA      | $588645.62    | 0.04%             | 2026-04-07      | None          | 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        |    15300000 | NC      | $866423.70    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $2507.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GE-WMC MORTGAGE SECURITIES LLC 2005-2                             | GE WMC MORTGAGE SECURITIES LLC GEWMC 2005 2 A2D        | CUSIP: 367910AV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3995807 | PA      | $3911707.08   | 0.25%             | 2035-12-25      | Floating      | 4.43%                 | 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      | $-1784516.19  | -0.11%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260428                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-3121.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE5                                              | GSAMP TRUST GSAMP 2005 HE5 M4                          | CUSIP: 362341ZE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      186868 | PA      | $184614.69    | 0.01%             | 2035-11-25      | Floating      | 4.69%                 | 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        |   -14500000 | NC      | $-113819.20   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1      | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1879734 | PA      | $1786095.30   | 0.11%             | 2046-03-20      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $20952.64     | 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      | $-327.92      | -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        |    -3080000 | NC      | $-6076.84     | -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      | $6962.91      | 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      | $-455.29      | -0.00%            |  |  |  | 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      | $-39190.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-A                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 A APT 144A     | CUSIP: 78450FAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     6387175 | PA      | $6008628.03   | 0.39%             | 2054-11-16      | Fixed         | 2.85%                 | 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        |     1200000 | PA      | $366907.10    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | 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      | $-7139.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                               | SPACE COAST CREDIT UNION SCCU 2024 1A A3 144A          | CUSIP: 78436RAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2840482 | PA      | $2854135.80   | 0.18%             | 2029-06-15      | Fixed         | 5.11%                 | 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      | $2047.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTY OF CLARK DEPARTMENT OF AVIATION                            | CLARK CNTY NV ARPT REVENUE CLAAPT 07/45 FIXED 6.82     | CUSIP: 18085PMT8<br>LEI: 549300LDD8NZB2EOVG83 | Long             | DBT              | MUN               | US        |      100000 | PA      | $110779.91    | 0.01%             | 2045-07-01      | Fixed         | 6.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-235.68      | -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      | $-109282.19   | -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      | $-130000.45   | -0.01%            |  |  |  | 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        |     3025918 | PA      | $2822055.29   | 0.18%             | 2035-08-25      | Floating      | 5.42%                 | 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    | 0.02%             | 2039-07-25      | Fixed         | 3.16%                 | 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        |    34000000 | NC      | $285134.20    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-N2                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 N2 A3 144A   | CUSIP: 14687VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      713593 | PA      | $715048.12    | 0.05%             | 2028-07-10      | Fixed         | 5.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-34802.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR9                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR9 1A        | CUSIP: 9393357P4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1669 | PA      | $1638.85      | 0.00%             | 2042-08-25      | Floating      | 5.26%                 | 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        |     2100000 | NC      | $3613.05      | 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      | $1181263.88   | 0.08%             |  |  |  | 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      | $-213050.91   | -0.01%            |  |  |  | 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      | $-205282.80   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                            | CUSIP: 912797TT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       54000 | PA      | $53699.97     | 0.00%             | 2026-05-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                            | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2A         | CUSIP: 14319FAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        9909 | PA      | $9914.18      | 0.00%             | 2027-09-15      | Fixed         | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $6312.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -7600000 | NC      | $-3070.40     | -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        |     1233569 | PA      | $1241942.42   | 0.08%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3656.51      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-2A                                          | FIRST HELP FINANCIAL LLC FHF 2024 2A A2 144A           | CUSIP: 30336NAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      393475 | PA      | $396233.41    | 0.03%             | 2030-06-15      | Fixed         | 5.89%                 | 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      | $1621.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SL0034 FR 06/54 FIXED 6.5            | CUSIP: 31427MBC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2063552 | PA      | $2185447.44   | 0.14%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PFP 2025-12 LTD                                                   | PFP III PFP 2025 12 A 144A                             | CUSIP: 69382JAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1500000 | PA      | $1500154.46   | 0.10%             | 2042-12-18      | Floating      | 5.17%                 | 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      | $-1613633.58  | -0.10%            |  |  |  | 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        |     7600000 | NC      | $11567.20     | 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      | $-5770.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-9751.63     | -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        |    21600000 | NC      | $135207.36    | 0.01%             |  |  |  | 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      | $-29.58       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.46000 03/13/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-45336.95    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 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                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-43259.71    | -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      | $4783.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KZT BOUGHT USD 20260604                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-9719.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.69387 03/01/24-4Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $6261.09      | 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      | $625.17       | 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        |     2903779 | PA      | $2258841.21   | 0.15%             | 2046-12-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-10491.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $3611.50      | 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      | $-17140.71    | -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      | $-228.17      | -0.00%            |  |  |  | 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        |    10588411 | PA      | $11122220.23  | 0.72%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-7917.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA - PETROPERU SA                              | PETROLEOS DEL PERU SA SR UNSECURED REGS 06/47 5.625    | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |     2400000 | PA      | $1686240.00   | 0.11%             | 2047-06-19      | Fixed         | 5.62%                 | 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        |     8500000 | PA      | $8625784.70   | 0.55%             | 2029-01-25      | Fixed         | 5.44%                 | 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        |   -25000000 | NC      | $-565.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y5A2 PIMCO FPPSWAPTION 4.485 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    18100000 | NC      | $1072164.36   | 0.07%             |  |  |  | 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      | $-23033.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3376                                           | FREDDIE MAC FHR 3376 FD                                | CUSIP: 31397KZG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7128 | PA      | $7142.26      | 0.00%             | 2037-10-15      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $1577.25      | 0.00%             |  |  |  | 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      |
| 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        |     2205707 | PA      | $1183739.28   | 0.08%             | 2036-05-25      | Floating      | 4.29%                 | 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      | $11766.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-5327.48     | -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      | $-1758.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN 2005-2                                 | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 2 M6          | CUSIP: 83611MEV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      412973 | PA      | $412757.61    | 0.03%             | 2035-07-25      | Floating      | 4.87%                 | 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      | $1377259.34   | 0.09%             |  |  |  | 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        |    -7300000 | NC      | $-6475.10     | -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      | $-126953.46   | -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      | $14512.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2005-79                                                | FANNIE MAE FNR 2005 79 NF                              | CUSIP: 31394FHD0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37163 | PA      | $36949.68     | 0.00%             | 2035-09-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $2452.46      | 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      | $42526.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 06/21/23-7Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $834338.43    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CC1216 FN 10/55 FIXED 5.5                    | CUSIP: 3140Y7K64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4978002 | PA      | $5074295.03   | 0.33%             | 2055-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR12                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR12 A1       | CUSIP: 45661VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      142463 | PA      | $133576.03    | 0.01%             | 2046-09-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2004-W9                                     | ARGENT SECURITIES INC. ARSI 2004 W9 M1                 | CUSIP: 040104LB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      312551 | PA      | $339129.02    | 0.02%             | 2034-06-26      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260708                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $51964.44     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260724                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $122698.31    | 0.01%             |  |  |  | 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        |    -1900000 | NC      | $-1695.94     | -0.00%            |  |  |  | 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                                                               | 317UA0HA1 PIMCO SWAPTION 3.245 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1000000 | NC      | $2967.90      | 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      | $-4161.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBKLA1 PIMCO SWAPTION 3.7625 PUT USD 202604         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -25000000 | NC      | $-92907.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260408                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-5791.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-193.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 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        |     1188043 | PA      | $1171501.99   | 0.08%             | 2035-07-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-42958.66    | -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        |       42472 | PA      | $41087.12     | 0.00%             | 2035-05-25      | Floating      | 5.16%                 | 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        |       46442 | PA      | $47240.20     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11                            | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M3       | CUSIP: 76110W7F7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7784352 | PA      | $7723525.62   | 0.50%             | 2035-12-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-12094.14    | -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      | $-672.49      | -0.00%            |  |  |  | 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        |      900000 | NC      | $2396.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2024 FL14 A 144A    | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |      800000 | PA      | $800387.14    | 0.05%             | 2039-03-19      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-1969.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SF+26.161/2.50 7/31/23-5Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1225727.19   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 706707 GN 02/39 FIXED 5                      | CUSIP: 36297BDL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1065 | PA      | $1082.53      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $422.61       | 0.00%             |  |  |  | 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        |     3080000 | NC      | $18027.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CCA VINTAGE 2026  DEC26 IFED 20261224                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         217 | NC      | $-965938.20   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | CDX ITRAXX MAIN45 5Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $-18518.53    | -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      | $8180.37      | 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      | $-131672.54   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     8000000 | NC      | $433608.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-37981.38    | -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        |     4259568 | PA      | $4489761.10   | 0.29%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZHA6 PIMCO SWAPTION 3.215 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1000000 | NC      | $2651.70      | 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      | $-15455.88    | -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      | $108461.73    | 0.01%             |  |  |  | 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        |    33500000 | PA      | $10067424.35  | 0.65%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $4015.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SKH7 PIMCO CDSOPT CALL USD 102.31250000 2         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -14700000 | NC      | $-3129.63     | -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      | $3528.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | REVERSE REPO DEUTSCHE REVERSE REPO                     | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -20810326 | PA      | $-20830044.02 | -1.34%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $8057.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $5163.72      | 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      | $-492.26      | -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                                                               | SOLD CLP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $41768.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 1A1        | CUSIP: 07384MZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         242 | PA      | $240.55       | 0.00%             | 2034-01-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050668<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    65100000 | PA      | $64077325.22  | 4.12%             | 2056-06-11      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CZK SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $-46.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $55574.10     | 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      | $254373.34    | 0.02%             |  |  |  | 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        |   395000000 | PA      | $434275.69    | 0.03%             | 2029-10-01      | Fixed         | 5.80%                 | 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        |   -30100000 | NC      | $-99336.02    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-9282.16     | -0.00%            |  |  |  | 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        |      195058 | PA      | $195311.20    | 0.01%             | 2028-05-15      | Fixed         | 5.99%                 | 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                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-21785.24    | -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      | $286.08       | 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      | $6201.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC3 A1 144A  | CUSIP: 17312EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      598471 | PA      | $547246.71    | 0.04%             | 2037-03-25      | Floating      | 4.05%                 | 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      | $-8429.52     | -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      | $-3678.57     | -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      | $-113282.33   | -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      | $5330.41      | 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      | $180013.74    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-2593.11     | -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        |  1148300000 | NC      | $3884469.24   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $41326.16     | 0.00%             |  |  |  | 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      | $-29610.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3MO EURO EURIBOR  JUN27 IFLL 20270614                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         -18 | NC      | $33005.74     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-395.72      | -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      | $10579.87     | 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      | $105203.47    | 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      | $2660.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-TC1                           | STRUCTURED ASSET SECURITIES CO SASC 2007 TC1 M2 144A   | CUSIP: 86364GAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3461546 | PA      | $3544651.30   | 0.23%             | 2031-04-25      | Floating      | 4.44%                 | 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        |     2998540 | PA      | $2714355.53   | 0.17%             | 2046-12-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 02/28 2.9        | CUSIP: 345397B51<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $191856.50    | 0.01%             | 2028-02-16      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $150.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.25000 06/21/23-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $439040.55    | 0.03%             |  |  |  | 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        |   -15000000 | NC      | $-6060.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-BUXL 30Y BND JUN26 XEUR 20260608                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         -16 | NC      | $24231.98     | 0.00%             |  |  |  | No            |                  1 | 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        |     2000000 | PA      | $2033924.90   | 0.13%             | 2056-04-21      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-5980.85     | -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      | $452068.65    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $22264.85     | 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      | $-1237.70     | -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      | $-21495.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ASCENT EDUCATION FUNDING TRUST 2024-A                             | ASCENT EDUCATION FUNDING TRUST ASCNT 2024 A A 144A     | CUSIP: 04362VAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      435980 | PA      | $445145.34    | 0.03%             | 2050-10-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-607.85      | -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      | $-10922.59    | -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      | $32583.43     | 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      | $-189846.41   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBYBA2 PIMCO SWAPTION 3.967 PUT USD 2026050         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -17000000 | NC      | $-100728.40   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $736.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOO8 PIMCO CDSOPT CALL USD 94.31250000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    -8300000 | NC      | $-24517.37    | -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      | $2050.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-HYB9                                  | COUNTRYWIDE HOME LOANS CWHL 2004 HYB9 1A1              | CUSIP: 12669GHG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2515 | PA      | $2513.65      | 0.00%             | 2035-02-20      | Floating      | 5.02%                 | 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        |   -18200000 | NC      | $-48128.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                            | CUSIP: 912797SD0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      200000 | PA      | $199979.87    | 0.01%             | 2026-04-02      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260505                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-1284.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-32562.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $401465.42    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-8553.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE4               | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE4 1A4      | CUSIP: 07386RAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11500000 | PA      | $9989530.20   | 0.64%             | 2037-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260721                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-18185.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      500000 | PA      | $11253.25     | 0.00%             | 2026-08-19      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $18.41        | 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      | $12033.78     | 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      | $530.91       | 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      | $-123993.52   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260408                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $0.00         | 0.00%             |  |  |  | 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      | $71771.47     | 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        |    20100000 | NC      | $178467.90    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-2447.61     | -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      | $5857.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MORTGAGE LOAN TRUST 2006-FF7                       | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF7 2A4        | CUSIP: 320277AF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1900000 | PA      | $1693048.01   | 0.11%             | 2036-05-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-1513.54     | -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      | $27426.06     | 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      | $145.09       | 0.00%             |  |  |  | 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      | $-7623.14     | -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      | $47533.78     | 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        |     5479043 | PA      | $6351356.44   | 0.41%             | 2081-03-24      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-2315.76     | -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      | $-2847.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $82690.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2021-SJ2                                | TOWD POINT MORTGAGE TRUST TPMT 2021 SJ2 A1A 144A       | CUSIP: 89180LAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1757530 | PA      | $1720233.98   | 0.11%             | 2061-12-25      | Variable      | 2.25%                 | 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                                                               | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-7.03        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $757.57       | 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      | $348.87       | 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        |     5585000 | PA      | $4898087.33   | 0.32%             | 2056-06-11      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $309.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2018-1A DAC                             | ROCKFORD TOWER EUROPE CLO RFTE 2018 1A A1RR 144A       | CUSIP: ACI2ZP3T1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     4100000 | PA      | $4736450.55   | 0.30%             | 2036-08-29      | Floating      | 3.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX EM38 ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $4916.11      | 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      | $-869.79      | -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      | $51626.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING II LTD                                      | ROMARK CREDIT FUNDING, LTD. RCF 2021 2A A 144A         | CUSIP: 77588JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      400000 | PA      | $380834.40    | 0.02%             | 2039-10-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-9741.09     | -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        |     1753424 | PA      | $1832910.05   | 0.12%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA2                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA2 1A        | CUSIP: 933635AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1086460 | PA      | $978310.20    | 0.06%             | 2047-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $6511.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                            | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG      | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      900000 | PA      | $315000.00    | 0.02%             | 2060-12-31      | None          | 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      | $3880.02      | 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        |        5408 | PA      | $5270.73      | 0.00%             | 2045-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) JUN26 XCBT 20260630                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         930 | NC      | $-1402847.15  | -0.09%            |  |  |  | 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        |     2000000 | PA      | $2070940.00   | 0.13%             | 2054-11-07      | Fixed         | 8.38%                 | 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        |    70834982 | PA      | $71238262.68  | 4.58%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0IA0 PIMCO SWAPTION 2.995 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2000000 | NC      | $2948.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-7284.69     | -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      | $1316.74      | 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        |   -16900000 | NC      | $-540783.10   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QI3154 FR 04/54 FIXED 6.5            | CUSIP: 3133W9QF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1252531 | PA      | $1316818.11   | 0.08%             | 2054-04-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $240.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3368                                                  | FREDDIE MAC FHR 3368 AF                                | CUSIP: 31397KL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25729 | PA      | $25788.36     | 0.00%             | 2037-09-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NOK SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-1544.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $33063.77     | 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      | $17920.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F052656<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -21180268 | PA      | $-21250519.77 | -1.37%            | 2056-05-13      | Fixed         | 5.50%                 | 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      | $-12049.23    | -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      | $616.91       | 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        |       10123 | PA      | $9917.35      | 0.00%             | 2034-10-25      | Floating      | 4.35%                 | 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        |    19100000 | NC      | $43378.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-94.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SNB7 PIMCO CDSOPT PUT USD 101.37500000 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -30900000 | NC      | $-57276.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2025-NPL13 LLC                                               | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL13 A1 144A | CUSIP: 74143UAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3490563 | PA      | $3480252.22   | 0.22%             | 2055-12-25      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 05/26 0.00000                            | CUSIP: 912797TL1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1388000 | PA      | $1383260.83   | 0.09%             | 2026-05-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KZT BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-792.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3356 FN 05/48 FIXED 3.5                    | CUSIP: 31418CWS9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      123114 | PA      | $114258.52    | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL2                              | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M4       | CUSIP: 542514NE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2200000 | PA      | $2045267.40   | 0.13%             | 2035-08-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-WMC1                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 WMC1 A1A      | CUSIP: 59020U4L6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4999427 | PA      | $4840783.14   | 0.31%             | 2037-01-25      | Floating      | 4.33%                 | 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        |  -189600000 | NC      | $-58537.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.06300 12/06/23-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-8740.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| 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        |      500000 | PA      | $500976.11    | 0.03%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5607                                           | FREDDIE MAC FHR 5607 FA                                | CUSIP: 3137HNZB7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6044172 | PA      | $6065761.28   | 0.39%             | 2055-12-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $4832.59      | 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      | $-16750.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.98235 12/02/24-2Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $239836.31    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | EURO-OAT FUTURE   JUN26 XEUR 20260608                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -763 | NC      | $3323478.61   | 0.21%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3245.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2021-1A                                    | LENDMARK FUNDING TRUST LFT 2021 1A A 144A              | CUSIP: 52607MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5400000 | PA      | $5289643.98   | 0.34%             | 2031-11-20      | Fixed         | 1.90%                 | 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      | $-893343.06   | -0.06%            |  |  |  | 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        |     1000000 | PA      | $976107.00    | 0.06%             | 2027-04-15      | Fixed         | 1.84%                 | 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        |    -7300000 | NC      | $-25021.48    | -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      | $-27403.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 782528 GN 01/39 FIXED 5                      | CUSIP: 36241KYZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26141 | PA      | $26700.28     | 0.00%             | 2039-01-15      | 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      | $512469.79    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MYR SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-826.98      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0196 FR 11/53 FIXED 6.5            | CUSIP: 3142GQGE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1317979 | PA      | $1384012.52   | 0.09%             | 2053-11-01      | Fixed         | 6.50%                 | 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      | $82510.66     | 0.01%             |  |  |  | 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        |    24300000 | NC      | $70008.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                     | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4779376 | PA      | $3924488.72   | 0.25%             | 2036-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2025-FL4 LLC                     | STARWOOD COMMERCIAL MORTGAGE T STWD 2025 FL4 A 144A    | CUSIP: 863922AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     5000000 | PA      | $5000331.50   | 0.32%             | 2042-11-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $3023.16      | 0.00%             |  |  |  | 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      | $6484.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-8325.82     | -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        |     1330326 | PA      | $1286226.53   | 0.08%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $18686.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W2                                      | FANNIEMAE WHOLE LOAN FNW 2004 W2 5AF                   | CUSIP: 31393XGV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11299 | PA      | $11270.20     | 0.00%             | 2044-03-25      | Floating      | 4.13%                 | 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        |    48900000 | PA      | $2858849.26   | 0.18%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A2B           | CUSIP: 61753VAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1362762 | PA      | $426400.47    | 0.03%             | 2037-02-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-129941.87   | -0.01%            |  |  |  | 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      | $-12404.81    | -0.00%            |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-70010.03    | -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      | $818.63       | 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      | $6296.13      | 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        |     8700000 | PA      | $8716355.91   | 0.56%             | 2037-02-19      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A                     | UPSTART STRUCTURED PASS THROUG USPTT 2022 2A A 144A    | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      145565 | PA      | $145229.73    | 0.01%             | 2030-06-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-1                           | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 1 A1 144A     | CUSIP: 288542AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      518963 | PA      | $510148.17    | 0.03%             | 2037-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-846364.91   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $2942.43      | 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      | $-1523.80     | -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      | $8353.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX EM39 ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-592.50      | -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        |      722897 | PA      | $707053.39    | 0.05%             | 2047-06-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-757.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2007-BR4                                 | SECURITIZED ASSET BACKED RECEI SABR 2007 BR4 A2A       | CUSIP: 81378EAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8342149 | PA      | $5129161.76   | 0.33%             | 2037-05-25      | Floating      | 3.97%                 | 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      | $19874.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ2692 FN 04/48 FIXED 3.5                    | CUSIP: 3140H37E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      291044 | PA      | $270861.68    | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | 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        |      146982 | PA      | $149891.73    | 0.01%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AURIUM CLO IV DAC #N/A FIELD NOT APPLICABLE-4A                    | AURIUM CLO ACLO 4A AR 144A                             | CUSIP: ACI21GDS9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     6985837 | PA      | $8082665.61   | 0.52%             | 2031-01-16      | Floating      | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 976968 FN 02/38 FIXED 6                      | CUSIP: 31414UZ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13394 | PA      | $14059.34     | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BACARDI-MARTINI BV                                                | BACARDI MARTINI BV SR UNSECURED 144A 02/30 5.55        | CUSIP: 05634WAA0<br>LEI: 5493002XXBV8B88K2408 | Long             | DBT              | CORP              | NL        |     2800000 | PA      | $2861411.03   | 0.18%             | 2030-02-01      | Fixed         | 5.55%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF6 LLC                                                | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF6 A1 144A  | CUSIP: 69393BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1575188 | PA      | $1562137.23   | 0.10%             | 2055-12-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                            | CUSIP: 912797TZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      740000 | PA      | $734912.29    | 0.05%             | 2026-06-09      | None          | 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      | $16916.73     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $123.50       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3305 FN 03/48 FIXED 3.5                    | CUSIP: 31418CU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7595989 | PA      | $7056612.77   | 0.45%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA2                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA2 A5       | CUSIP: 126694S41<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       46031 | PA      | $42092.60     | 0.00%             | 2046-05-20      | Floating      | 4.25%                 | 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        |    29900000 | NC      | $2.99         | 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      | $-3883.61     | -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      | $-37.74       | -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        |     5400000 | NC      | $328019.22    | 0.02%             |  |  |  | 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        |     1073525 | PA      | $1242125.35   | 0.08%             | 2032-05-15      | Floating      | 2.96%                 | 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      | $7645.66      | 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      | $-6162.72     | -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      | $1392.56      | 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        |    22500000 | NC      | $3595.50      | 0.00%             |  |  |  | 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      | $14424.19     | 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      | $113.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACREC 2026-FL4 LLC                                                | ACREC LLC ACREC 2026 FL4 A 144A                        | CUSIP: 004970AA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2100000 | PA      | $2098945.59   | 0.14%             | 2043-01-18      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-4330.84     | -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        |     8000000 | NC      | $462756.80    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $6517.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX EM41 ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-1552.51     | -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      | $-8541.71     | -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      | $-21074.81    | -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        |      400000 | PA      | $383453.90    | 0.02%             | 2039-07-27      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $16968.26     | 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      | $22.67        | 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        |    -2400000 | NC      | $-19614.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    15000000 | NC      | $22830.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                           | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 6A1        | CUSIP: 07384MTN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          61 | PA      | $61.48        | 0.00%             | 2033-04-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                   | BEAR STEARNS ALT A TRUST BALTA 2006 4 12A1             | CUSIP: 073871AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      653018 | PA      | $594423.97    | 0.04%             | 2036-08-25      | Floating      | 4.13%                 | 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        |    11597219 | PA      | $11695804.43  | 0.75%             | 2055-09-25      | Floating      | 4.81%                 | 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        |   -17400000 | NC      | $-29017.98    | -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      | $-4209.01     | -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      | $-2011.79     | -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        |    28000000 | PA      | $1615838.07   | 0.10%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DA9329 FN 01/54 FIXED 6.5                    | CUSIP: 3140YXLK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      358785 | PA      | $377113.08    | 0.02%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-6648.31     | -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      | $18182.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $517.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW FINANCIAL ASSET TR 2007-SR1A                              | BAYVIEW FINANCIAL ASSET TRUST BFAT 2007 SR1A A 144A    | CUSIP: 07325QAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      283097 | PA      | $285853.18    | 0.02%             | 2037-03-25      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $5220.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5IA9 PIMCO FPPSWAPTION 3.1625 PUT USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  1148300000 | NC      | $7118541.36   | 0.46%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-3317.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 01/35 11.75                 | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 96078500000 | PA      | $23821316.72  | 1.53%             | 2035-01-24      | Fixed         | 11.75%                | 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        |     1100000 | PA      | $1064851.70   | 0.07%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1895.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 3M CORRA FUTURES  MAR27 XMOD 20270615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          71 | NC      | $-26445.58    | -0.00%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $7899.98      | 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      | $447.49       | 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      | $-899.67      | -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      | $8529.70      | 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      | $-1474.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5513                                           | FREDDIE MAC FHR 5513 MF                                | CUSIP: 3137HKEX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5054791 | PA      | $5087959.96   | 0.33%             | 2054-11-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-663.02      | -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        |   140000000 | PA      | $142448888.40 | 9.16%             | 2056-07-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875             | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   148400000 | PA      | $8619193.03   | 0.55%             | 2035-02-28      | Fixed         | 8.88%                 | 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      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-59315.40    | -0.00%            |  |  |  | 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      | $6188202.29   | 0.40%             |  |  |  | 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        |      387036 | PA      | $372370.00    | 0.02%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-2861.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $2644.88      | 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      | $275.50       | 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      | $1119.22      | 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      | $-6151.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-C                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 C A1B 144A     | CUSIP: 83207DAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      600379 | PA      | $606979.01    | 0.04%             | 2052-11-15      | Floating      | 5.22%                 | 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      | $-56765.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R4                            | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R4 M5         | CUSIP: 03072SC60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      800000 | PA      | $779991.44    | 0.05%             | 2035-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 717943 GN 09/39 FIXED 5                      | CUSIP: 3620A3S88<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21870 | PA      | $22246.07     | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SPTR TRS EQUITY SOFR+55 RBC                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-1089466.12  | -0.07%            |  |  |  | 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        |      360144 | PA      | $372548.47    | 0.02%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-249384.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $28458.14     | 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      | $861.98       | 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      | $-22326.22    | -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      | $-2974507.58  | -0.19%            |  |  |  | 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        |    -2700000 | NC      | $-13035.06    | -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      | $-21156.81    | -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      | $29775.92     | 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      | $11240.18     | 0.00%             |  |  |  | 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      | $18223.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $204.77       | 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      | $14934.54     | 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      | $3223.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260408                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-986.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL 781296 FH 03/34 FLOATING VAR         | CUSIP: 31349SNM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11162 | PA      | $11428.52     | 0.00%             | 2034-03-01      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $407.00       | 0.00%             |  |  |  | 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        |       17369 | PA      | $17232.11     | 0.00%             | 2035-09-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 07/26 0.00000                            | CUSIP: 912797UQ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    23050000 | PA      | $22794500.43  | 1.47%             | 2026-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | REPO BANK AMERICA REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    90800000 | PA      | $90800000.00  | 5.84%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-2F                                   | GSR MORTGAGE LOAN TRUST GSR 2007 2F 3A3                | CUSIP: 362636AT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12880 | PA      | $6049.77      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888029 FN 12/36 FIXED VAR                    | CUSIP: 31410FSS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         975 | PA      | $1023.28      | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $346.34       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 04/09/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $4925.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX EM44 ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-43515.06    | -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      | $-6600.17     | -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        |      690000 | PA      | $631124.30    | 0.04%             | 2046-06-01      | Fixed         | 3.00%                 | 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      | $-26786.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-RP1                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 RP1 1F 144A   | CUSIP: 92922FYJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      844546 | PA      | $792061.96    | 0.05%             | 2034-05-25      | Floating      | 4.16%                 | 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        |     8996964 | PA      | $9081040.33   | 0.58%             | 2055-09-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $6658.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ3702 FR 03/55 FIXED 6.5            | CUSIP: 3142GUDG5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1482053 | PA      | $1569245.01   | 0.10%             | 2055-03-01      | Fixed         | 6.50%                 | 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        |     1000000 | NC      | $3954.20      | 0.00%             |  |  |  | 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        |    36700000 | PA      | $2027199.88   | 0.13%             | 2037-01-31      | Fixed         | 8.50%                 | 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        |   -22900000 | NC      | $-215328.70   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SOM2 PIMCO CDSOPT CALL USD 94.27343750 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -10000000 | NC      | $-31453.00    | -0.00%            |  |  |  | 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      | $4905.34      | 0.00%             |  |  |  | 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      | $100698.40    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-3                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2024 3 A 144A      | CUSIP: 69547XAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      384020 | PA      | $384223.42    | 0.02%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                           | GOLDMAN SACHS GROUP INC SR UNSECURED 10/35 VAR         | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1472761.14   | 0.09%             | 2035-10-23      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CZK SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $1128.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES TRUST 2006-W5                                   | ARGENT SECURITIES INC. ARSI 2006 W5 A2D                | CUSIP: 04012XAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5572836 | PA      | $1483395.42   | 0.10%             | 2036-06-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3442 FN 08/48 FIXED 3.5                    | CUSIP: 31418CZG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      198466 | PA      | $184374.22    | 0.01%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAAMA3 PIMCO FPPSWAPTION 4.11 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    20000000 | NC      | $1283646.00   | 0.08%             |  |  |  | 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        |    25800000 | NC      | $183.18       | 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      | $-916.98      | -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      | $-25667.16    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-106                                               | FANNIE MAE FNR 2009 106 FA                             | CUSIP: 31398GUJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      157488 | PA      | $158127.05    | 0.01%             | 2040-01-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-2450.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 11/40 12.75                 | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  9938500000 | PA      | $2634196.90   | 0.17%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $15742.62     | 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      | $-11470.32    | -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      | $-7709.67     | -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      | $-59791.39    | -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      | $5876.98      | 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      | $-10691.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAUQA5 PIMCO SWAPTION 3.674 PUT USD 2026042         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -20700000 | NC      | $-169172.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A4 144A       | CUSIP: 30336CAG0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      500000 | PA      | $508320.00    | 0.03%             | 2030-04-15      | Fixed         | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $141.43       | 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      | $-351915.84   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $2724.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO 42A LTD                                                   | KKR FINANCIAL CLO LTD KKR 42A AR 144A                  | CUSIP: 48255EAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4300000 | PA      | $4305246.95   | 0.28%             | 2034-07-20      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS2                              | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS2 A1 144A      | CUSIP: 52476DAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1706482 | PA      | $1710743.23   | 0.11%             | 2061-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SPTR TRS EQUITY SOFR+21 *BULLET* GST                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-3746966.47  | -0.24%            |  |  |  | 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      | $-12879.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.5145 10/29/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $11575.47     | 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        |   -14800000 | NC      | $-14538.04    | -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        |    44200000 | NC      | $63559.60     | 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        |        9673 | PA      | $9584.91      | 0.00%             | 2037-07-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-3680.93     | -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      | $-80.04       | -0.00%            |  |  |  | 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        |     2943848 | PA      | $3011309.35   | 0.19%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1905351.06  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-R2                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 R2 B 144A     | CUSIP: 69544VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4488132 | PA      | $4485606.12   | 0.29%             | 2032-10-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $691.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $317.64       | 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      | $-174819.77   | -0.01%            |  |  |  | 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      | $27254.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $2304.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT EUR SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-936.76      | -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      | $-20667.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                            | CUSIP: 912797TH0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      794000 | PA      | $792960.63    | 0.05%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2003-8                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 8 4A1        | CUSIP: 07384MZV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7695 | PA      | $7471.37      | 0.00%             | 2034-01-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-112729.36   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-3555.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSMPS MORTGAGE LOAN TRUST 2006-RP1                                | GSMPS MORTGAGE LOAN TRUST GSMPS 2006 RP1 1AF2 144A     | CUSIP: 3623413V9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1066699 | PA      | $857999.24    | 0.06%             | 2036-01-25      | Floating      | 4.14%                 | 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      | $-5566.60     | -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      | $569.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYVIEW OPPORTUNITY MASTER FUND VII TRUST 2024-SN1                | BOF URSA FUNDING BVABS 2024 SN1 A3 144A                | CUSIP: 072926AC2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      246312 | PA      | $246683.26    | 0.02%             | 2028-03-15      | Fixed         | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-44878.43    | -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      | $-8301.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                        | ARES STRATEGIC INCOME FU SR UNSECURED 144A 09/28 5.45  | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $4356362.43   | 0.28%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-QH1                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH1 A1 144A    | CUSIP: 12669HAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      592280 | PA      | $569008.60    | 0.04%             | 2037-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y4A3 PIMCO FPPSWAPTION 4.485 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    18000000 | NC      | $924231.60    | 0.06%             |  |  |  | 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    | 0.01%             | 2028-01-19      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $38401.91     | 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      | $2559.40      | 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      | $487.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-6092.45     | -0.00%            |  |  |  | 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        |      258465 | PA      | $258716.20    | 0.02%             | 2028-07-17      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-46402.30    | -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        |     5400000 | NC      | $267871.32    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST         | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 04/27 6.45       | CUSIP: 00774MBG9<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |      200000 | PA      | $203811.69    | 0.01%             | 2027-04-15      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $46081.56     | 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      | $-286.59      | -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      | $2562.61      | 0.00%             |  |  |  | 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      | $-128409.82   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GATEWAY RE LTD                                                    | GATEWAY RE LTD UNSECURED 144A 07/29 VAR                | CUSIP: 36779CAU0<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00    | 0.02%             | 2029-07-06      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-3220.88     | -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      | $-29196.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MTAGE SEC INC 2004-R2                                  | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R2 M4         | CUSIP: 03072SPL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      794239 | PA      | $782545.94    | 0.05%             | 2034-04-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.6075 07/28/25-10Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-60317.48    | -0.00%            |  |  |  | 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        |    21500000 | NC      | $67086.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260401                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $3414.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 826481 FN 07/35 FIXED 5.5                    | CUSIP: 31407CFW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18553 | PA      | $19080.38     | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-35.90       | -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        |     1200000 | PA      | $1007426.50   | 0.06%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-100.35      | -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      |
| N/A                                                               | RFR JPY MUTK/2.00000 09/16/26-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-702098.75   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | KBCZ26C45 DEC26 45 CALL FSO                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCO              |  | US        |         204 | NC      | $15300.00     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $899.41       | 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      | $922.30       | 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      | $-22692.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 12/20/23-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $204402.92    | 0.01%             |  |  |  | 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        |     1100000 | PA      | $1092763.10   | 0.07%             | 2027-05-15      | Fixed         | 4.12%                 | 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        |     2800000 | PA      | $2840000.58   | 0.18%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1863.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 03/58 12                    | CUSIP: ACI2Z8HT4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |   192500000 | PA      | $47307.95     | 0.00%             | 2058-03-13      | Fixed         | 12.00%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FM2971 FN 08/45 FIXED VAR                    | CUSIP: 3140X6JR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1197415 | PA      | $1160229.00   | 0.07%             | 2045-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $13738.17     | 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      | $4895.81      | 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      | $118548.69    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     5200000 | NC      | $294626.80    | 0.02%             |  |  |  | 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      | $155193.68    | 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      | $16422.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2019-2 DAC 19-2A                                 | CARLYLE EURO CLO CGMSE 2019 2A A1R 144A                | CUSIP: ACI1ZPM05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1540030 | PA      | $1781890.89   | 0.11%             | 2032-08-15      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $915.33       | 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      | $627562.85    | 0.04%             |  |  |  | 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        |     1199197 | PA      | $1226178.53   | 0.08%             | 2055-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8446 FR 07/54 FIXED 5.5            | CUSIP: 3132DWL35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3010698 | PA      | $3028604.91   | 0.19%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 545204 FN 05/36 FLOATING VAR                 | CUSIP: 31385HU59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          60 | PA      | $59.18        | 0.00%             | 2036-05-01      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $1833.70      | 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      | $2019.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $3194.00      | 0.00%             |  |  |  | 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        |     9651174 | PA      | $10117532.27  | 0.65%             | 2053-11-01      | Fixed         | 6.50%                 | 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        |     3700000 | PA      | $3704498.13   | 0.24%             | 2032-07-20      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $1492.98      | 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      | $-58972.96    | -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      | $65022.07     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5573                                           | FREDDIE MAC FHR 5573 FD                                | CUSIP: 3137HMSJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4480561 | PA      | $4518332.67   | 0.29%             | 2055-09-25      | Floating      | 4.81%                 | 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      | $-21968.96    | -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      | $-2757.85     | -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        |         736 | NC      | $-2664770.77  | -0.17%            |  |  |  | No            |                  1 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                            | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A3          | CUSIP: 14319FAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      400000 | PA      | $402492.72    | 0.03%             | 2028-11-15      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-260.37      | -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      | $-4846.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL QE8001 FR 08/52 FIXED 4.5            | CUSIP: 3133BH3J3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3509592 | PA      | $3399847.88   | 0.22%             | 2052-08-01      | Fixed         | 4.50%                 | 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        |   -30000000 | NC      | $-12120.00    | -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      | $700.79       | 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      | $6547.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR5                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR5 A3        | CUSIP: 86359LPF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       46201 | PA      | $44662.46     | 0.00%             | 2035-07-19      | Floating      | 4.29%                 | 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      |
| ANCHORAGE CAPITAL CLO 28 LTD                                      | ANCHORAGE CAPITAL CLO LTD ANCHC 2024 28A A2R 144A      | CUSIP: 03330RAU9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5000000 | PA      | $5014718.35   | 0.32%             | 2037-04-20      | Floating      | 5.12%                 | 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      | $-159198.83   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-1                             | DEUTSCHE ALT A SECURITIES INC DBALT 2005 1 1A4         | CUSIP: 251510DG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       72597 | PA      | $71726.70     | 0.00%             | 2035-02-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260408                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-6928.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAMLL COMMERCIAL MORTGAGE SECURITIES TRUST 2021-JACX              | BANC OF AMERICA MERRILL LYNCH BAMLL 2021 JACX B 144A   | CUSIP: 05493LAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1300000 | PA      | $1247419.29   | 0.08%             | 2038-09-15      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-3                                | MLCC MORTGAGE INVESTORS INC MLCC 2005 3 5A             | CUSIP: 59020UL78<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4754 | PA      | $4596.22      | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MORTGAGE PASS-THROUGH TRUST 2006-C                    | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 C M1         | CUSIP: 73316MAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      900429 | PA      | $865731.26    | 0.06%             | 2036-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-78                                         | FANNIE MAE FNR 2025 78 FA                              | CUSIP: 3136BW7E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5226156 | PA      | $5251143.94   | 0.34%             | 2055-09-25      | Floating      | 4.56%                 | 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      | $-1280.38     | -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        |    -5110000 | NC      | $-5799.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CITIGROUP REPO REPO                     5807           | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     9000000 | PA      | $9000000.00   | 0.58%             |  |  |  | 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        |     2000000 | NC      | $3790.80      | 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      | $-10448.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-64690.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $83295.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-17482.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.63761 03/01/24-4Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $11878.35     | 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      | $27934.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LOCKE TAVERN RE LTD                                               | LOCKE TAVERN RE LTD UNSECURED 144A 04/33 VAR           | CUSIP: 539694AB5<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                                                               | RFR USD SOFR/3.75000 09/17/25-10Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $713985.50    | 0.05%             |  |  |  | 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        |    -1900000 | NC      | $-5288.46     | -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        |    22700000 | NC      | $15179.49     | 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      | $-6929.08     | -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      | $405.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5601                                           | FREDDIE MAC FHR 5601 F                                 | CUSIP: 3137HNQX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7688746 | PA      | $7731541.32   | 0.50%             | 2055-11-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $2766.99      | 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      | $-11678.71    | -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      | $-5604.80     | -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        |    22600000 | NC      | $104432.34    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 190372 FN 08/36 FIXED VAR                    | CUSIP: 31368HMV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16412 | PA      | $17223.33     | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | 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        |     1900000 | PA      | $2181028.11   | 0.14%             | 2036-06-15      | Fixed         | 5.38%                 | 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        |        2716 | PA      | $2780.44      | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y6A1 PIMCO FPPSWAPTION 4.485 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    18100000 | NC      | $929366.22    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN 52 EURO CLO 2017 17-52A                                    | DRYDEN EURO CLO DRYD 2017 52A AR 144A                  | CUSIP: ACI1YL2T4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1473732 | PA      | $1705203.94   | 0.11%             | 2034-05-15      | Floating      | 2.84%                 | 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        |    30000000 | NC      | $45660.00     | 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      | $-6325.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5549                                           | FREDDIE MAC FHR 5549 BF                                | CUSIP: 3137HLS52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1024962 | PA      | $1034936.84   | 0.07%             | 2055-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         285 | NC      | $-745990.92   | -0.05%            |  |  |  | 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        |     2000000 | NC      | $3994.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | AUST 10Y BOND FUT JUN26 XSFE 20260615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         276 | NC      | $-123130.34   | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-12620.20    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                   | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1             | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20211 | PA      | $10581.68     | 0.00%             | 2035-09-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-1956.68     | -0.00%            |  |  |  | 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        |     3484989 | PA      | $3675636.33   | 0.24%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-21.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                             | CROWN CASTLE                                           | CUSIP: 22823QDE8<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |    15800000 | PA      | $15774174.90  | 1.01%             | 2026-04-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB6                            | CREDIT BASED ASSET SERVICING A CBASS 2006 CB6 A24      | CUSIP: 14986PAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1079825 | PA      | $1041587.18   | 0.07%             | 2036-07-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $16163.63     | 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      | $-51420.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $149.16       | 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        |    10066292 | PA      | $10102868.32  | 0.65%             | 2055-09-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-55.35       | -0.00%            |  |  |  | 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        |   -23500000 | NC      | $-27326.51    | -0.00%            |  |  |  | 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        |      600000 | PA      | $603451.92    | 0.04%             | 2027-03-05      | Fixed         | 5.80%                 | 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      | $-109.50      | -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      | $5582.45      | 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      | $617.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        1564 | NC      | $-3171831.79  | -0.20%            |  |  |  | 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        |     2048000 | PA      | $2053490.84   | 0.13%             | 2055-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CITIGROUP REVERSE REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -15751980 | PA      | $-15755288.11 | -1.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-4722.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-2851.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-OA5                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA5 1A        | CUSIP: 93364BAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1977654 | PA      | $1710514.85   | 0.11%             | 2047-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $21656.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/26 2.7        | CUSIP: 345397B77<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      200000 | PA      | $198543.82    | 0.01%             | 2026-08-10      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-381272.79   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260414                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $63474.55     | 0.00%             |  |  |  | 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        |    46690000 | PA      | $42809052.96  | 2.75%             | 2056-04-13      | Fixed         | 3.50%                 | 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        |    21500000 | NC      | $166302.50    | 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      | $-21487.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 813035 FN 04/35 FIXED 5.5                    | CUSIP: 31406LHL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4439 | PA      | $4463.61      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260702                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $32728.50     | 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      | $11870.47     | 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                                                               | CDX EM36 ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $16146.03     | 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      | $38659.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA48A3 PIMCO FPPSWAPTION 4.628 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    22400000 | NC      | $1249165.12   | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A4          | CUSIP: 12669VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4100000 | PA      | $3623602.96   | 0.23%             | 2047-10-25      | Floating      | 4.08%                 | 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        |  -251200000 | NC      | $-154638.72   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PRP ADVISORS LLC 2025-7                                           | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 7 A1 144A     | CUSIP: 69382YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3097336 | PA      | $3089374.66   | 0.20%             | 2030-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-10                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 10 22AA       | CUSIP: 17313QAL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      806488 | PA      | $766678.62    | 0.05%             | 2037-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91239 FG 03/29 FIXED 4.5            | CUSIP: 3128P7LU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3696 | PA      | $3705.44      | 0.00%             | 2029-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5484                                           | FREDDIE MAC FHR 5484 FD                                | CUSIP: 3137HHKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6459891 | PA      | $6506743.57   | 0.42%             | 2054-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | TITULOS DE TESORERIA BONDS 07/46 11.5                  | CUSIP: ACI2Q1VT3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |  3427500000 | PA      | $826867.52    | 0.05%             | 2046-07-25      | Fixed         | 11.50%                | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $372.67       | 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      | $-15807.59    | -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        |      240987 | PA      | $213828.54    | 0.01%             | 2037-07-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $22864.36     | 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        |        5481 | PA      | $53378.83     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CHILEAN GOVT                                                      | BONOS TESORERIA PESOS UNSECURED 144A REGS 09/30 4.7    | CUSIP: ACI13NCW6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |   925000000 | PA      | $978367.31    | 0.06%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 724254 FN 08/33 FLOATING VAR                 | CUSIP: 31402BTK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1685 | PA      | $1724.51      | 0.00%             | 2033-08-01      | Floating      | 6.13%                 | 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        |     3900000 | PA      | $3973468.98   | 0.26%             | 2028-08-21      | Fixed         | 5.90%                 | 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      | $-170007.07   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $121.36       | 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      | $-208.03      | -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      | $1744.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                  | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 5A1               | CUSIP: 362341XE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34218 | PA      | $29232.23     | 0.00%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SPTR TRS EQUITY SOFR+36 *BULLET* GST                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-3760798.72  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-5511.16     | -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      | $-9251.55     | -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      | $1308.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $12692.89     | 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      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-HY11                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 HY11 A1      | CUSIP: 021466AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      786171 | PA      | $761310.94    | 0.05%             | 2036-06-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20261221                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $73363.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBRFA3 PIMCO FPPSWAPTION 4.296 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     9500000 | NC      | $752666.00    | 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      | $12335.25     | 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      | $8271.42      | 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      | $57410.85     | 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      | $467598.57    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $2768.84      | 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      | $-1088.52     | -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        |    12100000 | NC      | $53737.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                        | LCM LTD PARTNERSHIP LCM 31A AR 144A                    | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2002604.30   | 0.13%             | 2034-07-20      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-23314.35    | -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      | $-36824.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745308 FN 01/36 FLOATING VAR                 | CUSIP: 31403DAH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3958 | PA      | $4100.26      | 0.00%             | 2036-01-01      | Floating      | 6.80%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002 AR2                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A         | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4580 | PA      | $4482.04      | 0.00%             | 2034-02-27      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-10586.01    | -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      | $1112.01      | 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      | $-178.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-2109.10     | -0.00%            |  |  |  | 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        |      400000 | PA      | $394130.16    | 0.03%             | 2034-09-15      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-3656.35     | -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      | $-209303.57   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-H22                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 H22 F          | CUSIP: 38384LA58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5848733 | PA      | $5897463.18   | 0.38%             | 2075-10-20      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE7               | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE7 2A1      | CUSIP: 07387VAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      962776 | PA      | $938439.16    | 0.06%             | 2037-10-25      | Floating      | 4.74%                 | 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      | $2157296.09   | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $3977.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260429                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-4025.04     | -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        |   297140000 | PA      | $307148703.30 | 19.76%            | 2056-06-11      | Fixed         | 6.50%                 | 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      | $5191.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SPTR TRS EQUITY SOFR+45 FAR                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-2229642.03  | -0.14%            |  |  |  | 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      | $42555.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 06/26 0.00000                            | CUSIP: 912797UC9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    38987000 | PA      | $38636945.47  | 2.49%             | 2026-06-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UBQXA5 PIMCO FPPSWAPTION 4.296 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     9500000 | NC      | $559602.25    | 0.04%             |  |  |  | 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        |     -900000 | NC      | $-5097.42     | -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      | $14544.16     | 0.00%             |  |  |  | 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        |     2600000 | PA      | $2595600.37   | 0.17%             | 2048-03-22      | Fixed         | 6.62%                 | 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        |   -36570000 | PA      | $-29448849.34 | -1.89%            | 2056-05-13      | Fixed         | 2.00%                 | 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      | $-123133.19   | -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      | $10241.85     | 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        |        4181 | PA      | $4088.67      | 0.00%             | 2036-12-25      | Floating      | 3.84%                 | 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        |     4170394 | PA      | $4273129.31   | 0.27%             | 2054-11-01      | Fixed         | 5.50%                 | 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        |   -30000000 | NC      | $-24380.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE              | CUSIP: 01F032666<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -46690000 | PA      | $-42710565.54 | -2.75%            | 2056-06-11      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                | CUSIP: 01F040644<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3850000 | PA      | $3633468.38   | 0.23%             | 2056-04-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0ZA1 PIMCO SWAPTION 3.2975 CALL USD 20260         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1000000 | NC      | $3485.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 144A 05/32 VAR               | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     1500000 | PA      | $1376102.63   | 0.09%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $730.50       | 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      | $468257.67    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 2A4          | CUSIP: 12670FAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      430349 | PA      | $420777.36    | 0.03%             | 2036-02-25      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $173426.69    | 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      | $4324.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B B 144A       | CUSIP: 83206NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     4817291 | PA      | $4697032.50   | 0.30%             | 2055-02-16      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-11407.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4 JUMBOS                             | CUSIP: 21H040657<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    46341000 | PA      | $43387396.12  | 2.79%             | 2056-05-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-WM1                                      | ACE SECURITIES CORP. ACE 2007 WM1 A2D                  | CUSIP: 004424AE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2272606 | PA      | $928793.91    | 0.06%             | 2036-11-25      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260721                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-1706.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                    | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000    | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |     3000000 | PA      | $2349120.00   | 0.15%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 692374 GN 02/39 FIXED 5                      | CUSIP: 36296JFP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24500 | PA      | $24920.62     | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GRIFONAS FINANCE NO.1 PLC GRIF-1                                  | GRIFONAS FINANCE PLC GRIF 1 A REGS                     | CUSIP: B1DFQWII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |       42643 | PA      | $48456.71     | 0.00%             | 2039-08-28      | Floating      | 2.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     5500000 | NC      | $325857.95    | 0.02%             |  |  |  | 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      | $1022614.38   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-3                          | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 3A A2 144A    | CUSIP: 37989EAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      925838 | PA      | $933825.09    | 0.06%             | 2029-10-15      | Fixed         | 5.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.59000 08/19/24-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $19288.06     | 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      | $13648.05     | 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      | $-10988.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-27CB                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 27CB A1      | CUSIP: 12667FWU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1725157 | PA      | $1537151.73   | 0.10%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SF+26.161/1.2* 9/16/23-12Y* CME               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $19223096.58  | 1.24%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-17443.38    | -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      | $3316.24      | 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      | $-3328.64     | -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      | $-26944.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |    18866034 | PA      | $185170122.47 | 11.91%            |  |  |  | No            |                  1 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A          | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1059664 | PA      | $995482.97    | 0.06%             | 2036-12-25      | Floating      | 4.05%                 | 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      | $2142.22      | 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      | $-25560.33    | -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      | $-17349.66    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KZT BOUGHT USD 20260603                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |           1 | NC      | $-10523.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                               | SUMITOMO MITSUI FINL GRP SUMITOMO MITSUI FINL GRP      | CUSIP: 86562MDP2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |      400000 | PA      | $410107.76    | 0.03%             | 2034-07-09      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| CARMAX SELECT RECEIVABLES TRUST 2024-A                            | CARMAX SELECT RECEIVABLES TRUS CMXS 2024 A A2B         | CUSIP: 14319FAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       22294 | PA      | $22297.56     | 0.00%             | 2027-09-15      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $34735.41     | 0.00%             |  |  |  | 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        |     3850000 | PA      | $3860904.55   | 0.25%             | 2031-07-15      | Floating      | 5.58%                 | 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        |     2880000 | PA      | $897600.97    | 0.06%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A          | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      739514 | PA      | $680717.79    | 0.04%             | 2047-06-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2021-2A               | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2021 2A A 144A      | CUSIP: 76088LAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      388247 | PA      | $386034.94    | 0.02%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $2414.89      | 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        |      500000 | PA      | $493676.34    | 0.03%             | 2027-08-17      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $1629.62      | 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      | $20078.08     | 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      | $3887.00      | 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        |     2698735 | PA      | $2651087.88   | 0.17%             | 2035-05-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2464413.86   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-2                                   | BEAR STEARNS ALT A TRUST BALTA 2007 2 1A1              | CUSIP: 073870AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2394811 | PA      | $2160702.55   | 0.14%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                | CUSIP: 01F050650<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    91580000 | PA      | $90212890.10  | 5.80%             | 2056-05-13      | Fixed         | 5.00%                 | 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      | $-7793.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-65CB                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 65CB 2A6     | CUSIP: 12668AZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1385028 | PA      | $956262.75    | 0.06%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX EM35 ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $96.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                            | CS AT1 CLAIMS US225401AL29 CREDIT SUISSE GROUP AG      | CUSIP: 952NPL005<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     1700000 | PA      | $595000.00    | 0.04%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.52000 04/09/25-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $21194.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX HY43 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $123717.45    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GATEWAY RE LTD                                                    | GATEWAY RE LTD UNSECURED 144A 07/29 VAR                | CUSIP: 36779CAV8<br>LEI: 549300ZYFWQV9RCIN520 | Long             | DBT              | CORP              | BM        |      250000 | PA      | $250000.00    | 0.02%             | 2029-07-06      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $3657.48      | 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      | $-1851.83     | -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      | $209085.86    | 0.01%             |  |  |  | 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        |      258550 | PA      | $260225.41    | 0.02%             | 2029-01-10      | Fixed         | 5.62%                 | 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        |   -16200000 | NC      | $-6561.00     | -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        |    19220000 | PA      | $18531642.43  | 1.19%             | 2056-05-13      | Fixed         | 4.50%                 | 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        |     3237878 | PA      | $2507115.52   | 0.16%             | 2036-09-25      | Floating      | 4.11%                 | 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        |     4889976 | PA      | $4986960.72   | 0.32%             | 2055-09-01      | Fixed         | 5.50%                 | 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        |    -5110000 | NC      | $-31927.28    | -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      | $-65721.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-25                                                | FANNIE MAE FNR 2003 25 KP                              | CUSIP: 31393APU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         478 | PA      | $475.79       | 0.00%             | 2033-04-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A                 | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 1A A3 144A   | CUSIP: 78435VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      298987 | PA      | $300463.20    | 0.02%             | 2029-05-21      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A10                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A10 A         | CUSIP: 59020UZ65<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11131 | PA      | $11036.44     | 0.00%             | 2036-02-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $861.92       | 0.00%             |  |  |  | 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      | $4824.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CALIFORNIA STATE UNIVERSITY                                       | CALIFORNIA ST UNIV REVENUE CASHGR 11/30 FIXED 6.434    | CUSIP: 13077CTM6<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      100000 | PA      | $104456.49    | 0.01%             | 2030-11-01      | Fixed         | 6.43%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-HE1                                | ASSET BACKED FUNDING CERTIFICA ABFC 2006 HE1 A1        | CUSIP: 00075WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1751401 | PA      | $1261330.54   | 0.08%             | 2037-01-25      | Floating      | 4.05%                 | 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      | $2738.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS PLN 4.68500 12/02/30-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $5043.37      | 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      | $2409.67      | 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        |      380000 | PA      | $367243.72    | 0.02%             | 2027-11-18      | Fixed         | 2.53%                 | 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        |     7794357 | PA      | $7972876.18   | 0.51%             | 2055-09-01      | Fixed         | 5.50%                 | 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        |     1800000 | PA      | $2063896.56   | 0.13%             | 2031-06-15      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A         | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      983794 | PA      | $784966.88    | 0.05%             | 2037-10-25      | Variable      | 4.79%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2007-CH3                               | JP MORGAN MORTGAGE ACQUISITION JPMAC 2007 CH3 M1       | CUSIP: 46630XAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4503293 | PA      | $4389626.73   | 0.28%             | 2037-03-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF11                             | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF11 2A3       | CUSIP: 32028PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1415944 | PA      | $1354466.08   | 0.09%             | 2036-08-25      | Floating      | 4.09%                 | 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        |        1218 | PA      | $1241.51      | 0.00%             | 2035-05-25      | Floating      | 6.12%                 | 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      | $504319.09    | 0.03%             |  |  |  | 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      | $-32957.84    | -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      | $1050.86      | 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      | $426700.98    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-190.85      | -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      | $-82869.24    | -0.01%            |  |  |  | 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        |  1050000000 | PA      | $5133524.46   | 0.33%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2025-1 DAC 25-1A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2025 1A A1 144A   | CUSIP: ACI2XJFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3000000 | PA      | $3466157.75   | 0.22%             | 2038-08-15      | Floating      | 3.19%                 | 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        |     2760539 | PA      | $2782128.31   | 0.18%             | 2055-03-25      | Floating      | 4.81%                 | 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      | $28168.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-SD1               | BEAR STEARNS ASSET BACKED SECU BSABS 2007 SD1 22A1     | CUSIP: 07389QAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      166644 | PA      | $71059.22     | 0.00%             | 2036-10-25      | Fixed         | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $681.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-FM2                                              | GSAMP TRUST GSAMP 2006 FM2 A2C                         | CUSIP: 36245DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1958668 | PA      | $672522.09    | 0.04%             | 2036-09-25      | Floating      | 4.09%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                       | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/29 6.1          | CUSIP: 694308KL0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      100000 | PA      | $103509.43    | 0.01%             | 2029-01-15      | Fixed         | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SPTR TRS EQUITY SOFR+42 *BULLET* GST                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-1267928.39  | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-51685.56    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.23200 09/10/24-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $24493.47     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRIME MORTGAGE TRUST 2004-CL1                                     | PRIME MORTGAGE TRUST PRIME 2004 CL1 1A2                | CUSIP: 74160MDL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1044 | PA      | $990.29       | 0.00%             | 2034-02-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL6924 FN 01/45 FIXED VAR                    | CUSIP: 3138EPVS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2138493 | PA      | $2046812.21   | 0.13%             | 2045-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF18                                 | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF18 A1        | CUSIP: 32029AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      502075 | PA      | $488489.19    | 0.03%             | 2037-12-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT AUD SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-4358.09     | -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        |    33900000 | PA      | $10674130.87  | 0.69%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-26.38       | -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        |      338208 | PA      | $328998.80    | 0.02%             | 2034-03-25      | Floating      | 4.84%                 | 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        |     3705730 | PA      | $3902009.92   | 0.25%             | 2054-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-523.75      | -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      | $12104.61     | 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      | $25671.45     | 0.00%             |  |  |  | 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      | $-16960.62    | -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      | $-146.94      | -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      | $2494.01      | 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        |     7550000 | PA      | $7768424.90   | 0.50%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE4                           | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE4 1A        | CUSIP: 93363XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1154117 | PA      | $880429.74    | 0.06%             | 2047-07-25      | Floating      | 3.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.5225 03/27/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $44471.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.97000 01/15/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $7522.50      | 0.00%             |  |  |  | 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        |     1000000 | NC      | $3441.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-623.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2006-1                           | AEGIS ASSET BACKED SECURITIES AABST 2006 1 A3          | CUSIP: 00764SAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      269462 | PA      | $205564.46    | 0.01%             | 2037-01-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $14982.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2024-100                                        | FANNIE MAE FNR 2024 100 FD                             | CUSIP: 3136BUGR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      852204 | PA      | $859982.17    | 0.06%             | 2054-06-25      | Floating      | 5.11%                 | 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      | $7559.52      | 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        |    27900000 | PA      | $28407645.52  | 1.83%             | 2056-05-13      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-15027.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL EURO CLO 2022-2 DAC 22-2A                            | BAIN CAPITAL EURO CLO BCCE 2022 2A ARR 144A            | CUSIP: ACI2ZP3K0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3600000 | PA      | $4159032.69   | 0.27%             | 2038-01-22      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 357515 FN 03/34 FIXED 5.5                    | CUSIP: 31376KDU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1147 | PA      | $1157.38      | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $17772.35     | 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      | $-7159.53     | -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      | $1404.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SPTR TRS EQUITY SOFR+51 *BULLET* FAR                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-757916.83   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $17848.96     | 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      | $17578.77     | 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      | $76.66        | 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      | $-748.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20270115                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $380557.14    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CLP SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-12483.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-1                                 | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 1 A2 144A         | CUSIP: 33843VAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       94615 | PA      | $94658.20     | 0.01%             | 2028-03-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1878.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2003-J2                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2003 J2 A1        | CUSIP: 12669E4A1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4890 | PA      | $4979.85      | 0.00%             | 2033-10-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-15723.41    | -0.00%            |  |  |  | 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        |   -54200000 | PA      | $-48353161.99 | -3.11%            | 2056-05-20      | Fixed         | 3.00%                 | 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        |   -44200000 | NC      | $-17901.00    | -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      | $-6497.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND LTD 2021-16A                               | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 16A AR 144A      | CUSIP: 04940AAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4850000 | PA      | $4853221.32   | 0.31%             | 2034-01-20      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BJ0163 FN 12/47 FIXED 3.5                    | CUSIP: 3140H1FD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      218281 | PA      | $203324.88    | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | 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        |     1317379 | PA      | $1192698.58   | 0.08%             | 2037-02-25      | Floating      | 3.92%                 | 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      | $3376028.31   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $324.78       | 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        |    -1964722 | NC      | $-1734.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                           | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1       | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1634 | PA      | $1615.93      | 0.00%             | 2032-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES EURO CLO 17-3A                   | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2017 3A A1R 144A  | CUSIP: ACI1YDTG1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      512506 | PA      | $592971.33    | 0.04%             | 2031-01-15      | Floating      | 2.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $12704.26     | 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      | $-13411.97    | -0.00%            |  |  |  | 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      | $-23570.62    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2026-NPL1                    | PRETIUM MORTGAGE CREDIT PARTNE PRET 2026 NPL1 A1 144A  | CUSIP: 69383TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2338906 | PA      | $2321713.35   | 0.15%             | 2056-01-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-3691.21     | -0.00%            |  |  |  | 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      |
| FREDDIE MAC 3898                                                  | FREDDIE MAC FHR 3898 AF                                | CUSIP: 3137ADX44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23108 | PA      | $23054.42     | 0.00%             | 2041-06-15      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-6                             | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 6 2A2        | CUSIP: 68403KAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2567522 | PA      | $1665011.05   | 0.11%             | 2037-07-25      | Floating      | 3.92%                 | 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        |    17400000 | NC      | $60197.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-96.32       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                           | GA GLOBAL FUNDING TRUST SR SECURED 144A 04/32 5.5      | CUSIP: 36143L2T1<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |      400000 | PA      | $394713.76    | 0.03%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX ITRAXX XOV44 5Y 35-100% SP MYC                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $542325.82    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $2310.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5HA0 PIMCO FPPSWAPTION 4.11 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    44500000 | NC      | $2519990.50   | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-65256.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                | VICI PROPERTIES LP SR UNSECURED 02/28 4.75             | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     2700000 | PA      | $2703460.40   | 0.17%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS4                              | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS4 A1 144A      | CUSIP: 52475WAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2604611 | PA      | $2608181.40   | 0.17%             | 2060-11-25      | Fixed         | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT NZD SOLD USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $5542.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                  | FREDDIE MAC FHR 3360 FC                                | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21699 | PA      | $21752.05     | 0.00%             | 2037-05-15      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1EA2 PIMCO FPPSWAPTION 4.52 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    11100000 | NC      | $647853.72    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.35000 04/29/25-5Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $5652.20      | 0.00%             |  |  |  | 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        |      307443 | PA      | $294985.23    | 0.02%             | 2048-01-01      | Fixed         | 4.00%                 | 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        |      413988 | PA      | $416228.33    | 0.03%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-380.27      | -0.00%            |  |  |  | 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 INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $19490.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC3                                      | ACE SECURITIES CORP. ACE 2006 NC3 A1A                  | CUSIP: 00442EAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3835616 | PA      | $2030437.72   | 0.13%             | 2036-12-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $1773.63      | 0.00%             |  |  |  | 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        |    41000000 | PA      | $38609195.70  | 2.48%             | 2056-06-11      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $3921.03      | 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      | $54206.05     | 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      | $50130.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC HOME EQTY LN 2004-HE3                            | ASSET BACKED SECURITIES CORP H ABSHE 2004 HE3 M1       | CUSIP: 04541GJT0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2538641 | PA      | $2679268.84   | 0.17%             | 2034-06-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                      | ROMANIA SR UNSECURED REGS 07/39 6.75                   | CUSIP: ACI2W14X7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     3400000 | PA      | $3930283.74   | 0.25%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260417                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $80.21        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MYR BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $1397.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-1515.41     | -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      | $-220713.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-C                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 C A1A 144A     | CUSIP: 83206EAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2787933 | PA      | $2845172.47   | 0.18%             | 2052-06-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260403                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $7262.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BNPP AM EURO CLO 2019 BV 19-1A                                    | BNPP AM EURO CLO BNPAM 2019 1A AR 144A                 | CUSIP: ACI21M4V9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     7348999 | PA      | $8484392.36   | 0.55%             | 2032-07-22      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CITIGROUP REVERSE REPO                                 | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |   -37204141 | PA      | $-37208037.52 | -2.39%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CNH SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $741.47       | 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      | $-7880.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5GA1 PIMCO FPPSWAPTION 4.11 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    58200000 | NC      | $3735409.86   | 0.24%             |  |  |  | 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        |   321000000 | PA      | $690161.44    | 0.04%             | 2028-10-16      | Fixed         | 18.40%                | No            |                  2 | On Loan: No      |
| N/A                                                               | US LONG BOND(CBT) JUN26 XCBT 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          -7 | NC      | $27882.71     | 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      | $18268.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-H1                                               | GSAMP TRUST GSAMP 2007 H1 A2B                          | CUSIP: 36245YAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      706183 | PA      | $357091.61    | 0.02%             | 2047-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 527150 GN 02/30 FIXED 8                      | CUSIP: 36211YTF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          70 | PA      | $71.07        | 0.00%             | 2030-02-15      | Fixed         | 8.00%                 | 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      | $8235.86      | 0.00%             |  |  |  | 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        |    -1900000 | NC      | $-9925.22     | -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      | $-26929.57    | -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      | $-781110.36   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-141369.09   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN EURO CLO 20-74A                                            | DRYDEN LEVERAGED LOAN CDO DRYD 2020 74A AR 144A        | CUSIP: ACI2Z96Y3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2200000 | PA      | $2541413.93   | 0.16%             | 2039-10-18      | Floating      | 3.29%                 | 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        |     8450000 | NC      | $603887.70    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-190332.69   | -0.01%            |  |  |  | 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      | $3081.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 3.76000 11/01/24-10Y CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-4570.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20270128                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $37678.87     | 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        |      800000 | PA      | $18002.86     | 0.00%             | 2026-05-20      | Floating      | 39.64%                | 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      | $-769204.78   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $2010.31      | 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      | $3443.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | DEUTSCHE BANK REPO REPO                                | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    37300000 | PA      | $37300000.00  | 2.40%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $543.44       | 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      | $4703.44      | 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        |   141700000 | NC      | $122825.56    | 0.01%             |  |  |  | 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      | $3328.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-23                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 23 1A          | CUSIP: 12666CAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1453379 | PA      | $1397383.43   | 0.09%             | 2037-05-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD COP BOUGHT USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-55439.53    | -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        |   -10000000 | NC      | $-32339.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SLU7 PIMCO CDSOPT PUT USD 95.20703125 202         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -18200000 | NC      | $-103723.62   | -0.01%            |  |  |  | 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      | $-347143.87   | -0.02%            |  |  |  | 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        |     3330303 | PA      | $3515342.98   | 0.23%             | 2054-08-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL MB0810 G2 12/55 FIXED 3.5                 | CUSIP: 3618N53U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      199999 | PA      | $183581.94    | 0.01%             | 2055-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.87000 03/05/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-2122.82     | -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      | $-2127.20     | -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      | $-244286.69   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PLN BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $4706.72      | 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      | $-34671.22    | -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      | $-311.88      | -0.00%            |  |  |  | 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        |      500000 | PA      | $490250.00    | 0.03%             | 2033-01-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260422                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-6352.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 06/15/22-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1027918.63   | 0.07%             |  |  |  | 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        |    12104759 | PA      | $11116843.39  | 0.72%             | 2036-03-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-35870.86    | -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        |    10849000 | PA      | $10164305.51  | 0.65%             | 2056-04-21      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/29 5.8        | CUSIP: 345397E58<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      700000 | PA      | $708060.05    | 0.05%             | 2029-03-08      | Fixed         | 5.80%                 | 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        |   214900000 | NC      | $410652.41    | 0.03%             |  |  |  | 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      | $23674.77     | 0.00%             |  |  |  | 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        |     1478057 | PA      | $1514496.42   | 0.10%             | 2055-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260414                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-2960.08     | -0.00%            |  |  |  | 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        |      516500 | PA      | $514926.29    | 0.03%             | 2045-08-15      | Fixed         | 4.88%                 | 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        |   194870000 | PA      | $198354797.85 | 12.76%            | 2056-06-11      | 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      | $1311.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $201.43       | 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      | $-256589.53   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-2486.78     | -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      | $5266.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II POOL 080054 G2 03/27 FLOATING VAR              | CUSIP: 36225CBY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          36 | PA      | $35.74        | 0.00%             | 2027-03-20      | Floating      | 5.62%                 | 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    | 0.01%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-829.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A       | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3233 | PA      | $3139.30      | 0.00%             | 2042-11-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-42859.92    | -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      | $53759.42     | 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      | $1880.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $3806.31      | 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      | $-3098.43     | -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        |    64030000 | PA      | $3546477.77   | 0.23%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL DA6978 FN 02/54 FIXED 6.5                    | CUSIP: 3140A7XG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1893022 | PA      | $1960304.89   | 0.13%             | 2054-02-01      | Fixed         | 6.50%                 | 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      | $-7648.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $3627.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750SBA2 PIMCO FXVAN PUT USD KRW 1400.0000000         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     3165278 | NC      | $9435.69      | 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        |      400000 | PA      | $405500.73    | 0.03%             | 2030-01-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2856.09     | -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      | $-27918.66    | -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        |      450630 | PA      | $419224.18    | 0.03%             | 2048-01-01      | Fixed         | 3.50%                 | 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        |      821000 | PA      | $818049.53    | 0.05%             | 2035-08-15      | Fixed         | 4.25%                 | 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      | $-1157.17     | -0.00%            |  |  |  | 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      | $-3903.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-3053.11     | -0.00%            |  |  |  | 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        |      595115 | PA      | $598594.43    | 0.04%             | 2055-07-25      | 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      | $2212.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2004-FM1                                      | ACE SECURITIES CORP. ACE 2004 FM1 M1                   | CUSIP: 004421DK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1054210 | PA      | $1049311.19   | 0.07%             | 2033-09-25      | Floating      | 4.69%                 | 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        |       14588 | PA      | $12705.96     | 0.00%             | 2035-08-25      | Floating      | 4.44%                 | 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      | $-18278.51    | -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        |    19920000 | PA      | $20014862.23  | 1.29%             | 2056-04-13      | Fixed         | 5.50%                 | 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        |     5110000 | NC      | $150954.51    | 0.01%             |  |  |  | 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        |     4160398 | PA      | $4242917.89   | 0.27%             | 2055-09-01      | Fixed         | 5.50%                 | 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        |   216700000 | NC      | $334389.77    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $9950.56      | 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      | $-179056.85   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3533.91     | -0.00%            |  |  |  | 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        |    14250000 | PA      | $14055644.54  | 0.90%             | 2056-04-13      | Fixed         | 5.00%                 | 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      | $35800.32     | 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      | $738.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                           | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1          | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       59671 | PA      | $52262.85     | 0.00%             | 2047-06-25      | Floating      | 5.79%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2023-B                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2023 B A1B 144A     | CUSIP: 78449HAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      951191 | PA      | $971277.79    | 0.06%             | 2056-10-16      | Floating      | 5.47%                 | 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      | $-54400.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 898564 FN 10/36 FIXED 6                      | CUSIP: 31410VJH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         350 | PA      | $364.07       | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | 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      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1218.76     | -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      | $-14991.21    | -0.00%            |  |  |  | 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        |     2250000 | PA      | $2254483.24   | 0.15%             | 2032-07-20      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-5569.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD EUR BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-11211.00    | -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      | $2271.63      | 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      | $351617.06    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FOURSIGHT CAPITAL AUTOMOBILE RECEIVABLES TRUST 2024-1             | FOURSIGHT CAPITAL AUTOMOBILE R FCRT 2024 1 A2 144A     | CUSIP: 35105AAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      241829 | PA      | $242376.37    | 0.02%             | 2029-01-16      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 544860 FN 09/34 FLOATING VAR                 | CUSIP: 31385HJD5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         231 | PA      | $228.67       | 0.00%             | 2034-09-01      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $11303.15     | 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      | $-16460.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 8 LTD 2019-8A                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 8A A 144A     | CUSIP: 03331XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      218014 | PA      | $215903.64    | 0.01%             | 2037-07-25      | Fixed         | 4.43%                 | 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      | $8709.86      | 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      | $6242.42      | 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      | $-131665.28   | -0.01%            |  |  |  | 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      | $1188.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ILLINOIS MUNICIPAL ELECTRIC AGENCY                                | ILLINOIS ST MUNI ELEC AGY PWR ILSPWR 02/35 FIXED 6.832 | CUSIP: 452024GT3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       60000 | PA      | $63214.58     | 0.00%             | 2035-02-01      | Fixed         | 6.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $243298.91    | 0.02%             |  |  |  | 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        |      377560 | PA      | $385771.80    | 0.02%             | 2044-11-20      | Floating      | 5.12%                 | 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      | $-562854.63   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260916                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $115512.93    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $6337.00      | 0.00%             |  |  |  | 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        |     1546230 | PA      | $1637199.17   | 0.11%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 4.5 JUMBOS                           | CUSIP: 21H042653<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    33580000 | PA      | $32404791.34  | 2.08%             | 2056-05-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 677219 GN 08/38 FIXED 5                      | CUSIP: 36295QK82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      113175 | PA      | $115596.33    | 0.01%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-17337.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2024-1                          | GLS AUTO SELECT RECEIVABLES TR GSAR 2024 1A A2 144A    | CUSIP: 37988XAB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      146217 | PA      | $147056.89    | 0.01%             | 2030-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-2727.76     | -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        |     1367576 | PA      | $1326841.81   | 0.09%             | 2059-07-25      | Fixed         | 2.75%                 | 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        |    -8100000 | NC      | $-27096.12    | -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      | $18772.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                 | REPUBLIC OF SOUTH AFRICA BONDS 03/36 6.25              | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   257620000 | PA      | $12237872.99  | 0.79%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CZK BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $3893.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | AUST 3YR BOND FUT JUN26 XSFE 20260615                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         -36 | NC      | $7060.45      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 04/26 0.00000                            | CUSIP: 912797TK3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      300000 | PA      | $299184.26    | 0.02%             | 2026-04-28      | None          | 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      | $3050.90      | 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        |       39994 | PA      | $37231.28     | 0.00%             | 2046-02-25      | Floating      | 4.86%                 | No            |                  2 | On Loan: No      |
| UNICREDIT SPA                                                     | UNICREDIT SPA 144A 06/27 VAR                           | CUSIP: 904678AW9<br>LEI: 549300TRUWO2CD2G5692 | Long             | DBT              | CORP              | IT        |      300000 | PA      | $298621.86    | 0.02%             | 2027-06-03      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5480                                           | FREDDIE MAC FHR 5480 FG                                | CUSIP: 3137HHUD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2246204 | PA      | $2262601.73   | 0.15%             | 2054-12-25      | Floating      | 4.81%                 | 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        |       20766 | PA      | $9000.91      | 0.00%             | 2036-01-25      | Fixed         | 5.75%                 | 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      | $-6372.15     | -0.00%            |  |  |  | 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      | $3183.81      | 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        |     1871234 | PA      | $1888038.31   | 0.12%             | 2055-07-20      | Floating      | 4.82%                 | 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        |     2070000 | PA      | $1735177.50   | 0.11%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| INDIGO CREDIT MANAGEMENT I DAC 1A                                 | INDIGO CREDIT MANAGEMENT INDI 1A AR 144A               | CUSIP: ACI37FVH7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3000000 | PA      | $3466190.69   | 0.22%             | 2037-10-15      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20260424                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-30979.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6      | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    70000000 | PA      | $20539555.73  | 1.32%             | 2035-08-12      | Fixed         | 6.85%                 | 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        |   -23200000 | NC      | $-304042.96   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $534.92       | 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      | $-137798.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $3851.18      | 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      | $-46151.55    | -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      | $-123.16      | -0.00%            |  |  |  | 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      | $-3467.91     | -0.00%            |  |  |  | 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        |   -49110000 | PA      | $-41277339.04 | -2.66%            | 2056-05-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PHP SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $-5026.24     | -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        |   -31100000 | NC      | $-168882.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $3474.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20260720                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-901521.88   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR9                                | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR9 1A       | CUSIP: 939346AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3868304 | PA      | $3531201.29   | 0.23%             | 2046-11-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $12593.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1809.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                  | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 4A1             | CUSIP: 466247K51<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       86688 | PA      | $88513.68     | 0.01%             | 2034-08-25      | Fixed         | 6.45%                 | No            |                  2 | On Loan: No      |
| FHF ISSUER TRUST 2024-1A                                          | FIRST HELP FINANCIAL LLC FHF 2024 1A A2 144A           | CUSIP: 31568AAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1242453 | PA      | $1250069.61   | 0.08%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SPTR TRS EQUITY SOFR+61 *BULLET* CIB                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $2395192.52   | 0.15%             |  |  |  | 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      | $17145.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $6.93         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 701305 FN 06/33 FLOATING VAR                 | CUSIP: 31400YDJ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       27564 | PA      | $28645.41     | 0.00%             | 2033-06-01      | Floating      | 6.84%                 | 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        |      600000 | PA      | $572725.69    | 0.04%             | 2039-04-27      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-83787.84    | -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      | $1639.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                              | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A      | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2974322 | PA      | $2977498.12   | 0.19%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $80.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CMO PLACEHOLDER                                                   | PROJECT NOVA TERM LOAN                                 | CUSIP: BA000QBV9<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |      400000 | PA      | $400000.00    | 0.03%             | 2026-08-31      | Floating      | 6.59%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $1956.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-2                             | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 2 1A1        | CUSIP: 68402CAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2196124 | PA      | $1014732.46   | 0.07%             | 2036-07-25      | Floating      | 3.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1FA1 PIMCO FPPSWAPTION 4.52 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    11100000 | NC      | $581683.29    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-998.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO LTD 2016-1A                                      | TCI SYMPHONY CLO TSYMP 2016 1A BR2 144A                | CUSIP: 87229WAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6330000 | PA      | $6342442.12   | 0.41%             | 2032-10-13      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $674.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                                | FANNIE MAE FNR 2007 96 AF                              | CUSIP: 31396XNT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       62693 | PA      | $62847.07     | 0.00%             | 2037-06-25      | Floating      | 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      | $-4043.74     | -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      | $18315.18     | 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      | $-4216.26     | -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      | $7727.03      | 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        |     2200000 | PA      | $1584242.00   | 0.10%             | 2045-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX EM43 ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-1285.51     | -0.00%            |  |  |  | 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        |   -16400000 | NC      | $-5266.04     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-3684.65     | -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      | $-4.43        | -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      | $571.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SECURED 144A 07/30 5.033         | CUSIP: 04685A4R9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     7600000 | PA      | $7524592.57   | 0.48%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260422                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-67587.49    | -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      | $10733.92     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/39 7      | CUSIP: ACI2PNWZ1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     1400000 | PA      | $417590.16    | 0.03%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                           | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1B 144A     | CUSIP: 83207QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3050640 | PA      | $3048982.54   | 0.20%             | 2053-07-15      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-2                                | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 2 2A1A       | CUSIP: 41161PLR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      429516 | PA      | $418259.13    | 0.03%             | 2035-05-19      | Floating      | 4.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $152.63       | 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      | $29870.37     | 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      | $-148667.00   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260421                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $2213.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX HY45 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $583566.66    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.5025 03/25/25-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $50687.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR3                          | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR3 2A1      | CUSIP: 32051GQL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13144 | PA      | $8646.30      | 0.00%             | 2035-08-25      | Floating      | 5.99%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A3 144A       | CUSIP: 30336CAE5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      600826 | PA      | $604917.59    | 0.04%             | 2029-04-16      | Fixed         | 5.54%                 | 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        |      856276 | PA      | $830218.24    | 0.05%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A1            | CUSIP: 61753KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8093752 | PA      | $3019981.33   | 0.19%             | 2037-03-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $4141.44      | 0.00%             |  |  |  | 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      |
| 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        |     2043366 | PA      | $1939751.89   | 0.12%             | 2036-02-25      | Floating      | 4.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $10160.82     | 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      | $675.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA5420 FN 07/54 FIXED 5.5                    | CUSIP: 31418FAW7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2744801 | PA      | $2761406.05   | 0.18%             | 2054-07-01      | 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      | $5575.39      | 0.00%             |  |  |  | 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        |    10154692 | PA      | $10370949.86  | 0.67%             | 2055-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260716                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $33152.48     | 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      | $9132.36      | 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      | $-17963.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-4Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-43.09       | -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      | $-11987.59    | -0.00%            |  |  |  | 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      | $-34750.23    | -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      | $18783.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-R2                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 R2 A 144A     | CUSIP: 69544VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2264459 | PA      | $2267599.69   | 0.15%             | 2032-10-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $692.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2007-2AX                            | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 2AX 2A1        | CUSIP: 61751TAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1959190 | PA      | $658312.05    | 0.04%             | 2036-12-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2004-5X                                    | SLM STUDENT LOAN TRUST SLMA 2004 5X A6 REGS            | CUSIP: B02JZGII4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      410995 | PA      | $442888.67    | 0.03%             | 2039-10-25      | Floating      | 2.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $7263.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12  | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A  | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      633994 | PA      | $632965.90    | 0.04%             | 2031-12-15      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                     | EGYPT GOVERNMENT BOND BONDS 10/30 19.698               | CUSIP: ACI350557<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   112600000 | PA      | $2028307.39   | 0.13%             | 2030-10-14      | Fixed         | 19.70%                | 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        |     1000000 | NC      | $3778.00      | 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        |   -21900000 | NC      | $-152257.56   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    69700000 | PA      | $1562962.57   | 0.10%             | 2028-05-17      | Floating      | 39.64%                | No            |                  2 | On Loan: No      |
| ARES LXII CLO LTD 2021-62A                                        | ARES CLO LTD ARES 2021 62A A1R 144A                    | CUSIP: 00192WAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4900000 | PA      | $4901607.25   | 0.32%             | 2034-01-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-46226.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-108888.28   | -0.01%            |  |  |  | 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        |     2574463 | PA      | $2716760.27   | 0.17%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $1503.09      | 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        |   201600000 | NC      | $305081.28    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL Q52981 FG 12/47 FIXED 4              | CUSIP: 3132XVJ38<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      744914 | PA      | $714955.58    | 0.05%             | 2047-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $11653.96     | 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      | $-5463.03     | -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      | $-8414.72     | -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      | $25847.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PFP 2026-13 LTD                                                   | PFP III PFP 2026 13 A 144A                             | CUSIP: 716966AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2000000 | PA      | $2002309.52   | 0.13%             | 2043-08-18      | Floating      | 5.18%                 | 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        |  -126500000 | NC      | $-49989.01    | -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      | $24511.02     | 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      | $-3926.93     | -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      | $8115.40      | 0.00%             |  |  |  | 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        |    28400000 | PA      | $28319755.80  | 1.82%             | 2055-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-74471.56    | -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        |     4723692 | PA      | $4763532.66   | 0.31%             | 2055-09-25      | Floating      | 4.81%                 | 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        |   -14700000 | NC      | $-79810.71    | -0.01%            |  |  |  | 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        |    30000000 | PA      | $8190752.61   | 0.53%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260427                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-2475.15     | -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      | $372.31       | 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      | $870.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2005-4                               | SAXON ASSET SECURITIES TRUST SAST 2005 4 M2            | CUSIP: 805564TK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1392177 | PA      | $1360526.54   | 0.09%             | 2037-11-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260421                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-269.01      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                                   | DAE FUNDING LLC COMPANY GUAR 144A 03/28 3.375          | CUSIP: 23371DAG9<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |      900000 | PA      | $866876.45    | 0.06%             | 2028-03-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9YNA2 PIMCO SWAPTION 3.505 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    21600000 | NC      | $126787.68    | 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      | $24929.69     | 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        |     6506378 | PA      | $6559814.97   | 0.42%             | 2055-03-25      | Floating      | 4.81%                 | 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      | $2642.88      | 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        |      226635 | PA      | $211383.27    | 0.01%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-3997.36     | -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      | $-119.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CW2                             | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CW2 MV1      | CUSIP: 46629BAT6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1031536 | PA      | $984841.78    | 0.06%             | 2036-08-25      | Floating      | 4.06%                 | 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        |    -4900000 | NC      | $-4969.09     | -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      | $-1606.06     | -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      | $-49219.30    | -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      | $-98.79       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR1                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR1 1A1A      | CUSIP: 92925CCC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2603415 | PA      | $2358644.68   | 0.15%             | 2046-01-25      | Floating      | 4.93%                 | 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        |        2278 | PA      | $2282.94      | 0.00%             | 2044-07-01      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 06/15/22-30Y CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4843426.60   | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SEK BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $11779.83     | 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      | $-32652.71    | -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      | $-9351.83     | -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        |     1400000 | PA      | $1631003.83   | 0.10%             | 2027-04-01      | Floating      | 4.92%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-6346.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $8766.46      | 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        |     8300000 | PA      | $8353950.00   | 0.54%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-25709.06    | -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        |    14800000 | PA      | $14777164.04  | 0.95%             | 2030-07-31      | Fixed         | 3.88%                 | 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        |     1964722 | NC      | $6269.43      | 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      | $18276.10     | 0.00%             |  |  |  | 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      | $-7557.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZWA9 PIMCO SWAPTION 3.239 CALL USD 202608         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1300000 | NC      | $3738.67      | 0.00%             |  |  |  | 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        |     1133531 | PA      | $1112873.01   | 0.07%             | 2036-05-25      | Floating      | 4.38%                 | 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      | $-202248.05   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260413                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-8329.19     | -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      | $15190.02     | 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      | $309.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A        | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      565835 | PA      | $576308.73    | 0.04%             | 2058-05-25      | Floating      | 4.79%                 | 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        |     2000000 | NC      | $3473.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AX2488 FN 10/44 FIXED 4                      | CUSIP: 3138Y3XS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      669903 | PA      | $652188.79    | 0.04%             | 2044-10-01      | Fixed         | 4.00%                 | 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        |    -2700000 | NC      | $-10221.93    | -0.00%            |  |  |  | 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        |     1439775 | PA      | $1441884.08   | 0.09%             | 2067-07-25      | Fixed         | 6.25%                 | 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        |    59740000 | PA      | $59050982.74  | 3.80%             | 2056-05-20      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260721                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $4971.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                            | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG      | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $980000.00    | 0.06%             | 2060-12-31      | None          | 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      | $-817.69      | -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      | $-636242.94   | -0.04%            |  |  |  | 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      | $-3259557.98  | -0.21%            |  |  |  | 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      | $1527357.64   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90500 03/12/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-7511.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG46 5Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-2505598.36  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20260507                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-745.26      | -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      | $136517.23    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 651787 GN 04/36 FIXED 5                      | CUSIP: 36292LCY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5156 | PA      | $5219.88      | 0.00%             | 2036-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $16276.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $818.87       | 0.00%             |  |  |  | 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        |    19600000 | NC      | $7830.20      | 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      | $-356925.34   | -0.02%            |  |  |  | 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        |      204075 | NS      | $133303830.75 | 8.58%             |  |  |  | No            |                  1 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3276 FN 02/48 FIXED 3.5                    | CUSIP: 31418CUA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      346068 | PA      | $322356.13    | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | 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        |     3639784 | PA      | $3647915.39   | 0.23%             | 2054-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL EURO CLO 2022-2 DAC 22-2A                            | BAIN CAPITAL EURO CLO BCCE 2022 2A B2RR 144A           | CUSIP: ACI2ZP3L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      900000 | PA      | $1039161.37   | 0.07%             | 2038-01-22      | Fixed         | 4.95%                 | 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        |     5328240 | PA      | $5354790.99   | 0.34%             | 2055-09-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y3A4 PIMCO FPPSWAPTION 4.485 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    18000000 | NC      | $1066240.80   | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1991.64      | 0.00%             |  |  |  | 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      | $-872.24      | -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      | $-27354.31    | -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      | $20350.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2          | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A1      | CUSIP: 46628TAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2188651 | PA      | $1999197.03   | 0.13%             | 2036-07-25      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3383 FN 06/48 FIXED 3.5                    | CUSIP: 31418CXM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      329311 | PA      | $306201.74    | 0.02%             | 2048-06-01      | 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      | $9575.58      | 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      | $7670.20      | 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      | $-2957.59     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 5A1             | CUSIP: 46630GAR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       94179 | PA      | $94171.11     | 0.01%             | 2035-07-25      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20260504                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $64891.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SPTR TRS EQUITY SOFR+33 *BULLET* BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-3677599.82  | -0.24%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.48 10/29/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-179195.41   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1930.87     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.10000 01/21/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $17955.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS9843 FN 11/54 FIXED VAR                    | CUSIP: 3140XR5D3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3005056 | PA      | $3168377.01   | 0.20%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-1486.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO X BV 10A                                        | ARES EUROPEAN CLO ARESE 10A AR 144A                    | CUSIP: ACI1Y2RR3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1085668 | PA      | $1256149.31   | 0.08%             | 2031-10-15      | Floating      | 2.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $47791.97     | 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      | $214.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R2                                                 | CIM TRUST CIM 2023 R2 A1 144A                          | CUSIP: 17181KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7051824 | PA      | $7072353.28   | 0.46%             | 2064-08-25      | Variable      | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA4ZA3 PIMCO FPPSWAPTION 4.6275 CALL USD            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    17700000 | NC      | $986819.25    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260506                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-629.69      | -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        |         -21 | NC      | $23866.92     | 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      | $-959.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-10966.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 3 LTD 2016-3A                            | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 3A A1R 144A   | CUSIP: 03330EAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      400000 | PA      | $382383.52    | 0.02%             | 2039-01-28      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CLP BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $1242.25      | 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        |     1100000 | PA      | $842505.29    | 0.05%             | 2048-02-12      | Fixed         | 6.35%                 | 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      | $38557.66     | 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        |         -76 | NC      | $756583.09    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | 31750SC60 PIMCO CDSOPT PUT USD 102.32812500 20         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -10100000 | NC      | $-41880.66    | -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      | $-29955.00    | -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      | $-829.49      | -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      | $-7433.83     | -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      | $-17844.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5580                                           | FREDDIE MAC FHR 5580 FE                                | CUSIP: 3137HMXR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6261393 | PA      | $6303242.42   | 0.41%             | 2055-09-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-34580.14    | -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        |        2114 | NC      | $-1816121.15  | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY7                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY7 3A1       | CUSIP: 93364FAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3771255 | PA      | $3496616.37   | 0.22%             | 2037-07-25      | Floating      | 4.16%                 | 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      | $-174683.89   | -0.01%            |  |  |  | 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      | $-119042.14   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MYR SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |           1 | NC      | $-4193.36     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $3967.08      | 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      | $-4906.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 2A1       | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      253732 | PA      | $235746.33    | 0.02%             | 2036-08-25      | Floating      | 4.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 4.53000 12/31/30-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $-1115.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 4.70000 03/23/31-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |           1 | NC      | $36.76        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REGIONAL MANAGEMENT ISSUANCE TRUST 2024-1                         | REGIONAL MANAGEMENT ISSUANCE T RMIT 2024 1 A 144A      | CUSIP: 758983AA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1000000 | PA      | $1014281.40   | 0.07%             | 2036-07-15      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20260416                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $7039.00      | 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        |     2600000 | NC      | $3701.10      | 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        |     4225757 | PA      | $5597705.29   | 0.36%             | 2049-12-28      | Floating      | 4.63%                 | 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        |   215900000 | NC      | $297035.22    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     5500000 | NC      | $282392.00    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                             | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2D           | CUSIP: 61750MAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      667523 | PA      | $280138.43    | 0.02%             | 2036-09-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $2331.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UC9MA4 PIMCO SWAPTION 4.075 PUT USD 2026040         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1000000 | NC      | $216.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2005-A2                               | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A2 A2         | CUSIP: 59020USJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      161007 | PA      | $154985.75    | 0.01%             | 2035-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SPTR TRS EQUITY SOFR+48 CIB                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $41095.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-3290.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 894117 FN 10/36 FIXED 6.5                    | CUSIP: 31410QK67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2655 | PA      | $2778.08      | 0.00%             | 2036-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CAPITAL FOUR CLO X DAC 10A                                        | CAPITAL FOUR CLO CFOUR 10A A 144A                      | CUSIP: ACI2ZN408<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2200000 | PA      | $2538446.91   | 0.16%             | 2038-10-25      | Floating      | 3.28%                 | 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        |     5211837 | PA      | $5470606.48   | 0.35%             | 2054-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20260610                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-18219.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS PLN 4.73000 12/31/30-5Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $2963.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BM5807 FN 04/48 FIXED VAR                    | CUSIP: 3140JANZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1128327 | PA      | $1051545.09   | 0.07%             | 2048-04-01      | Fixed         | 3.50%                 | 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      | $-2224.05     | -0.00%            |  |  |  | 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        |    13200000 | PA      | $13174345.93  | 0.85%             | 2038-11-15      | Floating      | 5.47%                 | 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        |    12100000 | NC      | $1444.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                               | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR           | CUSIP: 92849FAA6<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      250000 | PA      | $248675.00    | 0.02%             | 2030-01-08      | Floating      | 5.26%                 | 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        |    -1900000 | NC      | $-5463.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT COP SOLD USD 20260410                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-2127.08     | -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      | $200.08       | 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      | $-43225.09    | -0.00%            |  |  |  | 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        |     1529659 | PA      | $1560373.69   | 0.10%             | 2053-08-01      | Fixed         | 5.50%                 | 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        |     5188360 | PA      | $5229087.99   | 0.34%             | 2055-08-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A1                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A1 3A         | CUSIP: 589929F37<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         229 | PA      | $225.77       | 0.00%             | 2032-12-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2005-A8                                  | JP MORGAN MORTGAGE TRUST JPMMT 2005 A8 1A1             | CUSIP: 466247YH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27302 | PA      | $21304.44     | 0.00%             | 2035-11-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-1.65        | -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      | $-993.47      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260403                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-7845.76     | -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        |    24620000 | PA      | $24730635.88  | 1.59%             | 2056-05-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $323.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS REFT 2026-FL1 ISSUER LTD                                       | GS REFT 2026 FL1 ISSUER LTD GSREFT 2026 FL1 A 144A     | CUSIP: 36274DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5700000 | PA      | $5714250.00   | 0.37%             | 2043-04-19      | Floating      | 5.17%                 | 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        |   -22500000 | NC      | $-83317.50    | -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      | $11858.10     | 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      | $2287.01      | 0.00%             |  |  |  | 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        |    22300000 | NC      | $18201.26     | 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      | $-21071.40    | -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        |      695293 | PA      | $699353.64    | 0.04%             | 2055-07-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | S+P500 EMINI FUT  JUN26 XCME 20260618                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         716 | NC      | $-3957550.03  | -0.25%            |  |  |  | No            |                  1 | 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      | $4993466.15   | 0.32%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS10                            | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS10 M3       | CUSIP: 75405WAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8342673 | PA      | $8211383.05   | 0.53%             | 2035-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE6                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE6 A2            | CUSIP: 61755CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      327415 | PA      | $300483.49    | 0.02%             | 2037-05-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| FIRST NLC TRUST 2005-4                                            | FIRST NLC TRUST FNLC 2005 4 M1                         | CUSIP: 32113JCH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    14622000 | PA      | $13386707.12  | 0.86%             | 2036-02-25      | Floating      | 4.53%                 | 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        |        4342 | PA      | $4297.70      | 0.00%             | 2037-07-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| ARES EUROPEAN CLO XII BV 12A                                      | ARES EURO CLO ARESE 12A AR 144A                        | CUSIP: ACI20RGN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3481282 | PA      | $4023840.34   | 0.26%             | 2032-04-20      | Floating      | 2.88%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-D                               | BANC OF AMERICA FUNDING CORPOR BAFC 2005 D A1          | CUSIP: 06051GDM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6984 | PA      | $6727.27      | 0.00%             | 2035-05-25      | Floating      | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $-30.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20260408                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $1011.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA II TBA 30 YR 6 JUMBOS                             | CUSIP: 21H060655<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22290000 | PA      | $22641101.16  | 1.46%             | 2056-05-20      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                             | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A2D           | CUSIP: 61753VAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8606139 | PA      | $2690294.40   | 0.17%             | 2037-02-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20260430                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-3172.50     | -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      | $267718.02    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-J                               | BANC OF AMERICA FUNDING CORPOR BAFC 2006 J 4A1         | CUSIP: 05951EAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20279 | PA      | $17718.77     | 0.00%             | 2047-01-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT HUF SOLD USD 20260415                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $2952.40      | 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      | $-116130.62   | -0.01%            |  |  |  | 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        |        8132 | PA      | $8397.89      | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260423                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $194.78       | 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      | $-1347.12     | -0.00%            |  |  |  | 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        |     1200000 | PA      | $1160133.40   | 0.07%             | 2032-04-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20260403                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-3240.68     | -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        |   -19900000 | NC      | $-116323.46   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SEK SOLD USD 20260402                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-39229.95    | -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        |          86 | PA      | $88.43        | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | 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      | $-1413.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 544861 FN 12/36 FLOATING VAR                 | CUSIP: 31385HJE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         276 | PA      | $279.51       | 0.00%             | 2036-12-01      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                       | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5          | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1109982.39   | 0.07%             | 2040-07-01      | Fixed         | 4.50%                 | 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      | $-38615.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-E                           | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 E 2A3        | CUSIP: 43709XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7799363 | PA      | $5508065.11   | 0.35%             | 2037-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20260407                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $35388.72     | 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      | $12045.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20260409                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-593.36      | -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      | $35887.86     | 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        |        7861 | PA      | $8029.60      | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $18495.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC SR UNSECURED 11/33 VAR                    | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     2300000 | PA      | $2572802.06   | 0.17%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PHP BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PH        |           1 | NC      | $2123.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20260420                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $1979.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260811                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $495600.73    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20260617                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $783.08       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA1                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA1 A3        | CUSIP: 74923GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      780468 | PA      | $698441.96    | 0.04%             | 2037-01-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB3                            | CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4      | CUSIP: 12489WQX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3060772 | PA      | $2829234.20   | 0.18%             | 2036-03-25      | Floating      | 4.31%                 | 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        |     2200000 | NC      | $878.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20260406                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $43413.81     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SAUDI ARABIA GOVT EM SP JPM                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-51334.44    | -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