# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004448
**Filing Date:** 2025-11
**Character Count:** 837580
**Document Hash:** de8e9c5ccea904b4c2367714d450f9f0
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004448.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004448

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250930

**FILED AS OF DATE**: 20251126

**DATE AS OF CHANGE**: 20251126

**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:** 251528269

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

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

## Series and Classes Contracts Data

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

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

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

  - **Telephone number:** (866) 746-2606

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

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

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

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

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

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

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

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $5799765010.13

**Total Liabilities:** $3756032013.83

**Net Assets:** $2043732996.30

**Delayed Delivery Securities:** $32813719.50

**Cash Not Reported:** $28737812.66

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -106064.627500 | **1-Year:** 337659.551000 | **5-Year:** 429003.551500 | **10-Year:** 22019.953900 | **30-Year:** 211.888200

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

- **3-Month:** 9020.991600 | **1-Year:** 41703.504500 | **5-Year:** 146488.165300 | **10-Year:** 37746.447600 | **30-Year:** 2.730400

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000221900 | 0.63%                | 4.27%                | 2.20%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $4749843.69              | $-15571195.45                              |
| Month 2  | $10251743.75             | $13833141.82                               |
| Month 3  | $9031509.97              | $3700208.12                                |

**Designated Index Information**

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

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

### Schedule of Portfolio Investments

| Name                                                                      | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |     Balance | Units   | Value (USD)    | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                       | RFR USD SOFR/4.10000 01/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $28765.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE3                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE3 A2B            | CUSIP: 617538AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6000022 | PA      | $3012988.39    | 0.15%             | 2036-12-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                       | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/31 VAR         | CUSIP: 86562MDY3<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |     4400000 | PA      | $4451618.73    | 0.22%             | 2031-07-08      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $698.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RHA8 PIMCO FXVAN PUT USD ZAR 18.00000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    11560000 | NC      | $623118.68     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 972305 FN 02/38 FIXED 6                       | CUSIP: 31414PU64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5574 | PA      | $5876.94       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 981705 FN 06/38 FIXED 4.5                     | CUSIP: 31415BDJ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         663 | PA      | $662.72        | 0.00%             | 2038-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL 847340 FH 11/34 FLOATING VAR          | CUSIP: 3128JREM4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          64 | PA      | $65.06         | 0.00%             | 2034-11-01      | Floating      | 6.65%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1          | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1461660 | PA      | $1384358.95    | 0.07%             | 2036-01-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 878481 FN 02/36 FIXED 6                       | CUSIP: 31409T6S2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         263 | PA      | $271.56        | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2007-19                                   | COUNTRYWIDE HOME LOANS CWHL 2007 19 1A1                 | CUSIP: 12544PAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      360750 | PA      | $142773.72     | 0.01%             | 2037-12-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20251204                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $14750.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-8185.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-3956.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $282.41        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL 1J1214 FH 09/35 FLOATING VAR          | CUSIP: 3128NHK36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         166 | PA      | $170.29        | 0.00%             | 2035-09-01      | Floating      | 6.19%                 | 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      | $-50792.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 6A1          | CUSIP: 05950PAU7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4599 | PA      | $3576.93       | 0.00%             | 2036-10-20      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RH83 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -41500000 | NC      | $-27141.00     | -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        |     4130287 | PA      | $4225877.21    | 0.21%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $6478.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP HOME EQUITY LOAN TRUST SERIES 2005-HE3                | ACE SECURITIES CORP. ACE 2005 HE3 M4                    | CUSIP: 004421NF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4760000 | PA      | $4407584.36    | 0.22%             | 2035-05-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1DA3 PIMCO SWAPTION 3.038 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2800000 | NC      | $19780.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $46869.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $1947.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL C91175 FG 05/28 FIXED 5               | CUSIP: 3128P7JU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         518 | PA      | $521.98        | 0.00%             | 2028-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAEMLN TRS EQUITY SOFR+59 MEI                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $54065.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $7736.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 01/34 1.75                              | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     1786496 | PA      | $1795581.73    | 0.09%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-113630.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2006-WFH3                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH3 M2        | CUSIP: 17309QAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19001 | PA      | $19005.17      | 0.00%             | 2036-10-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL AL2279 GN 03/45 FIXED 3.5                     | CUSIP: 36183XQ86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26243 | PA      | $24546.63      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 5 JUMBOS                              | CUSIP: 21H0506B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    60750000 | PA      | $60356669.87   | 2.95%             | 2054-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 735972 FN 10/35 FIXED VAR                     | CUSIP: 31402RT58<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         220 | PA      | $229.02        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $29318.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-997.01       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 695208 FN 03/33 FIXED 5.5                     | CUSIP: 31400RKV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4705 | PA      | $4747.83       | 0.00%             | 2033-03-01      | 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      | $-11930.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $8069.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 995482 FN 01/39 FIXED VAR                     | CUSIP: 31416B2P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         258 | PA      | $268.12        | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A3        | CUSIP: 92927XAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      208342 | PA      | $187615.56     | 0.01%             | 2037-06-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                            | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A5          | CUSIP: 93935HAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      615597 | PA      | $162236.06     | 0.01%             | 2036-09-25      | Variable      | 6.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR FUT OPTN  NOV25P 111 EXP 10/24/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -1261 | NC      | $-140554.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CAIRN CLO VII BV 16-7A                                                    | CAIRN CLO BV CRNCL 2016 7A A1R 144A                     | CUSIP: ACI1G9KT1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      477866 | PA      | $561118.99     | 0.03%             | 2030-01-31      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 602480 GN 12/35 FIXED 5                       | CUSIP: 36200JJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1710 | PA      | $1752.15       | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RLY1 OTC EPUT FN 5.5 DEC25 98.96875 PUT            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    45200000 | NC      | $43170.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $86.51         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-H09                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 H09 FA          | CUSIP: 38380LFE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      365555 | PA      | $370046.04     | 0.02%             | 2068-04-20      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                              | UBS GROUP AG SR UNSECURED 144A 04/31 VAR                | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |      250000 | PA      | $247215.11     | 0.01%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA4ZA3 PIMCO FPPSWAPTION 4.6275 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    24300000 | NC      | $1554633.81    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| EURO-GALAXY III CLO BV 13-3A                                              | EURO GALAXY CLO DAC EGLXY 2013 3A ARRR 144A             | CUSIP: ACI1W6FF5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     3135913 | PA      | $3682573.77    | 0.18%             | 2034-04-24      | Floating      | 2.56%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0306A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2650000 | PA      | $2328061.23    | 0.11%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 893641 FN 09/36 FIXED 6                       | CUSIP: 31410PZE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         876 | PA      | $923.30        | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | 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        |      191892 | PA      | $196595.17     | 0.01%             | 2039-02-15      | Fixed         | 5.00%                 | 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      | $-56359.89     | -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      | $-612.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RI33 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -10100000 | NC      | $-6605.40      | -0.00%            |  |  |  | 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        |     1757016 | PA      | $1557703.01    | 0.08%             | 2047-03-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $592423.26     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20251027                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $559.04        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $36.91         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0ZA1 PIMCO SWAPTION 3.2975 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1400000 | NC      | $16639.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Y5A2 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    37700000 | NC      | $2105250.94    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 704506 GN 05/39 FIXED 5                       | CUSIP: 36296XU77<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       22840 | PA      | $23436.51      | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-7123.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2006-1                             | STRUCTURED ASSET INVESTMENT LO SAIL 2006 1 A4           | CUSIP: 86358EA97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       52280 | PA      | $49477.28      | 0.00%             | 2036-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05196 FG 10/38 FIXED 5.5             | CUSIP: 3128M7C95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         718 | PA      | $746.17        | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9YOA1 PIMCO SWAPTION 4.255 PUT USD 2026080          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    29000000 | NC      | $270555.50     | 0.01%             |  |  |  | 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        |     4613515 | PA      | $4727567.25    | 0.23%             | 2054-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SUNTRUST ADJR MRTG LN TR 2007-S1                                          | SUNTRUST ADJUSTABLE RATE MORTG STARM 2007 S1 1A         | CUSIP: 855541AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28540 | PA      | $16837.30      | 0.00%             | 2037-01-25      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 745257 FN 01/36 FIXED VAR                     | CUSIP: 31403C5S6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         150 | PA      | $157.62        | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC1                                 | STRUCTURED ASSET SECURITIES CO SASC 2006 BC1 A2         | CUSIP: 86359YAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6469 | PA      | $6326.39       | 0.00%             | 2036-03-25      | Floating      | 4.43%                 | 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        |     7000000 | PA      | $7155508.01    | 0.35%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-BC1                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC1 2A4         | CUSIP: 12668TAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1511606 | PA      | $1473848.42    | 0.07%             | 2037-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 669739 GN 07/37 FIXED 6                       | CUSIP: 36295GBG6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         973 | PA      | $1012.83       | 0.00%             | 2037-07-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+22 ULO                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $491227.82     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-193179.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA8                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A1         | CUSIP: 74922QAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115559 | PA      | $106880.38     | 0.01%             | 2036-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257057 FN 01/28 FIXED 5                       | CUSIP: 31371NQJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         179 | PA      | $179.45        | 0.00%             | 2028-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A1      | CUSIP: 92922F7P7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4198976 | PA      | $3870874.24    | 0.19%             | 2045-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH9109 FN 04/41 FIXED 4.5                     | CUSIP: 3138ABDP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         351 | PA      | $351.93        | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 06/20/24-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1982978.94    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 769481 FN 02/34 FIXED 5.5                     | CUSIP: 31404H2N8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         255 | PA      | $258.84        | 0.00%             | 2034-02-01      | Fixed         | 5.50%                 | 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        |        2777 | PA      | $2497.30       | 0.00%             | 2046-05-20      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                           | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528  | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     1210000 | PA      | $1163614.31    | 0.06%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 899170 FN 02/37 FIXED 5.5                     | CUSIP: 31410V6F2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         101 | PA      | $105.64        | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB0204 FN 12/38 FIXED 5.5                     | CUSIP: 31416VGN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         267 | PA      | $277.73        | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED 144A 08/32 6.15           | CUSIP: 715638BY7<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   153400000 | PA      | $46837134.83   | 2.29%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1139.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.71000 08/06/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-9149.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $5181.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC8                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC8 2A3       | CUSIP: 232434AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10526073 | PA      | $9099216.86    | 0.45%             | 2036-11-25      | Floating      | 4.77%                 | 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        |     3443265 | PA      | $3476999.33    | 0.17%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 902340 FN 11/36 FIXED 5.5                     | CUSIP: 31411APZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          31 | PA      | $32.75         | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ9279 FN 02/48 FIXED 3.5                     | CUSIP: 3140HBJZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24298 | PA      | $22497.03      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD0461 FN 09/36 FIXED VAR                     | CUSIP: 31418MQP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14469 | PA      | $14969.72      | 0.00%             | 2036-09-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 970853 FN 12/38 FIXED 6                       | CUSIP: 31414NBW3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4566 | PA      | $4757.01       | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-608.46       | -0.00%            |  |  |  | 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        |      148638 | PA      | $143704.47     | 0.01%             | 2035-05-19      | Floating      | 4.69%                 | 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        |      872855 | PA      | $781601.12     | 0.04%             | 2046-01-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/37 8.5         | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    44000000 | PA      | $2347566.88    | 0.11%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A57043 FG 02/37 FIXED 5               | CUSIP: 3128KKZG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3318 | PA      | $3352.59       | 0.00%             | 2037-02-01      | Fixed         | 5.00%                 | 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        |     3600000 | PA      | $3626576.75    | 0.18%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 828355 FN 07/35 FIXED 5.5                     | CUSIP: 31407EH89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          28 | PA      | $28.85         | 0.00%             | 2035-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                                | ARES STRATEGIC INCOME FU SR UNSECURED 144A 09/28 5.45   | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |     5700000 | PA      | $5745972.61    | 0.28%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $-377.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | 3138XG9W5                                               | CUSIP: 957IEYII7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3760000 | PA      | $3850018.99    | 0.19%             | 2035-10-01      | Fixed         | 5.03%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $11057.05      | 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      | $19604.64      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $40193.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 774296 GN 03/42 FIXED 5                       | CUSIP: 36176R7H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4878 | PA      | $4890.83       | 0.00%             | 2042-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR39                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR39 A1        | CUSIP: 45660KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       58925 | PA      | $54677.91      | 0.00%             | 2037-02-25      | Floating      | 4.63%                 | 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        |     1502181 | PA      | $1344592.73    | 0.07%             | 2037-02-25      | Floating      | 4.40%                 | 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        |       45993 | PA      | $42192.29      | 0.00%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-6                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 6 2A1         | CUSIP: 07384MXB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1776 | PA      | $1748.35       | 0.00%             | 2033-08-25      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| CHASE FUNDING MTGE LN ASSET BK 2002-3                                     | CHASE FUNDING MORTGAGE LOAN AS CFAB 2002 3 2A1          | CUSIP: 161546DB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8996 | PA      | $8938.23       | 0.00%             | 2032-08-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 254514 FN 11/32 FIXED 5.5                     | CUSIP: 31371KVF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         188 | PA      | $194.54        | 0.00%             | 2032-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797RW9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       20000 | PA      | $19852.81      | 0.00%             | 2025-12-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TR 2006-A7                                  | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2006 A7 1A12        | CUSIP: 12566TAM9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31314 | PA      | $28112.95      | 0.00%             | 2036-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 920077 FN 12/36 FIXED 5.5                     | CUSIP: 31412BFS6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9160 | PA      | $9480.38       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CLP 5.02000 11/05/24-6Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |           1 | NC      | $-55662.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-1512.29      | -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        |        9149 | PA      | $9097.47       | 0.00%             | 2035-09-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-H                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 H 4A1          | CUSIP: 05950PAK9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      294214 | PA      | $265669.44     | 0.01%             | 2046-09-20      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RU20INTR TRS EQUITY SOFR+30 MYI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $160309.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WHQ2                                       | PARK PLACE SECURITIES INC PPSI 2004 WHQ2 M5             | CUSIP: 70069FEM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7591932 | PA      | $7020051.63    | 0.34%             | 2035-02-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| CONAGRA BRANDS INC                                                        | CONAGRA BRANDS INC SR UNSECURED 08/35 5.75              | CUSIP: 205887CL4<br>LEI: 54930035UDEIH090K650 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1120595.58    | 0.05%             | 2035-08-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-22                                            | COUNTRYWIDE HOME LOANS CWHL 2004 22 A3                  | CUSIP: 12669F6Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7891 | PA      | $7608.03       | 0.00%             | 2034-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| HOST HOTELS & RESORTS LP                                                  | HOST HOTELS + RESORTS LP SR UNSECURED 04/35 5.5         | CUSIP: 44107TBC9<br>LEI: FXB7X4WXVA8QPMNOGS12 | Long             | DBT              | CORP              | US        |     2000000 | PA      | $2014871.26    | 0.10%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-5                                             | GSAA HOME EQUITY TRUST GSAA 2006 5 2A1                  | CUSIP: 362334GR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      129385 | PA      | $41386.70      | 0.00%             | 2036-03-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2005-A                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2005 A 4A1          | CUSIP: 05946XQX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6162 | PA      | $5412.05       | 0.00%             | 2035-02-20      | Floating      | 4.99%                 | 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        |     1597605 | PA      | $1614135.17    | 0.08%             | 2054-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A3       | CUSIP: 83612NAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      117050 | PA      | $31450.86      | 0.00%             | 2037-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3922                                                   | FREDDIE MAC FHR 3922 GS                                 | CUSIP: 3137AFHT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      133692 | PA      | $130415.47     | 0.01%             | 2041-09-15      | Floating      | 1.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 988580 FN 08/38 FIXED 6                       | CUSIP: 31415TFV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          58 | PA      | $61.02         | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                      | BAYER US FINANCE LLC BAYER US FINANCE LLC               | CUSIP: 07274EAK9<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |      400000 | PA      | $427630.56     | 0.02%             | 2030-11-21      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2006-BNC3                                   | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC3 A3        | CUSIP: 86361KAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1142 | PA      | $1139.43       | 0.00%             | 2036-09-25      | Floating      | 4.42%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2005-OPT1                                    | SG MORTGAGE SECURITIES TRUST SGMS 2005 OPT1 M4          | CUSIP: 81879MAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5879000 | PA      | $4966053.62    | 0.24%             | 2035-10-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL3681 FN 10/40 FIXED VAR                     | CUSIP: 3138ELCT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       28434 | PA      | $29979.82      | 0.00%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-59.75        | -0.00%            |  |  |  | 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        |     6431411 | PA      | $6119883.63    | 0.30%             | 2054-07-25      | Floating      | 2.87%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3181                                                          | FREDDIE MAC FHR 3181 PS                                 | CUSIP: 31396URJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       57274 | PA      | $5883.74       | 0.00%             | 2036-07-15      | Floating      | 1.98%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-BC5                                 | STRUCTURED ASSET SECURITIES CO SASC 2006 BC5 A4         | CUSIP: 86359SAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1798 | PA      | $1794.49       | 0.00%             | 2036-12-25      | Floating      | 4.61%                 | 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        |     4893515 | PA      | $3200687.24    | 0.16%             | 2037-07-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $136.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-0.03         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 676882 GN 03/38 FIXED 5                       | CUSIP: 36295P6T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         148 | PA      | $151.40        | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | 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        |     1006000 | PA      | $130780.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| VENTURE XXVII CLO LTD 2017-27A                                            | VENTURE CDO LTD VENTR 2017 27A AR 144A                  | CUSIP: 92331LBC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      674533 | PA      | $674903.94     | 0.03%             | 2030-07-20      | Floating      | 5.64%                 | 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        |      822039 | PA      | $824938.86     | 0.04%             | 2028-03-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST 2022-A                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 A A1 144A      | CUSIP: 17330VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13816741 | PA      | $13861327.53   | 0.68%             | 2062-09-25      | Fixed         | 9.17%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                    | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 1A         | CUSIP: 542512AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      327864 | PA      | $223949.74     | 0.01%             | 2036-12-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 741275 GN 05/40 FIXED 5                       | CUSIP: 3620AVQ47<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1487 | PA      | $1519.24       | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $32106.08      | 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        |      443922 | PA      | $442074.71     | 0.02%             | 2037-07-25      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G01820 FG 06/35 FIXED 5.5             | CUSIP: 3128LXAV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         424 | PA      | $441.86        | 0.00%             | 2035-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888893 FN 08/37 FIXED VAR                     | CUSIP: 31410GRN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1371 | PA      | $1427.28       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RJH1 PIMCO CDSOPT PUT USD 0.7 20251217             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |  -137300000 | NC      | $-57866.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 698340 GN 05/39 FIXED 5                       | CUSIP: 36296QZD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         976 | PA      | $1001.12       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY SR UNSECURED 04/31 VAR            | CUSIP: 95000U3W1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     7400000 | PA      | $7633756.45    | 0.37%             | 2031-04-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $75966.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI7525 FR 06/54 FIXED 6               | CUSIP: 3133WELE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1862533 | PA      | $1909694.53    | 0.09%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9YNA2 PIMCO SWAPTION 3.505 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    29000000 | NC      | $505545.40     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AU0949 FN 08/43 FIXED 3.5                     | CUSIP: 3138X0BT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13352 | PA      | $12625.70      | 0.00%             | 2043-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A73952 FG 02/38 FIXED 5               | CUSIP: 3128L7L96<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4823 | PA      | $4953.60       | 0.00%             | 2038-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A48943 FG 05/36 FIXED 5.5             | CUSIP: 3128K95C4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2709 | PA      | $2823.81       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CENTEX HOME EQUITY 2004-B                                                 | CENTEX HOME EQUITY CXHE 2004 B M1                       | CUSIP: 152314JV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      143624 | PA      | $142778.29     | 0.01%             | 2034-03-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL ZS8935 FR 01/29 FIXED 6.5             | CUSIP: 3132A94U8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         870 | PA      | $880.68        | 0.00%             | 2029-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q49387 FG 07/47 FIXED 4               | CUSIP: 3132WPND5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       52034 | PA      | $50131.73      | 0.00%             | 2047-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-7421.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-1A                                                   | REACH FINANCIAL LLC REACH 2024 1A A 144A                | CUSIP: 75526PAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       29557 | PA      | $29599.91      | 0.00%             | 2031-02-18      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 780365 FN 06/34 FLOATING VAR                  | CUSIP: 31404V6A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         333 | PA      | $341.85        | 0.00%             | 2034-06-01      | Floating      | 6.27%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R9                                    | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R9 M2          | CUSIP: 03072SQ40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1300000 | PA      | $1221716.73    | 0.06%             | 2035-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-1                        | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 1 A2           | CUSIP: 31659TEY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       85664 | PA      | $64597.79      | 0.00%             | 2036-05-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 890489 FN 11/41 FIXED VAR                     | CUSIP: 31410LKA9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         289 | PA      | $289.29        | 0.00%             | 2041-11-01      | Fixed         | 4.50%                 | 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        |     2356037 | PA      | $2324353.71    | 0.11%             | 2035-12-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 813586 FN 03/35 FLOATING VAR                  | CUSIP: 31406L2T4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          12 | PA      | $12.21         | 0.00%             | 2035-03-01      | Floating      | 6.42%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3891                                                          | FREDDIE MAC FHR 3891 BF                                 | CUSIP: 3137ADTZ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20136 | PA      | $20032.25      | 0.00%             | 2041-07-15      | Floating      | 5.04%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W1                                             | ARGENT SECURITIES INC. ARSI 2006 W1 A2C                 | CUSIP: 040104RF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      718520 | PA      | $666975.79     | 0.03%             | 2036-03-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                               | ILLINOIS ST ILS 04/35 FIXED 6.725                       | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      100000 | PA      | $106310.78     | 0.01%             | 2035-04-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US225436AA21 CREDIT SUISSE GROUP AG       | CUSIP: 952NPH004<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     2800000 | PA      | $364000.00     | 0.02%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 721620 FN 07/33 FIXED 5.5                     | CUSIP: 31401XVM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          99 | PA      | $100.73        | 0.00%             | 2033-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICAT 2007-3                                | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 3 2A3           | CUSIP: 12668UAG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       83767 | PA      | $78243.16      | 0.00%             | 2047-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                           | BEAR STEARNS ALT A TRUST BALTA 2005 9 21A1              | CUSIP: 07386HXZ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37666 | PA      | $34603.40      | 0.00%             | 2035-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4            | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    41300000 | PA      | $11521606.26   | 0.56%             | 2034-08-12      | Fixed         | 5.40%                 | 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        |    16787443 | PA      | $16834098.71   | 0.82%             | 2055-07-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS1                                     | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS1 M3         | CUSIP: 76110WM52<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4965866 | PA      | $4870015.36    | 0.24%             | 2035-02-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 7 LTD 2019-7A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 7A A 144A      | CUSIP: 03331FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      321925 | PA      | $321222.16     | 0.02%             | 2037-04-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-5                                           | BEAR STEARNS ALT A TRUST BALTA 2005 5 22A1              | CUSIP: 07386HUJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       41792 | PA      | $26106.73      | 0.00%             | 2035-07-25      | Variable      | 5.17%                 | No            |                  2 | On Loan: No      |
| FCCU AUTO RECEIVABLES TRUST 2024-1                                        | FCCU AUTO RECEIVABLES TRUST FCCU 2024 1A A2 144A        | CUSIP: 30336CAC9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      116318 | PA      | $116606.89     | 0.01%             | 2027-11-15      | Fixed         | 5.76%                 | 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        |     3100000 | PA      | $2393858.75    | 0.12%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RE94 OTC EPUT FN 5.5 OCT25 98.0625 PUT             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    88900000 | NC      | $0.89          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                                      | JACKSON NATL LIFE GLOBAL SECURED 144A 01/30 5.35        | CUSIP: 46849LVE8<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |      200000 | PA      | $207053.96     | 0.01%             | 2030-01-13      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0406B8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    67950000 | PA      | $64033529.16   | 3.13%             | 2055-11-13      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                                 | MAN GLG EURO CLO GLGE 5A A1R 144A                       | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2084264 | PA      | $2449853.00    | 0.12%             | 2031-12-15      | Floating      | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $8926.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3218 FN 12/32 FIXED 3                       | CUSIP: 31418CSG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2998135 | PA      | $2903764.88    | 0.14%             | 2032-12-01      | Fixed         | 3.00%                 | 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      | $1051363.64    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-8837.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL V85233 FG 03/49 FIXED 4               | CUSIP: 3132LAY63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       97908 | PA      | $94133.08      | 0.00%             | 2049-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2007-7AX                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 7AX 2A3         | CUSIP: 61754HAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30182 | PA      | $7929.18       | 0.00%             | 2037-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | MEXICAN UDIBONOS BONDS 11/31 2.75                       | CUSIP: ACI1VZWM8<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     4275334 | PA      | $211566.41     | 0.01%             | 2031-11-27      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-956.28       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 658746 FN 08/36 FIXED 6                       | CUSIP: 31390WZK1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          50 | PA      | $52.34         | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-33261.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-62.34        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $8113.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/40 4.625                             | CUSIP: 912810QE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     3734300 | PA      | $3802348.88    | 0.19%             | 2040-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 829708 FN 06/35 FLOATING VAR                  | CUSIP: 31407FYD6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         142 | PA      | $145.74        | 0.00%             | 2035-06-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $178497.68     | 0.01%             |  |  |  | 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      | $279003.59     | 0.01%             | 2031-06-04      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE3                                                      | GSAMP TRUST GSAMP 2005 HE3 M4                           | CUSIP: 362341BT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      165544 | PA      | $162212.78     | 0.01%             | 2035-06-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-D                                            | FREMONT HOME LOAN TRUST FHLT 2006 D 1A1                 | CUSIP: 35729VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2188785 | PA      | $1296721.41    | 0.06%             | 2036-11-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 690888 GN 06/38 FIXED 5                       | CUSIP: 36296GRH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13134 | PA      | $13417.89      | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2018-RPL1                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2018 RPL1 A1 144A    | CUSIP: 64829VAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      411242 | PA      | $399960.04     | 0.02%             | 2057-12-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-1                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 1 AF3          | CUSIP: 75970JAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      368066 | PA      | $94338.21      | 0.00%             | 2037-04-25      | Variable      | 5.61%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECUR TR 2005-FRE1                                     | MASTR ASSET BACKED SECURITIES MABS 2005 FRE1 M1         | CUSIP: 57643LMA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6520179 | PA      | $6360193.93    | 0.31%             | 2035-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-9                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 9 2A1A        | CUSIP: 41161PSK0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75791 | PA      | $72833.94      | 0.00%             | 2035-06-20      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $672052.41     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $4736.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-8217.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 4A1        | CUSIP: 86360JAN1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9178 | PA      | $3140.60       | 0.00%             | 2046-05-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CENTERBRIDGE CREDIT FUNDING 1 LTD                                         | CENTERBRIDGE CREDIT FUNDING LT CBCF 2021 1A A 144A      | CUSIP: 15186PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $579517.15     | 0.03%             | 2039-07-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OH1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OH1 A1D       | CUSIP: 02150KAZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1433423 | PA      | $1265824.22    | 0.06%             | 2047-04-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-32                                                 | FANNIE MAE FNR 2007 32 SA                               | CUSIP: 31396VDR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      104037 | PA      | $9588.31       | 0.00%             | 2037-04-25      | Floating      | 1.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-3373.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 697946 GN 03/39 FIXED 5                       | CUSIP: 36296QL31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2171 | PA      | $2208.92       | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2005-AR4                                         | DSLA MORTGAGE LOAN TRUST DSLA 2005 AR4 2A1A             | CUSIP: 23332UEM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2754 | PA      | $2472.00       | 0.00%             | 2045-08-19      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                          | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A           | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      469077 | PA      | $451362.08     | 0.02%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AC6211 FN 11/39 FIXED 5.5                     | CUSIP: 31417S3V0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1224 | PA      | $1265.51       | 0.00%             | 2039-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ0179 FN 01/48 FIXED 3.5                     | CUSIP: 3140H1FV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4717 | PA      | $4366.41       | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 06/28 3             | CUSIP: 694308JW8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     2300000 | PA      | $2218218.35    | 0.11%             | 2028-06-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-14349.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 745045 GN 11/39 FIXED 5                       | CUSIP: 3620C0WE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         918 | PA      | $916.77        | 0.00%             | 2039-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 826082 FN 07/35 FLOATING VAR                  | CUSIP: 31407BXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          60 | PA      | $61.02         | 0.00%             | 2035-07-01      | Floating      | 6.30%                 | 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        |       34470 | PA      | $32124.98      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 11/40 1.375                             | CUSIP: 912810ST6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     4100000 | PA      | $2676611.32    | 0.13%             | 2040-11-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD HKD BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |           1 | NC      | $3250.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-569.51       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3960 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5MJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       25185 | PA      | $23320.55      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA - PETROPERU SA                                      | PETROLEOS DEL PERU SA SR UNSECURED REGS 06/47 5.625     | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |     3300000 | PA      | $2442924.00    | 0.12%             | 2047-06-19      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $9547.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUND FUTURE  DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |           1 | NC      | $891.17        | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-3AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 3AR 2A2         | CUSIP: 61745M4P5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       52093 | PA      | $46618.60      | 0.00%             | 2035-07-25      | Floating      | 3.58%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3289                                                          | FREDDIE MAC FHR 3289 FG                                 | CUSIP: 31397FNM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11620 | PA      | $11517.87      | 0.00%             | 2037-03-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-B                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 B A1           | CUSIP: 05952EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2495 | PA      | $2115.35       | 0.00%             | 2047-04-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-3                                            | FREMONT HOME LOAN TRUST FHLT 2006 3 2A3                 | CUSIP: 35729MAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4463932 | PA      | $1377965.76    | 0.07%             | 2037-02-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 884863 FN 04/36 FIXED 5.5                     | CUSIP: 31410CB84<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           5 | PA      | $5.17          | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB0770 FN 03/54 FIXED 6                       | CUSIP: 3140A92C3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      924154 | PA      | $948195.11     | 0.05%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MA2391 G2 11/44 FLOATING VAR               | CUSIP: 36179QUQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95713 | PA      | $98461.87      | 0.00%             | 2044-11-20      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB0827 FN 04/54 FIXED 6                       | CUSIP: 3140A94M9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      814063 | PA      | $836536.79     | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2007-OPT3                                | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT3 1A1       | CUSIP: 83612KAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      608626 | PA      | $528432.20     | 0.03%             | 2037-08-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| ROMARK CREDIT FUNDING II LTD                                              | ROMARK CREDIT FUNDING, LTD. RCF 2021 2A A 144A          | CUSIP: 77588JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $472783.50     | 0.02%             | 2039-10-25      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888301 FN 09/36 FIXED VAR                     | CUSIP: 31410F3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1188 | PA      | $1220.36       | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CA2028 FN 04/48 FIXED 3.5                     | CUSIP: 3140Q9HE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30740 | PA      | $28741.26      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                               | ILLINOIS ST ILS 02/35 FIXED 6.63                        | CUSIP: 452152BM2<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |       50000 | PA      | $52949.23      | 0.00%             | 2035-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3951                                                   | FREDDIE MAC FHR 3951 US                                 | CUSIP: 3137AHVF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       24665 | PA      | $23158.15      | 0.00%             | 2040-02-15      | Floating      | 1.89%                 | 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      | $-772486.95    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TR 2005-1                                        | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2005 1 M1          | CUSIP: 68389FGK4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      175595 | PA      | $168339.29     | 0.01%             | 2035-02-25      | Floating      | 5.05%                 | 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      | $-29331.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JACKSON NATIONAL LIFE GLOBAL FUNDING                                      | JACKSON NATL LIFE GLOBAL SECURED 144A 01/28 VAR         | CUSIP: 46849CJN2<br>LEI: 635400PQXLYXWJI5QD78 | Long             | DBT              | CORP              | US        |      500000 | PA      | $502043.40     | 0.02%             | 2028-01-14      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2006-MLN1                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 MLN1 A2B       | CUSIP: 59023AAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      343664 | PA      | $132876.58     | 0.01%             | 2037-07-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-6                                          | TOWD POINT MORTGAGE TRUST TPMT 2017 6 B1 144A           | CUSIP: 89175JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1031000 | PA      | $873101.53     | 0.04%             | 2057-10-25      | Variable      | 3.29%                 | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                            | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS            | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |        2793 | PA      | $3746.37       | 0.00%             | 2044-06-15      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2005-AP2                                     | NOMURA ASSET ACCEPTANCE CORPOR NAA 2005 AP2 A5          | CUSIP: 65535VLL0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18201 | PA      | $8739.63       | 0.00%             | 2035-05-25      | Variable      | 5.48%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                      | BAYER US FINANCE LLC BAYER US FINANCE LLC               | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |      200000 | PA      | $215825.44     | 0.01%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $2186.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PRODUCTS INC 2004-RS10                         | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS10 MII2      | CUSIP: 76112BED8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      860054 | PA      | $819849.83     | 0.04%             | 2034-10-25      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN4                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN4 A1 144A    | CUSIP: 69359QAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      778490 | PA      | $779116.22     | 0.04%             | 2051-10-25      | Variable      | 5.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY REREMIC TRUST 2011-R2                                      | MORGAN STANLEY REREMIC TRUST MSRR 2011 R2 1A 144A       | CUSIP: 61760JAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49852 | PA      | $22149.97      | 0.00%             | 2037-05-26      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AC7291 FN 12/39 FIXED 4.5                     | CUSIP: 31417UC52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         264 | PA      | $264.83        | 0.00%             | 2039-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 783314 GN 12/40 FIXED 5                       | CUSIP: 36241LVF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3396 | PA      | $3483.61       | 0.00%             | 2040-12-15      | Fixed         | 5.00%                 | 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        |      500000 | PA      | $508672.50     | 0.02%             | 2035-08-01      | Fixed         | 5.70%                 | 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      | $5832.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-112123.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-15N                                                  | LEHMAN XS TRUST LXS 2007 15N 2A1                        | CUSIP: 52524VAG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35132 | PA      | $34504.61      | 0.00%             | 2037-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5575                                                   | FREDDIE MAC FHR 5575 FC                                 | CUSIP: 3137HN2X5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    25538322 | PA      | $25647109.83   | 1.25%             | 2055-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-204117.97    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-21058.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-1                                          | TOWD POINT MORTGAGE TRUST TPMT 2018 1 A1 144A           | CUSIP: 89176EAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36463 | PA      | $36159.10      | 0.00%             | 2058-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $2782.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-119753.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $40439.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2025-116                         | GOVERNMENT NATIONAL MORTGAGE A GNR 2025 116 QF          | CUSIP: 38381PC92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4678251 | PA      | $4697932.43    | 0.23%             | 2055-07-20      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2008-R4                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2008 R4 1A1 144A   | CUSIP: 466309AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50904 | PA      | $24653.66      | 0.00%             | 2036-12-27      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.00000 06/21/23-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $4907182.45    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 690955 GN 06/38 FIXED 5                       | CUSIP: 36296GTL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         128 | PA      | $130.93        | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0096 FN 06/29 FIXED 4.5                     | CUSIP: 31417YDA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         566 | PA      | $567.88        | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ2331 FN 08/30 FIXED 4.86                    | CUSIP: 3140NWSV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3500000 | PA      | $3618627.78    | 0.18%             | 2030-08-01      | Fixed         | 4.86%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 904605 FN 11/36 FIXED 6                       | CUSIP: 31411DAE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         159 | PA      | $165.85        | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $4680.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256597 FN 02/37 FIXED 5.5                     | CUSIP: 31371M7J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          11 | PA      | $11.61         | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-6                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 6 2A3           | CUSIP: 12669LAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       90468 | PA      | $96078.04      | 0.00%             | 2037-09-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| M360 2021-CRE3 LLC                                                        | M360 LTD. M360 2021 CRE3 B 144A                         | CUSIP: 55379AAC8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6463000 | PA      | $6355996.44    | 0.31%             | 2038-11-22      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-722.75       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-61                                       | FHLMC STRUCTURED PASS THROUGH FSPC T 61 1A1             | CUSIP: 31395A3J2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1654 | PA      | $1602.84       | 0.00%             | 2044-07-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE3                                                      | GSAMP TRUST GSAMP 2006 HE3 A2D                          | CUSIP: 36244KAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      343467 | PA      | $331536.52     | 0.02%             | 2046-05-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 865115 FN 02/36 FIXED 5.5                     | CUSIP: 31409ADU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         102 | PA      | $105.86        | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 09/17/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-3842848.80   | -0.19%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 844532 FN 11/35 FLOATING VAR                  | CUSIP: 31407YHH5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          55 | PA      | $55.56         | 0.00%             | 2035-11-01      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2006-7                                         | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 7 3AF          | CUSIP: 86361BAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28119 | PA      | $22286.83      | 0.00%             | 2036-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH2712 FN 04/47 FIXED 3.5                     | CUSIP: 3140GRAN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       21844 | PA      | $20368.57      | 0.00%             | 2047-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC1                                              | ACE SECURITIES CORP. ACE 2006 NC1 M1                    | CUSIP: 004421UU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      877204 | PA      | $835726.47     | 0.04%             | 2035-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                              | ALIMENTATION COUCHE TARD INC 10/25 ZCP                  | CUSIP: 01626UX18<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     1020000 | PA      | $1019878.62    | 0.05%             | 2025-10-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05342 FG 01/39 FIXED 5               | CUSIP: 3128M7HT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1369 | PA      | $1406.44       | 0.00%             | 2039-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A1             | CUSIP: 617526AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      339330 | PA      | $214673.17     | 0.01%             | 2036-11-25      | Floating      | 4.41%                 | 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        |      132548 | PA      | $123148.47     | 0.01%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-54                                                 | FANNIE MAE FNR 2025 54 FM                               | CUSIP: 3136BWNW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      950093 | PA      | $952477.75     | 0.05%             | 2055-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE2919 FN 08/40 FIXED 5.5                     | CUSIP: 31419DG54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         403 | PA      | $410.62        | 0.00%             | 2040-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   487040000 | PA      | $503660663.72  | 24.64%            | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSPA MONETIZATION TRUST                                                   | GSPA MONETIZATION TRUST PASS THRU CE 144A 10/29 6.422   | CUSIP: 36298GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      134001 | PA      | $135261.10     | 0.01%             | 2029-10-09      | Fixed         | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $707.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-123685.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 12/20/23-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $270237.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1176.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05255 FG 12/38 FIXED 5               | CUSIP: 3128M7E44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2287 | PA      | $2349.16       | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A1        | CUSIP: 12667GL76<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      863478 | PA      | $739831.35     | 0.04%             | 2035-08-25      | Variable      | 3.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2006-24CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 24CB A7       | CUSIP: 02146TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      547982 | PA      | $286800.54     | 0.01%             | 2036-08-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 04/29 2.125                             | CUSIP: 91282CKL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    27362494 | PA      | $28250367.25   | 1.38%             | 2029-04-15      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE2                                                      | GSAMP TRUST GSAMP 2006 HE2 M1                           | CUSIP: 362334LJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23163 | PA      | $22981.35      | 0.00%             | 2046-03-25      | Floating      | 4.75%                 | 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        |       31670 | PA      | $24498.17      | 0.00%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MHQ1                                       | PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M5             | CUSIP: 70069FCZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4100872 | PA      | $3900020.95    | 0.19%             | 2034-12-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| MLCC MORTGAGE INVESTORS INC 2005-1                                        | MLCC MORTGAGE INVESTORS INC MLCC 2005 1 2A2             | CUSIP: 59020UVJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4763 | PA      | $4307.93       | 0.00%             | 2035-04-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 3A3        | CUSIP: 92925VAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12817 | PA      | $11030.14      | 0.00%             | 2037-02-25      | Floating      | 4.11%                 | 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        |     4051135 | PA      | $4091033.35    | 0.20%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 726315 GN 09/39 FIXED 5                       | CUSIP: 3620AC3Y8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2710 | PA      | $2756.01       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-913179.74    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-115                                                       | FANNIE MAE FNR 2006 115 ES                              | CUSIP: 31396LT26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1369 | PA      | $1539.24       | 0.00%             | 2036-12-25      | Floating      | 8.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $32471.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-25.54        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA3                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA3 1A1       | CUSIP: 12668BB44<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       56281 | PA      | $48664.69      | 0.00%             | 2036-05-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                        | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15             | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     3600000 | PA      | $3663526.14    | 0.18%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR12                                      | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR12 2A1      | CUSIP: 94984GAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2198 | PA      | $2111.69       | 0.00%             | 2036-09-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-10                                          | BEAR STEARNS ALT A TRUST BALTA 2005 10 11A1             | CUSIP: 07386HYW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3557 | PA      | $3371.34       | 0.00%             | 2036-01-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-28785.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1A1      | CUSIP: 92925CBA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7192 | PA      | $7296.93       | 0.00%             | 2045-12-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3MA9 PIMCO SWAPTION 4.75 PUT USD 20260218          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    68300000 | NC      | $43814.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 1A1        | CUSIP: 17307G2Z0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        6822 | PA      | $6586.25       | 0.00%             | 2035-10-25      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| BANK OF INDUSTRY LIMITED                                                  | BANK OF INDUSTRY LIMITED 2024 EUR TERM LOAN B1          | CUSIP: BA000BY62<br>LEI: 5493006N5JD4B34R6G14 | Long             | LON              | MUN               | NG        |     3100000 | PA      | $3622571.24    | 0.18%             | 2027-08-23      | Floating      | 3.80%                 | 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        |       63120 | PA      | $60942.89      | 0.00%             | 2047-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 900134 FN 09/36 FIXED 6                       | CUSIP: 31410XBB1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          83 | PA      | $85.90         | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260126                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-300862.27    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH9277 FN 02/48 FIXED 3.5                     | CUSIP: 3140GYJX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       82024 | PA      | $76372.31      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20251031                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $55464.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-4                                   | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 4 M1          | CUSIP: 69121PAY9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9769348 | PA      | $8867283.46    | 0.43%             | 2036-08-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $11396.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 932548 FN 02/40 FIXED 5.5                     | CUSIP: 31412RBR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         261 | PA      | $270.83        | 0.00%             | 2040-02-01      | 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      | $-450.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RGS0 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -20400000 | NC      | $-13341.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11                      | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE11 M3       | CUSIP: 073879PA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3677657 | PA      | $3693142.94    | 0.18%             | 2034-12-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $380.18        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN 2007-PA4                                     | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA4 2A1       | CUSIP: 94984UAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2348 | PA      | $2184.26       | 0.00%             | 2037-07-25      | Floating      | 6.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3977 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5M32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10773 | PA      | $10008.89      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | 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      | $-354489.10    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G18666 FG 11/32 FIXED 3               | CUSIP: 3128MMW41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2306567 | PA      | $2248861.61    | 0.11%             | 2032-11-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.46000 04/01/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $-13566.97     | -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        |     1477233 | PA      | $1435742.21    | 0.07%             | 2047-06-25      | Floating      | 4.52%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $8148.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALT MTGE SEC 2005-AA1                                       | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA1 1A1       | CUSIP: 32051GGD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         746 | PA      | $421.14        | 0.00%             | 2035-03-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 725946 FN 11/34 FIXED VAR                     | CUSIP: 31402DP79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $7.52          | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $1182.81       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-WCW2                                       | PARK PLACE SECURITIES INC PPSI 2004 WCW2 M3             | CUSIP: 70069FAZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13538 | PA      | $13407.18      | 0.00%             | 2034-10-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                       | NOMURA HOLDINGS INC SR UNSECURED 07/30 2.679            | CUSIP: 65535HAS8<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |      409000 | PA      | $376065.62     | 0.02%             | 2030-07-16      | Fixed         | 2.68%                 | 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      | $943.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 555800 FN 10/33 FIXED VAR                     | CUSIP: 31385XNR4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         431 | PA      | $442.56        | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MIZUHO FINANCIAL GROUP INC                                                | MIZUHO FINANCIAL GROUP SR UNSECURED 07/31 VAR           | CUSIP: 60687YDL0<br>LEI: 353800CI5L6DDAN5XZ33 | Long             | DBT              | CORP              | JP        |     3000000 | PA      | $3036523.47    | 0.15%             | 2031-07-08      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-1                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2005 1 M3 144A      | CUSIP: 86358EQK5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      355565 | PA      | $351982.27     | 0.02%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $10971.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 606116 FN 09/31 FLOATING VAR                  | CUSIP: 31388JK53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $3.33          | 0.00%             | 2031-09-01      | Floating      | 6.40%                 | 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        |     2912564 | PA      | $3056909.58    | 0.15%             | 2054-07-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-16N                                                  | LEHMAN XS TRUST LXS 2007 16N 2A2                        | CUSIP: 52525BAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37657 | PA      | $34403.84      | 0.00%             | 2047-09-25      | Floating      | 5.97%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                             | GSAA HOME EQUITY TRUST GSAA 2007 5 2A3A                 | CUSIP: 3622ECAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      243159 | PA      | $105118.73     | 0.01%             | 2047-04-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 754031 FN 12/33 FLOATING VAR                  | CUSIP: 31403NVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         210 | PA      | $214.79        | 0.00%             | 2033-12-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3276 FN 02/48 FIXED 3.5                     | CUSIP: 31418CUA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31792 | PA      | $29580.40      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $19201.70      | 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        |          86 | PA      | $87.05         | 0.00%             | 2035-02-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-293977.22    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OH1                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OH1 A1B       | CUSIP: 02150KAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      999306 | PA      | $990330.88     | 0.05%             | 2047-04-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO ALTERNATIVE LOAN TR 2007-PA3                                  | WELLS FARGO ALTERNATIVE LOAN T WFALT 2007 PA3 3A1       | CUSIP: 94985GAH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69880 | PA      | $61113.29      | 0.00%             | 2037-07-25      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05737 FG 05/35 FIXED 6.5             | CUSIP: 3128M7V60<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11595 | PA      | $12186.69      | 0.00%             | 2035-05-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+30 GST                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $223857.43     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2007-AR1                                         | DSLA MORTGAGE LOAN TRUST DSLA 2007 AR1 1A1A             | CUSIP: 23333YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      490628 | PA      | $404496.31     | 0.02%             | 2047-04-19      | Floating      | 4.39%                 | 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        |      700000 | PA      | $213232.82     | 0.01%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $3570.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MTGE ACQUIS CORP 2006-CH2                                       | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH2 AV5       | CUSIP: 46629QAW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36329 | PA      | $36250.86      | 0.00%             | 2036-10-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SECURITIES INC 2005-R4                                    | AMERIQUEST MORTGAGE SECURITIES AMSI 2005 R4 M5          | CUSIP: 03072SC60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2000000 | PA      | $1913263.60    | 0.09%             | 2035-07-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV42 5Y 35-100% SP JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $10452102.88   | 0.51%             |  |  |  | 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        |     1900000 | PA      | $1911703.62    | 0.09%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2006-AR14                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR14 1A3A      | CUSIP: 45668GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      402588 | PA      | $384710.67     | 0.02%             | 2046-11-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A3B       | CUSIP: 17312TAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2028500 | PA      | $1376002.03    | 0.07%             | 2037-05-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006-7                                                    | LEHMAN XS TRUST LXS 2006 7 1A1A                         | CUSIP: 52522EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       52955 | PA      | $46431.86      | 0.00%             | 2036-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5565                                                   | FREDDIE MAC FHR 5565 FC                                 | CUSIP: 3137HMGL8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10080268 | PA      | $10133268.35   | 0.50%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE2314 FN 08/40 FIXED 4.5                     | CUSIP: 31419CSC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         189 | PA      | $190.48        | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NAVIENT PRIVATE EDUCATION REFI LOAN TRUST 2021-D                          | NAVIENT STUDENT LOAN TRUST NAVSL 2021 DA C 144A         | CUSIP: 63942CAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2880702 | PA      | $2702821.95    | 0.13%             | 2060-04-15      | Fixed         | 3.48%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR17                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR17 A1A2      | CUSIP: 92922F7Q5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      199991 | PA      | $183818.06     | 0.01%             | 2045-12-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR5                                     | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR5 4A1        | CUSIP: 45660LGV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      137173 | PA      | $91372.30      | 0.00%             | 2035-05-25      | Floating      | 4.20%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA6                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA6 A1         | CUSIP: 74922MAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       71969 | PA      | $65942.28      | 0.00%             | 2036-07-25      | Floating      | 4.65%                 | 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      | $-35858.84     | -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        |    17389294 | PA      | $17441041.44   | 0.85%             | 2055-09-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-8532.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2006-QS12                                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS12 2A11      | CUSIP: 751151AQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3064 | PA      | $2332.14       | 0.00%             | 2036-09-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC SR UNSECURED 11/33 VAR                     | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     2800000 | PA      | $3213688.55    | 0.16%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RHG5 OTC EPUT FN 6.0 NOV25 99.546875 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    70300000 | NC      | $1687.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 AS 144A     | CUSIP: 55284JAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12500000 | PA      | $12504139.00   | 0.61%             | 2037-02-19      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                            | FREMONT HOME LOAN TRUST FHLT 2006 C 1A1                 | CUSIP: 35729TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      358574 | PA      | $327844.53     | 0.02%             | 2036-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $42907.13      | 0.00%             |  |  |  | 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        |      100866 | PA      | $93372.24      | 0.00%             | 2037-09-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J3                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J3 1A1        | CUSIP: 12667GDA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20796 | PA      | $15602.36      | 0.00%             | 2035-05-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-4                                                         | FANNIE MAE FNR 2007 4 SL                                | CUSIP: 31396PMQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15909 | PA      | $1943.21       | 0.00%             | 2037-02-25      | Floating      | 2.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 836362 FN 10/35 FIXED 5.5                     | CUSIP: 31407PFB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1593 | PA      | $1658.66       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS COP IBR/7.49800 11/25/24-3Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $170214.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G30377 FG 12/27 FIXED 6               | CUSIP: 3128CUM29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         258 | PA      | $263.42        | 0.00%             | 2027-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 682586 GN 04/38 FIXED 5                       | CUSIP: 36295WJ73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1515 | PA      | $1543.80       | 0.00%             | 2038-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2006-RS2                                  | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2006 RS2 A3A        | CUSIP: 76112B2D1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       71356 | PA      | $70712.72      | 0.00%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A      | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1800000 | PA      | $1814883.84    | 0.09%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 357639 FN 11/34 FIXED 5.5                     | CUSIP: 31376KHQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          50 | PA      | $52.28         | 0.00%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ1029 FN 06/29 FIXED 4.93                    | CUSIP: 3140NVEB9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5000000 | PA      | $5136321.65    | 0.25%             | 2029-06-01      | Fixed         | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $5733.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2005-21                                     | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 21 6A3         | CUSIP: 863579C30<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29374 | PA      | $27387.31      | 0.00%             | 2035-11-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 831286 FN 02/36 FIXED 6                       | CUSIP: 31407HRF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         947 | PA      | $995.48        | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | 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      | $411129.48     | 0.02%             | 2032-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ROLLS-ROYCE PLC SNR SE ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |           1 | NC      | $536.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 813595 FN 10/35 FLOATING VAR                  | CUSIP: 31406L3C0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         380 | PA      | $388.29        | 0.00%             | 2035-10-01      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 889532 FN 04/38 FIXED VAR                     | CUSIP: 31410KHH0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         170 | PA      | $176.55        | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 1A1       | CUSIP: 83612TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      700330 | PA      | $481836.82     | 0.02%             | 2037-06-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $335.39        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-10044.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA38A5 PIMCO SWAPTION 3.325 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1400000 | NC      | $17774.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-FR2                                         | SECURITIZED ASSET BACKED RECEI SABR 2005 FR2 M3         | CUSIP: 81375WEG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30275 | PA      | $30330.23      | 0.00%             | 2035-03-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $2448.46       | 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        |      500000 | PA      | $519993.86     | 0.03%             | 2030-01-16      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2005-QS10                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QS10 3A1       | CUSIP: 761118CX4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      366620 | PA      | $251209.64     | 0.01%             | 2035-08-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-2572.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-A                                            | FREMONT HOME LOAN TRUST FHLT 2005 A M3                  | CUSIP: 35729PHN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23698 | PA      | $23508.82      | 0.00%             | 2035-01-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE3                                              | ACE SECURITIES CORP. ACE 2006 HE3 A2D                   | CUSIP: 00441TAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1590308 | PA      | $1173629.89    | 0.06%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| POPULAR ABS MTGE PASS THRU TRUST 2006-A                                   | POPULAR ABS MORTGAGE PASS THRO POPLR 2006 A M2          | CUSIP: 73316PJX9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3153961 | PA      | $3010612.38    | 0.15%             | 2036-02-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 931353 FN 06/39 FIXED 5.5                     | CUSIP: 31412PWN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3733 | PA      | $3862.21       | 0.00%             | 2039-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 843325 FN 10/35 FIXED 5.5                     | CUSIP: 31407W4J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          66 | PA      | $66.82         | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20251014                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $3027.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2007-A1                                       | RESIDENTIAL ASSET SECURITIZATI RAST 2007 A1 A1          | CUSIP: 761136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      809217 | PA      | $247384.59     | 0.01%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAAEA2 PIMCO SWAPTION 4.0075 PUT USD 202511          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    65100000 | NC      | $12889.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI4035 FR 04/54 FIXED 6               | CUSIP: 3133WAPU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      864743 | PA      | $884215.24     | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $15716.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 07/34 1.875                             | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    80401607 | PA      | $81602925.20   | 3.99%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 964677 FN 08/38 FIXED 6                       | CUSIP: 31414FFS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          16 | PA      | $16.62         | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-4                                             | GSAA HOME EQUITY TRUST GSAA 2006 4 2A1                  | CUSIP: 362334FF6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152775 | PA      | $18554.93      | 0.00%             | 2036-03-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                   | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A7         | CUSIP: 576433UM6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3691 | PA      | $3548.42       | 0.00%             | 2034-11-21      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR7                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR7 A1BG       | CUSIP: 86361HAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      108714 | PA      | $96460.80      | 0.00%             | 2036-08-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-114957.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 735961 FN 09/35 FLOATING VAR                  | CUSIP: 31402RTS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         297 | PA      | $298.38        | 0.00%             | 2035-09-01      | Floating      | 6.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20260819                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $7312.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2005-17                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2005 17 5A1         | CUSIP: 863579VV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17450 | PA      | $8648.44       | 0.00%             | 2035-08-25      | Variable      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 929838 FN 08/38 FIXED 6                       | CUSIP: 31412NBF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          66 | PA      | $69.62         | 0.00%             | 2038-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-11                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 11 MV4          | CUSIP: 126670DD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1240593 | PA      | $1215259.63    | 0.06%             | 2036-02-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $101.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CSFB MORTGAGE SECURITIES CORP 2005 8                                      | CREDIT SUISSE FIRST BOSTON MOR CSFB 2005 8 1A1          | CUSIP: 225458W87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      161972 | PA      | $125392.59     | 0.01%             | 2035-09-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1792.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $1296.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC FORD MOTOR CREDIT CO LLC       | CUSIP: 345397G23<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1796025.37    | 0.09%             | 2029-09-06      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFENT TRS EQUITY SOFR+52 BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $819215.28     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                        | VICI PROPERTIES LP SR UNSECURED 02/28 4.75              | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |     1650000 | PA      | $1664208.86    | 0.08%             | 2028-02-15      | Fixed         | 4.75%                 | 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      | $624515.53     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA5                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA5 1A2        | CUSIP: 75115BAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      194289 | PA      | $62502.09      | 0.00%             | 2036-07-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-1387.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2004-3                                            | FREMONT HOME LOAN TRUST FHLT 2004 3 M2                  | CUSIP: 35729PFM7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      771805 | PA      | $738715.14     | 0.04%             | 2034-11-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSST TRS EQUITY SOFR+40 MBC                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $6748.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-AR15                                   | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 AR15 2A1       | CUSIP: 22541QCT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         268 | PA      | $259.79        | 0.00%             | 2033-06-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A1A        | CUSIP: 86359LRW1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2099 | PA      | $1765.15       | 0.00%             | 2036-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR4                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR4 6A1                | CUSIP: 362341FR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1029 | PA      | $981.60        | 0.00%             | 2035-07-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1831.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-12546.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | VOLKSWAGEN INTERNATIONAL FINA SNR SE ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |           1 | NC      | $29391.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05956 FG 07/38 FIXED 5.5             | CUSIP: 3128M75R3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1045 | PA      | $1087.54       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH4268 FN 04/41 FIXED 4.5                     | CUSIP: 3138A5W65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1143 | PA      | $1129.29       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606A8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   206050000 | PA      | $210530334.72  | 10.30%            | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R2                                          | JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A1 144A         | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       42729 | PA      | $40123.60      | 0.00%             | 2037-07-27      | Floating      | 4.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $492.49        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-8                                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 8 2A1         | CUSIP: 07384M2E1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         826 | PA      | $760.12        | 0.00%             | 2034-11-25      | Floating      | 5.39%                 | 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      | $-6542.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MARS INCORPORATED                                                         | MARS INC SR UNSECURED 144A 03/35 5.2                    | CUSIP: 571676BA2<br>LEI: 54930073HKEO6GZBSS03 | Long             | DBT              | CORP              | US        |      600000 | PA      | $613593.32     | 0.03%             | 2035-03-01      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-47747.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-21229.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFENT TRS EQUITY SOFR+64 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $4122372.34    | 0.20%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2005-AA10                   | FIRST HORIZON ALTERNATIVE MORT FHAMS 2005 AA10 2A1      | CUSIP: 32051GA88<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14839 | PA      | $11241.40      | 0.00%             | 2035-12-25      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Y4A3 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    11100000 | NC      | $656250.87     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-13T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 13T1 A11      | CUSIP: 12668BZM8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       31799 | PA      | $14560.69      | 0.00%             | 2036-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL3351 FN 04/41 FIXED VAR                     | CUSIP: 3138EKWM3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11351 | PA      | $12078.87      | 0.00%             | 2041-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-1                                           | BEAR STEARNS ALT A TRUST BALTA 2007 1 1A1               | CUSIP: 07386XAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27527 | PA      | $23903.95      | 0.00%             | 2047-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $4535.78       | 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      | $22741.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2007-OA3                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2007 OA3 2A        | CUSIP: 939355AB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      562712 | PA      | $522403.12     | 0.03%             | 2047-02-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 752191 FN 11/33 FIXED 5.5                     | CUSIP: 31403LUQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1550 | PA      | $1571.87       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAANA2 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    21000000 | NC      | $1817705.40    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| BSPRT 2022-FL9 ISSUER LTD                                                 | BSPRT ISSUER, LTD. BSPRT 2022 FL9 A 144A                | CUSIP: 055984AA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     2842276 | PA      | $2849110.13    | 0.14%             | 2039-07-15      | Floating      | 6.45%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-A                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 A 2A5          | CUSIP: 05952DAR9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      282738 | PA      | $266373.59     | 0.01%             | 2047-02-20      | Floating      | 4.71%                 | 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      | $7515.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HYATT HOTELS CORPORATION                                                  | HYATT HOTELS CORP SR UNSECURED 03/32 5.75               | CUSIP: 448579AV4<br>LEI: T27JQIMTYSH41TCD5186 | Long             | DBT              | CORP              | US        |      200000 | PA      | $208685.45     | 0.01%             | 2032-03-30      | Fixed         | 5.75%                 | 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        |      701255 | PA      | $705974.12     | 0.03%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A        | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3858954 | PA      | $3533749.10    | 0.17%             | 2046-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| HEALTHCARE REALTY HOLDINGS LP                                             | HEALTHCARE RLTY HLDGS LP COMPANY GUAR 03/30 2.4         | CUSIP: 42225UAL8<br>LEI: 549300IYGAS4GE6VDL07 | Long             | DBT              | CORP              | US        |      241000 | PA      | $217931.01     | 0.01%             | 2030-03-15      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIW9 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -22200000 | NC      | $-14119.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-5                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 5 A1            | CUSIP: 02660KAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10502984 | PA      | $2567035.38    | 0.13%             | 2046-11-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2D            | CUSIP: 61753EAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      182915 | PA      | $84391.35      | 0.00%             | 2037-01-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1MA3 PIMCO SWAPTION 3.067 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2800000 | NC      | $21097.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 701354 GN 02/39 FIXED 5                       | CUSIP: 36296UE30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1268 | PA      | $1295.55       | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-2828.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 889301 FN 11/35 FIXED VAR                     | CUSIP: 31410KAA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         448 | PA      | $466.30        | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | EURO-BUXL 30Y BND DEC25 XEUR 20251208                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |           1 | NC      | $3051.43       | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-23405.77     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-16                                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 16 3A1A       | CUSIP: 41161PYZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      411356 | PA      | $267058.46     | 0.01%             | 2036-01-19      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-7932.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $20535.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ2553 FN 12/47 FIXED 3.5                     | CUSIP: 3140H3ZT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4586 | PA      | $4276.25       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI5961 FN 06/26 FIXED 4                       | CUSIP: 3138AKTT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         216 | PA      | $214.95        | 0.00%             | 2026-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| BX TRUST 2021-ARIA                                                        | BX TRUST BX 2021 ARIA B 144A                            | CUSIP: 05608RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    16000000 | PA      | $15995916.80   | 0.78%             | 2036-10-15      | Floating      | 5.56%                 | 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      | $-502888.98    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1334.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 902066 FN 12/36 FIXED 6                       | CUSIP: 31411AFF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8881 | PA      | $9158.27       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2019-FL12          | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2019 FL12 A 144A   | CUSIP: 46651QAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      133139 | PA      | $132668.80     | 0.01%             | 2031-12-15      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA5388 FN 06/54 FIXED 5.5                     | CUSIP: 31418E7A2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1987132 | PA      | $2007590.19    | 0.10%             | 2054-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.53500 11/06/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-63129.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KKR CLO LTD 21                                                            | KKR FINANCIAL CLO LTD KKR 21 B 144A                     | CUSIP: 48252KAC3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3850000 | PA      | $3855928.69    | 0.19%             | 2031-04-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0IA0 PIMCO SWAPTION 2.995 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2600000 | NC      | $16626.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR GBP SONIO/4.32000 10/20/23-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |           1 | NC      | $19588.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-18095.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF3          | CUSIP: 75971EAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2156811 | PA      | $688473.40     | 0.03%             | 2036-11-25      | Variable      | 5.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G08072 FG 08/35 FIXED 5               | CUSIP: 3128MJCJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1270 | PA      | $1301.99       | 0.00%             | 2035-08-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-16                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 16 1A           | CUSIP: 23242FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1538077 | PA      | $1473122.74    | 0.07%             | 2046-12-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-9T1                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 9T1 2A3       | CUSIP: 02150JAV4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      107409 | PA      | $44663.16      | 0.00%             | 2037-05-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAM5A6 PIMCO SWAPTION 3.23 CALL USD 2026033          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    24000000 | NC      | $188174.40     | 0.01%             |  |  |  | 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        |        6850 | PA      | $6787.85       | 0.00%             | 2037-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257575 FN 01/29 FIXED 5                       | CUSIP: 31371PCL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         106 | PA      | $106.69        | 0.00%             | 2029-01-01      | Fixed         | 5.00%                 | 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        |     3464259 | PA      | $1579512.47    | 0.08%             | 2036-07-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 697575 GN 11/38 FIXED 5                       | CUSIP: 36296P6L0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1146 | PA      | $1176.28       | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2005-5                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2005 5 M4           | CUSIP: 86358ETJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      181758 | PA      | $176265.18     | 0.01%             | 2035-06-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-WM3                         | SECURITIZED ASSET BACKED RECEI SABR 2006 WM3 A1         | CUSIP: 81377EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    22486074 | PA      | $7515385.75    | 0.37%             | 2036-10-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON ALTERNATIVE MORTGAGE SECURITIES 2006-AA3                    | FIRST HORIZON ALTERNATIVE MORT FHAMS 2006 AA3 A1        | CUSIP: 320516AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      196996 | PA      | $156168.35     | 0.01%             | 2036-06-25      | Floating      | 5.12%                 | 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        |        6556 | PA      | $6491.17       | 0.00%             | 2045-10-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-32                                                 | FANNIE MAE FNR 2007 32 JS                               | CUSIP: 31396VDT2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      177485 | PA      | $23910.50      | 0.00%             | 2037-04-25      | Floating      | 2.32%                 | No            |                  2 | On Loan: No      |
| DIAMETER CAPITAL CLO 2024-6A                                              | DIAMETER CAPITAL CLO DCLO 2024 6A A1 144A               | CUSIP: 25255UAA0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5000000 | PA      | $5024432.60    | 0.25%             | 2037-04-15      | Floating      | 5.93%                 | 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        |      784810 | PA      | $789572.96     | 0.04%             | 2031-10-15      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                   | BANK OF NOVA SCOTIA SR UNSECURED 08/29 5.45             | CUSIP: 06418GAK3<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |     8400000 | PA      | $8770659.24    | 0.43%             | 2029-08-01      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2010-16                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2010 16 B9 144A       | CUSIP: 12644WAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      379440 | PA      | $344918.91     | 0.02%             | 2050-06-25      | Variable      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1291056.23   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A3                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A3 A1          | CUSIP: 59024HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13647078 | PA      | $2303452.06    | 0.11%             | 2037-04-25      | Floating      | 4.69%                 | 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      | $-20077.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CAIRN CLO X BV 18-10A                                                     | CAIRN CLO BV CRNCL 2018 10A AR 144A                     | CUSIP: ACI1YFN80<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1689325 | PA      | $1984670.46    | 0.10%             | 2031-10-15      | Floating      | 2.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA39A4 PIMCO SWAPTION 3.075 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2800000 | NC      | $21609.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7    | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     1600000 | PA      | $488472.23     | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | 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      | $-3599.24      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL C02054 FG 01/35 FIXED 5.5             | CUSIP: 31292JH78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         106 | PA      | $109.67        | 0.00%             | 2035-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $3029.73       | 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        |     1797593 | PA      | $1807208.05    | 0.09%             | 2055-02-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 829125 FN 10/35 FIXED 5.5                     | CUSIP: 31407FD64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1430 | PA      | $1488.97       | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS COP IBR/8.59000 09/02/25-4Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CO        |           1 | NC      | $6369.38       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON STATE CONVENTION CENTER PUBLIC FACILITIES DISTRICT             | WASHINGTON ST CONVENTION CENTE WASFAC 07/40 FIXED 6.79  | CUSIP: 93976AAH5<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      605000 | PA      | $645006.65     | 0.03%             | 2040-07-01      | Fixed         | 6.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                             | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3                  | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11132 | PA      | $9838.63       | 0.00%             | 2035-05-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ4581 FN 02/48 FIXED 3.5                     | CUSIP: 3140H6CT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2917 | PA      | $2712.29       | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -197 | NC      | $-194180.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD0220 FN 10/38 FIXED VAR                     | CUSIP: 31418MG63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          11 | PA      | $11.27         | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-7289.05      | -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      | $-35134.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR8                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR8 A2         | CUSIP: 86359LRY7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8767 | PA      | $7526.94       | 0.00%             | 2036-02-25      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    41500000 | NC      | $41998.00      | 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        |      715612 | PA      | $731401.90     | 0.04%             | 2041-02-20      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY3                                        | TOWD POINT MORTGAGE TRUST TPMT 2019 HY3 A1A 144A        | CUSIP: 89177XAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26533 | PA      | $26573.86      | 0.00%             | 2059-10-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A      | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115842 | PA      | $107409.18     | 0.01%             | 2035-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS CLP 4.58000 09/12/25-3Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CL        |           1 | NC      | $6605.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $24.26         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CMN OWNER TRUST 2005-1                               | IMPAC SECURED ASSETS CORP. IMSA 2005 1 4A               | CUSIP: 45254TRR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15876 | PA      | $15236.45      | 0.00%             | 2035-07-25      | Floating      | 6.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $0.01          | 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      | $-61005.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-15                                                        | FANNIE MAE FNR 2006 15 FC                               | CUSIP: 31395BVE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         715 | PA      | $705.01        | 0.00%             | 2036-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AJ7493 FN 12/26 FIXED 3                       | CUSIP: 3138E0KF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      353329 | PA      | $350369.29     | 0.02%             | 2026-12-01      | Fixed         | 3.00%                 | 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        |     2441133 | PA      | $2576394.87    | 0.13%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-237.60       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Z8A6 PIMCO SWAPTION 2.972 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2500000 | NC      | $15019.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-51                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 51 2A1        | CUSIP: 12668ACP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24602 | PA      | $23002.71      | 0.00%             | 2035-11-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A1       | CUSIP: 83612TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       45067 | PA      | $30087.06      | 0.00%             | 2037-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    72441000 | PA      | $68110195.22   | 3.33%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-172894.28    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERADXULN TRS EQUITY SOFR+22 MYI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $1090661.67    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 920078 FN 12/36 FIXED 5.5                     | CUSIP: 31412BFT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         325 | PA      | $338.13        | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RKA4 PIMCO FXVAN PUT USD BRL 5.25000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -6850000 | NC      | $-29783.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                                    | OZLM LTD OZLM 2019 24A A1CR 144A                        | CUSIP: 67113DBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     6650000 | PA      | $6682103.34    | 0.33%             | 2032-07-20      | Floating      | 6.04%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 310122 FN 06/28 FIXED VAR                     | CUSIP: 31374CPF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         838 | PA      | $842.07        | 0.00%             | 2028-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $602623.72     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| OPORTUN ISSUANCE TRUST 2024-2                                             | OPORTUN FUNDING LLC OPTN 2024 2 A 144A                  | CUSIP: 68377KAA5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      473062 | PA      | $473572.67     | 0.02%             | 2032-02-09      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFENT TRS EQUITY FEDL01+68 BPS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $314780.90     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE4                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE4 A1 144A        | CUSIP: 61753VAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      960516 | PA      | $424043.17     | 0.02%             | 2037-02-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-3                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 3 3A          | CUSIP: 41161QAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       53826 | PA      | $27505.39      | 0.00%             | 2036-06-19      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 760397 GN 11/41 FIXED 5                       | CUSIP: 36176ARS0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8058 | PA      | $8233.03       | 0.00%             | 2041-11-15      | Fixed         | 5.00%                 | 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      | $-1586091.62   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $2275.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-WMC1                                       | MASTR ASSET BACKED SECURITIES MABS 2007 WMC1 A2         | CUSIP: 55275TAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1154095 | PA      | $325074.38     | 0.02%             | 2037-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $4813.57       | 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        |     1700000 | PA      | $1573530.15    | 0.08%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-19CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 19CB A1       | CUSIP: 12667GFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      767189 | PA      | $485615.55     | 0.02%             | 2035-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $519.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A     | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $574228.36     | 0.03%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CSMC TRUST 2021-RPL4                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL4 A1 144A     | CUSIP: 12662GAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2978844 | PA      | $2968995.45    | 0.15%             | 2060-12-27      | Variable      | 4.14%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A47673 FG 11/35 FIXED 5               | CUSIP: 3128K8Q25<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          89 | PA      | $91.35         | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR7                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR7 2A1                | CUSIP: 362341WZ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3011 | PA      | $2916.73       | 0.00%             | 2035-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A2                                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A2 1A3        | CUSIP: 16162WPX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3746 | PA      | $3480.36       | 0.00%             | 2036-01-25      | Floating      | 4.85%                 | 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      | $-9897.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA9                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA9 2A1A      | CUSIP: 02146YAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5529 | PA      | $4695.20       | 0.00%             | 2046-07-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Z7A7 PIMCO SWAPTION 3.222 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1300000 | NC      | $13110.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-702.61       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                       | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A2           | CUSIP: 86360WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23358 | PA      | $17435.27      | 0.00%             | 2036-07-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE0801 FN 09/39 FIXED VAR                     | CUSIP: 31419A3K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       17856 | PA      | $18827.26      | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 AS 144A     | CUSIP: 55284AAC2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12800000 | PA      | $12743625.47   | 0.62%             | 2036-10-16      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                   | GA GLOBAL FUNDING TRUST SECURED 144A 01/35 5.9          | CUSIP: 36143L2S3<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |      900000 | PA      | $935338.82     | 0.05%             | 2035-01-13      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2005-8                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 8 M6            | CUSIP: 1266735Z1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      145000 | PA      | $144335.22     | 0.01%             | 2035-12-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD0198 FN 09/38 FIXED VAR                     | CUSIP: 31418MGG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          16 | PA      | $16.55         | 0.00%             | 2038-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 02/31 2.5           | CUSIP: 694308JG3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      582000 | PA      | $518749.56     | 0.03%             | 2031-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 914370 FN 03/37 FIXED 6                       | CUSIP: 31411S2B1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          22 | PA      | $22.34         | 0.00%             | 2037-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $30717.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $25.46         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TRUST 2002-11                                            | BEAR STEARNS ADJUSTABLE RATE M BSARM 2002 11 1A1        | CUSIP: 07384MSH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          16 | PA      | $16.88         | 0.00%             | 2033-02-25      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 905864 FN 11/36 FIXED 6                       | CUSIP: 31411EMM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30232 | PA      | $31643.64      | 0.00%             | 2036-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE INVESTMENT TRUST 2007-2                            | AMERICAN HOME MORTGAGE INVESTM AHM 2007 2 13A1          | CUSIP: 02660CAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23224 | PA      | $14758.04      | 0.00%             | 2047-03-25      | Variable      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     7200000 | NC      | $375024.96     | 0.02%             |  |  |  | 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        |      287445 | PA      | $276759.97     | 0.01%             | 2048-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251117                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-163914.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2005-12                                    | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 12 1A1A       | CUSIP: 41161PVF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      265424 | PA      | $124363.36     | 0.01%             | 2035-10-19      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | MEX BONOS DESARR FIX RT BONDS 03/29 8.5                 | CUSIP: ACI2JBZ32<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   166300000 | PA      | $9214673.60    | 0.45%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $1297.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-30260.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BARCLAYS BANK PLC SNR SE ICE                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |           1 | NC      | $4320.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $11715.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                    | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4         | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2310 | PA      | $2271.47       | 0.00%             | 2036-06-25      | Floating      | 6.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERADXULT TRS EQUITY FEDL01+90*BULLET*JPM                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $228485.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/49 2.25                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      145600 | PA      | $92967.87      | 0.00%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-7                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 7 2A4           | CUSIP: 12669VAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7600000 | PA      | $6641042.64    | 0.32%             | 2047-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| LENDBUZZ SECURITIZATION TRUST 2023-3A                                     | LENDBUZZ SECURITIZATION TRUST LBZZ 2023 3A A2 144A      | CUSIP: 525931AB7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     8516574 | PA      | $8674183.15    | 0.42%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1137.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 2A        | CUSIP: 92925DAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11390 | PA      | $10361.83      | 0.00%             | 2046-12-25      | Floating      | 3.94%                 | No            |                  2 | On Loan: No      |
| VIBRANT CLO XI LTD 2019-11A                                               | VIBRANT CLO LTD VIBR 2019 11A A2R 144A                  | CUSIP: 92558NAN2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     9125000 | PA      | $9141044.12    | 0.45%             | 2032-07-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-20893.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ3634 FN 04/35 FIXED 5.21                    | CUSIP: 3140NYBC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2136000 | PA      | $2230707.36    | 0.11%             | 2035-04-01      | Fixed         | 5.21%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR6                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR6 1A3        | CUSIP: 86360UAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37924 | PA      | $30456.51      | 0.00%             | 2046-07-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G04847 FG 10/38 FIXED 5.5             | CUSIP: 3128M6WG9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         835 | PA      | $866.81        | 0.00%             | 2038-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $398.35        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/30 8           | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    73400000 | PA      | $4265530.28    | 0.21%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 716784 GN 04/39 FIXED 5                       | CUSIP: 3620A2J56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6169 | PA      | $6275.19       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                      | GSAMP TRUST GSAMP 2007 NC1 A2B                          | CUSIP: 3622MGAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91258 | PA      | $45302.60      | 0.00%             | 2046-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH9215 FN 01/48 FIXED 3.5                     | CUSIP: 3140GYGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4283 | PA      | $3988.09       | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | 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      | $-28535.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI6291 FR 05/54 FIXED 6               | CUSIP: 3133WC7C2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      906221 | PA      | $929876.88     | 0.05%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 7.35        | CUSIP: 345397C35<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |      700000 | PA      | $730215.04     | 0.04%             | 2027-11-04      | Fixed         | 7.35%                 | 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      | $17998.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $3428.85       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                        | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A3          | CUSIP: 55275RAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     7630037 | PA      | $3654109.51    | 0.18%             | 2036-10-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-558369.90    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 881635 FN 02/36 FIXED 5.5                     | CUSIP: 31409XPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         569 | PA      | $590.44        | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 889983 FN 10/38 FIXED VAR                     | CUSIP: 31410KXL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         408 | PA      | $430.70        | 0.00%             | 2038-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 705997 GN 01/39 FIXED 5                       | CUSIP: 36297AKJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5158 | PA      | $5292.31       | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 908588 FN 02/37 FIXED 6                       | CUSIP: 31411HND8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1776 | PA      | $1814.25       | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RT MTGE TRUST 2005-6                                     | MASTR ADJUSTABLE RATE MORTGAGE MARM 2005 6 5A2          | CUSIP: 576433C53<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7219 | PA      | $6372.25       | 0.00%             | 2035-07-25      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| KONA SPC LTD                                                              | KONA SPC LTD COMPANY GUAR 144A 09/26 VAR                | CUSIP: ACI3000D0<br>LEI: 254900UKS4SVVOMZWX26 | Long             | DBT              | CORP              | KY        |     1000000 | PA      | $1174050.66    | 0.06%             | 2026-09-15      | Floating      | 5.72%                 | No            |                  3 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I INC TRUST 2007-SEA1                          | MORGAN STANLEY CAPITAL INC MSAC 2007 SEA1 1A1 144A      | CUSIP: 61757MAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       79044 | PA      | $65808.82      | 0.00%             | 2047-02-25      | Floating      | 8.07%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-5                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 5 1A1         | CUSIP: 68403HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      362641 | PA      | $219045.06     | 0.01%             | 2037-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 870821 FN 10/36 FIXED 6                       | CUSIP: 31409GPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         508 | PA      | $525.56        | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 965040 FN 09/38 FIXED 4.5                     | CUSIP: 31414FS51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1052 | PA      | $1061.55       | 0.00%             | 2038-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-139564.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A3                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A3 1A          | CUSIP: 589929R26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2245 | PA      | $2192.47       | 0.00%             | 2033-05-25      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                    | CVS PASS THROUGH TRUST PASS THRU CE 01/30 6.943         | CUSIP: 126650BQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       21511 | PA      | $22482.18      | 0.00%             | 2030-01-10      | Fixed         | 6.94%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-111                                                       | FANNIE MAE FNR 2010 111 FC                              | CUSIP: 31398NWE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3711 | PA      | $3691.01       | 0.00%             | 2040-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 2YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         675 | NC      | $31507.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 928382 FN 06/37 FIXED 5.5                     | CUSIP: 31412LM72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1266 | PA      | $1316.32       | 0.00%             | 2037-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U7ICA1 PIMCO SWAPTION 6.05 PUT USD 20251030          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    45400000 | NC      | $4.54          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANGLOGOLD ASHANTI HOLDINGS PLC                                            | ANGLOGOLD HOLDINGS PLC COMPANY GUAR 11/28 3.375         | CUSIP: 03512TAF8<br>LEI: 213800745ZIXC4L6A131 | Long             | DBT              | CORP              | IM        |     4300000 | PA      | $4161894.97    | 0.20%             | 2028-11-01      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 995894 FN 04/39 FIXED VAR                     | CUSIP: 31416CKF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3622 | PA      | $3818.50       | 0.00%             | 2039-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2006-6                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2006 6 3A4          | CUSIP: 05950RBJ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5368 | PA      | $5008.10       | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZWA9 PIMCO SWAPTION 3.239 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1800000 | NC      | $18906.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL1572 FN 09/36 FIXED VAR                     | CUSIP: 3138EHXA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1062 | PA      | $1074.55       | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $10250.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256600 FN 02/27 FIXED 5.5                     | CUSIP: 31371M7M3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1140 | PA      | $1149.42       | 0.00%             | 2027-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 675181 GN 03/38 FIXED 5                       | CUSIP: 36295NCS4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12520 | PA      | $12846.58      | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE PARTNERSHIP TRUST 2004-EC1                                    | COUNTRYWIDE PARTNERSHIP TRUST CPT 2004 EC1 M1           | CUSIP: 126673ML3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      826005 | PA      | $821330.11     | 0.04%             | 2035-02-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 835058 FN 06/35 FLOATING VAR                  | CUSIP: 31407MWT8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         158 | PA      | $161.27        | 0.00%             | 2035-06-01      | Floating      | 6.81%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 698484 GN 08/39 FIXED 5                       | CUSIP: 36296Q6V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1810 | PA      | $1866.22       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | 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        |     1877478 | PA      | $1863671.06    | 0.09%             | 2036-05-25      | Floating      | 4.86%                 | 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      | $-2522.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-33497.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3965 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5MP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       30398 | PA      | $28262.83      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-25                                                 | FANNIE MAE FNR 2007 25 FB                               | CUSIP: 31396VCB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         903 | PA      | $892.74        | 0.00%             | 2037-04-25      | Floating      | 4.80%                 | No            |                  2 | On Loan: No      |
| EMC MORTGAGE LOAN TRUST 2002-B                                            | EMC MORTGAGE LOAN TRUST EMCM 2002 B A1 144A             | CUSIP: 268668BD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3116 | PA      | $3148.69       | 0.00%             | 2041-02-25      | Floating      | 5.57%                 | 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      | $-46539.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST VII 2022-3A                      | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 3A A 144A       | CUSIP: 76088TAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      406163 | PA      | $406288.73     | 0.02%             | 2030-11-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2006-16AX                                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 16AX 2A2        | CUSIP: 617487AC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27633 | PA      | $7658.16       | 0.00%             | 2036-11-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 07/30 3.875                             | CUSIP: 91282CNN7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    21600000 | PA      | $21733312.61   | 1.06%             | 2030-07-31      | Fixed         | 3.88%                 | 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      | $-5378.76      | -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        |       30593 | PA      | $30659.78      | 0.00%             | 2037-09-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H0526A1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2880000 | PA      | $2901883.77    | 0.14%             | 2054-10-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256601 FN 02/27 FIXED 6                       | CUSIP: 31371NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          69 | PA      | $70.81         | 0.00%             | 2027-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL 847415 FH 06/35 FLOATING VAR          | CUSIP: 3128JRGY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         299 | PA      | $309.68        | 0.00%             | 2035-06-01      | Floating      | 6.51%                 | 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        |          33 | PA      | $33.70         | 0.00%             | 2032-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CALIFORNIA STATE PUBLIC WORKS BOARD                                       | CALIFORNIA ST PUBLIC WKS BRD L CASFAC 03/35 FIXED 7.804 | CUSIP: 130685C81<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       35000 | PA      | $39365.32      | 0.00%             | 2035-03-01      | Fixed         | 7.80%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-4                                           | BEAR STEARNS ALT A TRUST BALTA 2005 4 23A2              | CUSIP: 07386HSZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8578 | PA      | $8243.80       | 0.00%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 08/29 11                     | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 41126900000 | PA      | $10595228.37   | 0.52%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 735896 FN 09/35 FIXED VAR                     | CUSIP: 31402RRR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         660 | PA      | $695.16        | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-38040.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                      | GSAMP TRUST GSAMP 2007 NC1 A1                           | CUSIP: 3622MGAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4750051 | PA      | $2524410.10    | 0.12%             | 2046-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 782387 GN 08/38 FIXED 5                       | CUSIP: 36241KUL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4228 | PA      | $4401.18       | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-104336.72    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-2                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 2 A5 144A     | CUSIP: 07384MTD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21387 | PA      | $21273.71      | 0.00%             | 2033-01-25      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-18.25        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A1             | CUSIP: 61753KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2542153 | PA      | $993172.05     | 0.05%             | 2037-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $1911.23       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256599 FN 02/27 FIXED 5                       | CUSIP: 31371M7L5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         130 | PA      | $130.32        | 0.00%             | 2027-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $3868.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-254452.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 762752 GN 03/41 FIXED 5                       | CUSIP: 36176DEZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1598 | PA      | $1628.44       | 0.00%             | 2041-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA2994 FN 05/47 FIXED 3.5                     | CUSIP: 31418CKG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5362 | PA      | $5013.69       | 0.00%             | 2047-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| IMPAC SECURED ASSETS CORP. 2006-5                                         | IMPAC SECURED ASSETS CORP. IMSA 2006 5 1A1C             | CUSIP: 45257EAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10003111 | PA      | $9231351.69    | 0.45%             | 2037-02-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| NTT FINANCE CORPORATION                                                   | NTT FINANCE CORP SR UNSECURED 144A 07/30 4.876          | CUSIP: 62954WAS4<br>LEI: 3538007PR116187GD960 | Long             | DBT              | CORP              | JP        |      400000 | PA      | $406554.54     | 0.02%             | 2030-07-16      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256153 FN 03/26 FIXED 5.5                     | CUSIP: 31371MQE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          56 | PA      | $56.44         | 0.00%             | 2026-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $143.51        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257204 FN 05/28 FIXED 5.5                     | CUSIP: 31371NU52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         121 | PA      | $122.51        | 0.00%             | 2028-05-01      | 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      | $-6827.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0206A2<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -45460000 | PA      | $-36651357.18  | -1.79%            | 2055-10-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-J5                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 J5 1A7        | CUSIP: 12667GHG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       81825 | PA      | $65218.13      | 0.00%             | 2035-05-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    28330000 | PA      | $28814207.58   | 1.41%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB0196 FN 02/39 FIXED 5.5                     | CUSIP: 31416VGE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2218 | PA      | $2308.81       | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | 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      | $-926829.56    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                   | THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1           | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       71295 | PA      | $69863.28      | 0.00%             | 2047-06-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                         | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2A        | CUSIP: 81377GAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2061902 | PA      | $674014.99     | 0.03%             | 2036-08-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1             | CUSIP: 61750SAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16839 | PA      | $15050.90      | 0.00%             | 2036-10-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT AUD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $4056.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-1                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 1 4A2          | CUSIP: 86359BGG0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         258 | PA      | $249.45        | 0.00%             | 2034-02-25      | Floating      | 6.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $105711.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 960213 FN 09/27 FIXED 5.5                     | CUSIP: 31414AGW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          26 | PA      | $26.52         | 0.00%             | 2027-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2007-OA6                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 OA6 1A         | CUSIP: 92927BAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       25627 | PA      | $21727.16      | 0.00%             | 2047-07-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     7400000 | NC      | $437531.66     | 0.02%             |  |  |  | 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        |     5903574 | PA      | $6034733.11    | 0.30%             | 2055-09-01      | Fixed         | 5.50%                 | 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        |      502113 | PA      | $465154.60     | 0.02%             | 2048-08-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2007-2                                       | NOMURA ASSET ACCEPTANCE CORPOR NAA 2007 2 A2            | CUSIP: 655378AC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2912052 | PA      | $2423616.11    | 0.12%             | 2037-06-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-139073.81    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-37052.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $987.50        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-3                                            | LUMINENT MORTGAGE TRUST LUM 2006 3 22A1                 | CUSIP: 55027AAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1696689 | PA      | $1118289.19    | 0.05%             | 2036-04-25      | Variable      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 823384 FN 05/35 FIXED 5.5                     | CUSIP: 31406XXM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         961 | PA      | $994.51        | 0.00%             | 2035-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $3744.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ4012 FN 02/48 FIXED 3.5                     | CUSIP: 3140H5N64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13822 | PA      | $12797.45      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                      | GSAMP TRUST GSAMP 2007 NC1 A2C                          | CUSIP: 3622MGAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      451288 | PA      | $224024.18     | 0.01%             | 2046-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-17810.81     | -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        |       27951 | PA      | $25949.67      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ2758 FN 05/48 FIXED 3.5                     | CUSIP: 3140H4B45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31889 | PA      | $29606.31      | 0.00%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-372.13       | -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        |       40774 | PA      | $37966.09      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 725495 FN 02/34 FLOATING VAR                  | CUSIP: 31402C7G1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         101 | PA      | $102.35        | 0.00%             | 2034-02-01      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-23789.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVESINK CLO 2 LTD 2024-2A                                                | NAVESINK CLO, LIMITED NAVS 2024 2A A1 144A              | CUSIP: 63942YAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     5300000 | PA      | $5304739.05    | 0.26%             | 2036-04-15      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH2695 FN 01/41 FIXED 4.5                     | CUSIP: 3138A37H4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13176 | PA      | $13239.83      | 0.00%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA3332 FN 04/48 FIXED 3.5                     | CUSIP: 31418CV27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       31326 | PA      | $29104.46      | 0.00%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFENT TRS EQUITY SOFR+67 BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $906600.12     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+29 MYI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $848752.72     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9867 FN 11/30 FIXED 5.3                     | CUSIP: 3140LL6D8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10000000 | PA      | $10485679.70   | 0.51%             | 2030-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| CPPIB CAPITAL INC                                                         | CPPIB CAPITAL INC COMPANY GUAR REGS 06/34 4.3           | CUSIP: 12593CAY7<br>LEI: 549300KW9NB55HTDK075 | Long             | DBT              | CORP              | CA        |     4000000 | PA      | $3034250.80    | 0.15%             | 2034-06-02      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 760393 GN 10/41 FIXED 5                       | CUSIP: 36176ARN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5081 | PA      | $5098.99       | 0.00%             | 2041-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR9                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR9 1A        | CUSIP: 939346AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       48218 | PA      | $41117.11      | 0.00%             | 2046-11-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $3040.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-3949.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH4246 FN 04/41 FIXED 4.5                     | CUSIP: 3138A5WG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1645 | PA      | $1642.78       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+24 MYI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $581917.10     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTG LN 2004-19                                        | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 19 2A1         | CUSIP: 863579JG4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1928 | PA      | $1775.75       | 0.00%             | 2035-01-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MTGE INVESTORS 2006-A3                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 A3 6A1         | CUSIP: 59023CAK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       26993 | PA      | $25461.17      | 0.00%             | 2036-05-25      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 714055 GN 05/39 FIXED 5                       | CUSIP: 36297KH87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2244 | PA      | $2302.20       | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | MORGAN STANLEY SNR S* ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $7396.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-R2                                            | COUNTRYWIDE HOME LOANS CWHL 2005 R2 1AF1 144A           | CUSIP: 12669GN64<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21893 | PA      | $21175.85      | 0.00%             | 2035-06-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                 | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 01/32 3.3         | CUSIP: 00774MAX3<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     2000000 | PA      | $1842907.02    | 0.09%             | 2032-01-30      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERADXULT TRS EQUITY SOFR+95.5 MYI                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $13064.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-HE4                                        | MASTR ASSET BACKED SECURITIES MABS 2006 HE4 A2          | CUSIP: 576449AB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      466972 | PA      | $137615.06     | 0.01%             | 2036-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| PHH ALTERNATIVE MORTGAGE TRUST 2007-1                                     | PHH ALTERNATIVE MORTGAGE TRUST PHHAM 2007 1 1A1         | CUSIP: 69337BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      112511 | PA      | $83097.80      | 0.00%             | 2037-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2FP           | CUSIP: 617526AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      345815 | PA      | $203652.75     | 0.01%             | 2036-11-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| PIKES PEAK CLO 2018-2A                                                    | PIKES PEAK CLO PIPK 2018 2A ARR 144A                    | CUSIP: 72133JAY3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3400000 | PA      | $3404031.45    | 0.17%             | 2034-10-11      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 3A2        | CUSIP: 74923HAL5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       44364 | PA      | $37065.33      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 01/26 0.00000                             | CUSIP: 912797SH1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       28000 | PA      | $27649.41      | 0.00%             | 2026-01-27      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3218                                                          | FREDDIE MAC FHR 3218 SA                                 | CUSIP: 31397BJY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33147 | PA      | $3475.51       | 0.00%             | 2036-09-15      | Floating      | 2.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS MXN TIIE1+24/9.4300 12/25/25-9Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |           1 | NC      | $-221978.07    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      473400 | PA      | $356048.58     | 0.02%             | 2048-08-15      | Fixed         | 3.00%                 | 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        |       24609 | PA      | $21560.30      | 0.00%             | 2047-06-25      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A4         | CUSIP: 05948XBV2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |           2 | PA      | $1.71          | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG       | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     2260000 | PA      | $293800.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2010-2                                                         | FANNIE MAE FNR 2010 2 LS                                | CUSIP: 31398G7B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       95325 | PA      | $8387.89       | 0.00%             | 2037-05-25      | Floating      | 1.93%                 | 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        |      353804 | PA      | $346994.89     | 0.02%             | 2035-07-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G04264 FG 04/38 FIXED 5.5             | CUSIP: 3128M6B98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          44 | PA      | $45.23         | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-303.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG43 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-2567732.63   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $89.19         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC5                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A          | CUSIP: 12666SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1599188 | PA      | $1471876.50    | 0.07%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G30340 FG 08/27 FIXED 6               | CUSIP: 3128CULV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         144 | PA      | $147.56        | 0.00%             | 2027-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A77292 FG 04/38 FIXED 5               | CUSIP: 3128LBC55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1444 | PA      | $1482.03       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| AAMES MORTGAGE INVESTMENT TRUST 2004-1                                    | AAMES MORTGAGE INVESTMENT TRUS AMIT 2004 1 M6           | CUSIP: 00252FAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14694 | PA      | $14372.30      | 0.00%             | 2035-01-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A83067 FG 11/38 FIXED 5               | CUSIP: 312929MQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         443 | PA      | $454.44        | 0.00%             | 2038-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $814.24        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BHG SECURITIZATION TRUST 2025-1CON                                        | BANKERS HEALTHCARE GROUP SECUR BHG 2025 1CON B 144A     | CUSIP: 08860AAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2960520 | PA      | $2995511.66    | 0.15%             | 2036-04-17      | Fixed         | 5.26%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-66                                                 | FANNIE MAE FNR 2025 66 FL                               | CUSIP: 3136BWZV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    22625641 | PA      | $22744307.92   | 1.11%             | 2055-08-25      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 774290 GN 02/42 FIXED 5                       | CUSIP: 36176R7B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1071 | PA      | $1087.52       | 0.00%             | 2042-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY6                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY6 2A1        | CUSIP: 92927XAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       67443 | PA      | $59414.94      | 0.00%             | 2037-06-25      | Floating      | 4.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RGR2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    20400000 | NC      | $20644.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-5439.68      | -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        |    22200000 | NC      | $22311.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-9825.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.25000 06/18/25-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $-4294972.82   | -0.21%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RU20INTR TRS EQUITY SOFR+32 GST                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $341297.97     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3355                                                          | FREDDIE MAC FHR 3355 BF                                 | CUSIP: 31397KC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       55749 | PA      | $55827.84      | 0.00%             | 2037-08-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $222.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G04731 FG 04/38 FIXED 5.5             | CUSIP: 3128M6SU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1013 | PA      | $1053.76       | 0.00%             | 2038-04-01      | 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      | $-9252.35      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2006-FR4                                         | SECURITIZED ASSET BACKED RECEI SABR 2006 FR4 A2B        | CUSIP: 81377GAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       16174 | PA      | $5286.67       | 0.00%             | 2036-08-25      | Floating      | 4.61%                 | 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        |     1442050 | PA      | $1211760.12    | 0.06%             | 2047-06-25      | Floating      | 4.90%                 | No            |                  2 | On Loan: No      |
| OCP EURO CLO 2020-4 DAC 20-4A                                             | OCP EURO CLO OCPE 2020 4A ARR 144A                      | CUSIP: ACI2YYN53<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2500000 | PA      | $2944161.86    | 0.14%             | 2039-10-20      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2006-AB3        | SPECIALTY UNDERWRITING + RESID SURF 2006 AB3 A2B        | CUSIP: 84751XAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      241410 | PA      | $167853.24     | 0.01%             | 2037-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $2847.64       | 0.00%             |  |  |  | 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      | $2259.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2B            | CUSIP: 61753KAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      826224 | PA      | $351711.06     | 0.02%             | 2037-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL WA4832 FR 11/43 FIXED 3.65            | CUSIP: 3142ACEE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10356726 | PA      | $8665649.61    | 0.42%             | 2043-11-01      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT COP SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $274.15        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-0.10         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 880623 FN 04/36 FIXED 5.5                     | CUSIP: 31409WLC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1009 | PA      | $1050.92       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| MILL CITY MORTGAGE LOAN TRUST 2019-GS2                                    | MILL CITY MORTGAGE TRUST MCMLT 2019 GS2 A1 144A         | CUSIP: 59981TAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28674 | PA      | $27923.18      | 0.00%             | 2059-08-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 907746 FN 01/37 FIXED 6                       | CUSIP: 31411GP71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6548 | PA      | $6862.16       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   -59300000 | NC      | $-37714.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-HE4                           | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE4 A2D        | CUSIP: 59023EAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      176381 | PA      | $37099.16      | 0.00%             | 2037-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA18                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA18 A1       | CUSIP: 23244GAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4821080 | PA      | $4348785.16    | 0.21%             | 2046-12-25      | Floating      | 4.51%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 1A1       | CUSIP: 83613FAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3491783 | PA      | $2719854.25    | 0.13%             | 2037-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2006-BNC3                                   | STRUCTURED ASSET INVESTMENT LO SAIL 2006 BNC3 A1        | CUSIP: 86361KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5873993 | PA      | $3630611.48    | 0.18%             | 2036-09-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $1920.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $328000.58     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 697852 GN 02/39 FIXED 5                       | CUSIP: 36296QH51<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6684 | PA      | $6798.55       | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-8152.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251027                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-135740.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 4 LTD 2016-4A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 4A AR 144A     | CUSIP: 03329TAG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      700000 | PA      | $673472.70     | 0.03%             | 2039-04-27      | Fixed         | 2.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $7243.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         450 | PA      | $469.04        | 0.00%             | 2034-11-01      | Floating      | 6.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-14619.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-10                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 10 1AF5         | CUSIP: 12666PAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1756317 | PA      | $1264911.90    | 0.06%             | 2046-09-25      | Variable      | 6.87%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                        | SOUTHERN CAL EDISON 1ST REF MORT 10/43 4.65             | CUSIP: 842400FZ1<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1279362.38    | 0.06%             | 2043-10-01      | Fixed         | 4.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+26 CBK                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $524762.16     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G03050 FG 07/37 FIXED 5               | CUSIP: 3128M4WK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1890 | PA      | $1941.24       | 0.00%             | 2037-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 782979 GN 09/39 FIXED 5                       | CUSIP: 36241LJY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7453 | PA      | $7757.68       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2006-HE2                         | SECURITIZED ASSET BACKED RECEI SABR 2006 HE2 A2D        | CUSIP: 81377AAE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      715991 | PA      | $282703.56     | 0.01%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-89396.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-1F                                           | GSR MORTGAGE LOAN TRUST GSR 2007 1F 2A4                 | CUSIP: 3622MPAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4721 | PA      | $10063.83      | 0.00%             | 2037-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTG LN 2004-20                                   | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 20 3A1         | CUSIP: 863579HD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7117 | PA      | $7061.50       | 0.00%             | 2035-01-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA10A7 PIMCO SWAPTION 3.0475 CALL USD 20260          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2800000 | NC      | $20074.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 745281 FN 01/36 FIXED VAR                     | CUSIP: 31403C6S5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         761 | PA      | $801.20        | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH5752 FN 11/47 FIXED 3.5                     | CUSIP: 3140GUMA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      131645 | PA      | $122750.97     | 0.01%             | 2047-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                             | ARGENT SECURITIES INC. ARSI 2006 M1 A1                  | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      412061 | PA      | $373113.53     | 0.02%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2B            | CUSIP: 61753EAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      254241 | PA      | $117299.03     | 0.01%             | 2037-01-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9634 FN 12/54 FIXED 4.5                     | CUSIP: 3140QVV43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1625713 | PA      | $1609458.23    | 0.08%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAB9A6 PIMCO SWAPTION 4.01 PUT USD 20251107          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    65800000 | NC      | $14074.62      | 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        |       19086 | PA      | $19524.80      | 0.00%             | 2058-05-25      | Floating      | 5.27%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO I DAC 1A                                                 | INVESCO EURO CLO INVSC 1A A1R 144A                      | CUSIP: ACI1VT7W8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |      704260 | PA      | $827444.95     | 0.04%             | 2031-07-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $1730.75       | 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        |     2250622 | PA      | $1999308.59    | 0.10%             | 2037-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ2327 FN 10/33 FIXED 5.06                    | CUSIP: 3140NWSR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7024713 | PA      | $7259959.24    | 0.36%             | 2033-10-01      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     7200000 | NC      | $467756.64     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 9.39000 11/15/24-1Y* (WHT) CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |           1 | NC      | $-6437.78      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 990517 FN 09/38 FIXED 6                       | CUSIP: 31415VK61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         119 | PA      | $124.71        | 0.00%             | 2038-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257202 FN 04/28 FIXED 4.5                     | CUSIP: 31371NU37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         177 | PA      | $176.82        | 0.00%             | 2028-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2006-OA11                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA11 A1B      | CUSIP: 02147DAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38442 | PA      | $37621.23      | 0.00%             | 2046-09-25      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 828809 FN 08/35 FLOATING VAR                  | CUSIP: 31407EYE7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1649 | PA      | $1676.21       | 0.00%             | 2035-08-01      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-12748.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERADXULT TRS EQUITY FEDL01+94 MYI                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $5970.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.13600 09/30/25-4Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $16875.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $12776.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL20 LLC                 | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL20 A 144A     | CUSIP: 59319CAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     7100000 | PA      | $7114185.87    | 0.35%             | 2043-02-18      | Floating      | 5.59%                 | 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      | $-49352.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $9203.98       | 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      | $-2748.49      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A36784 FG 09/35 FIXED 5               | CUSIP: 31297SRD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         101 | PA      | $103.06        | 0.00%             | 2035-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-60                                                 | FANNIE MAE FNR 2011 60 OA                               | CUSIP: 31397U3F4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       67435 | PA      | $58825.43      | 0.00%             | 2039-08-25      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 747724 GN 08/40 FIXED 5                       | CUSIP: 3620C3VR0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12075 | PA      | $12362.64      | 0.00%             | 2040-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2004-RS8                                  | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2004 RS8 MII2       | CUSIP: 76112BAN0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2177827 | PA      | $2196840.59    | 0.11%             | 2034-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2006-20                                            | COUNTRYWIDE HOME LOANS CWHL 2006 20 1A21                | CUSIP: 12544AAW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      155756 | PA      | $69416.88      | 0.00%             | 2037-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 966578 FN 02/38 FIXED 6                       | CUSIP: 31414HJX6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1346 | PA      | $1407.95       | 0.00%             | 2038-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN2                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN2 A1 144A    | CUSIP: 74143FAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2219988 | PA      | $2219785.11    | 0.11%             | 2051-07-25      | Variable      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CAN 10YR BOND FUT DEC25 XMOD 20251218                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         374 | NC      | $111552.99     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | MEXICAN UDIBONOS BONDS 08/34 4                          | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    28046191 | PA      | $1466974.99    | 0.07%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CMBX.NA.AAA.16 SP SAL                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-59634.00     | -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        |      483947 | PA      | $499207.97     | 0.02%             | 2034-06-25      | Floating      | 5.08%                 | 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      | $47607.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 697698 GN 12/38 FIXED 5                       | CUSIP: 36296QDB2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5061 | PA      | $5193.47       | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-23626.71     | -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        |       11233 | PA      | $11146.90      | 0.00%             | 2035-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TR 2006-WF2                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WF2 A1         | CUSIP: 17309BAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      306009 | PA      | $151752.82     | 0.01%             | 2036-05-25      | Variable      | 7.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A       | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         246 | PA      | $245.39        | 0.00%             | 2045-01-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL AL5265 GN 02/45 FIXED 3.5                     | CUSIP: 36184BZ67<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8478 | PA      | $7929.97       | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1A        | CUSIP: 939336X40<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         405 | PA      | $403.60        | 0.00%             | 2045-01-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3B         | CUSIP: 59024FAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1860949 | PA      | $436986.33     | 0.02%             | 2037-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256125 FN 01/26 FIXED 5                       | CUSIP: 31371MPJ0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          14 | PA      | $13.63         | 0.00%             | 2026-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                      | PROJECT BEIGNET SR SEC 144A PROJECT BEIGNET SR SEC 144A | CUSIP: 990AAXQG4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    21000000 | PA      | $21000000.00   | 1.03%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                                       | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2C        | CUSIP: 59024LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      619908 | PA      | $174750.57     | 0.01%             | 2037-02-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $899.12        | 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      | $397550.23     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2007-FRE1                                      | CARRINGTON MORTGAGE LOAN TRUST CARR 2007 FRE1 A3        | CUSIP: 144527AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      246862 | PA      | $238997.21     | 0.01%             | 2037-02-25      | Floating      | 4.53%                 | 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        |      587128 | PA      | $567791.42     | 0.03%             | 2059-07-25      | Fixed         | 2.75%                 | 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      | $-4469.28      | -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        |     1882170 | PA      | $1669293.95    | 0.08%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NOTE ASSET 2007-F1                              | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 F1 2A6         | CUSIP: 59023YAG9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36529 | PA      | $11700.44      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAEMLN TRS EQUITY SOFR+63 MEI                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $4364606.08    | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| SFS AUTO RECEIVABLES SECURITIZATION TRUST 2024-1A                         | SFS AUTO RECEIVABLES SECURITIZ SFAST 2024 1A A3 144A    | CUSIP: 78435VAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      450043 | PA      | $453141.72     | 0.02%             | 2029-05-21      | Fixed         | 4.95%                 | 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      | $1928213.06    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-9830.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARRINGTON MTGE LOAN TRUST 2005-NC5                                       | CARRINGTON MORTGAGE LOAN TRUST CARR 2005 NC5 M2         | CUSIP: 144531DP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      974912 | PA      | $958421.90     | 0.05%             | 2035-10-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257372 FN 09/28 FIXED 6                       | CUSIP: 31371N2D6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         934 | PA      | $953.94        | 0.00%             | 2028-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE1                       | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE1 M1        | CUSIP: 07384YPX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1056924 | PA      | $1078798.24    | 0.05%             | 2034-02-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL C91154 FG 01/28 FIXED 5               | CUSIP: 3128P7H71<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5580 | PA      | $5608.20       | 0.00%             | 2028-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 836552 FN 10/35 FLOATING VAR                  | CUSIP: 31407PL97<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         770 | PA      | $784.84        | 0.00%             | 2035-10-01      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0326B5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -134090000 | PA      | $-122488818.81 | -5.99%            | 2055-11-13      | Fixed         | 3.50%                 | 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        |      205342 | PA      | $197888.43     | 0.01%             | 2036-07-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AR1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AR1 A2         | CUSIP: 17310UAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69662 | PA      | $61161.86      | 0.00%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                              | BARCLAYS PLC SR UNSECURED 05/34 VAR                     | CUSIP: 06738ECG8<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |      500000 | PA      | $538066.14     | 0.03%             | 2034-05-09      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $9464.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2003-66                                                        | FANNIE MAE FNR 2003 66 SA                               | CUSIP: 31393C4W0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9669 | PA      | $894.60        | 0.00%             | 2033-07-25      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH2687 FN 01/41 FIXED 4.5                     | CUSIP: 3138A36Z5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      240382 | PA      | $240722.76     | 0.01%             | 2041-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-94468.09     | -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        |      715937 | PA      | $734564.31     | 0.04%             | 2050-10-25      | Fixed         | 6.14%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257163 FN 04/28 FIXED 5                       | CUSIP: 31371NTU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          54 | PA      | $54.06         | 0.00%             | 2028-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-HE4                                              | ACE SECURITIES CORP. ACE 2006 HE4 A2A                   | CUSIP: 00442BAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         491 | PA      | $191.55        | 0.00%             | 2036-10-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-HYB9                                          | COUNTRYWIDE HOME LOANS CWHL 2005 HYB9 5A1               | CUSIP: 126670LE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1689 | PA      | $1578.49       | 0.00%             | 2036-02-20      | Floating      | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-45198.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-4                                           | BEAR STEARNS ALT A TRUST BALTA 2006 4 13A1              | CUSIP: 073871AE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      273770 | PA      | $243463.20     | 0.01%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G03072 FG 11/36 FIXED 5               | CUSIP: 3128M4W90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         756 | PA      | $775.15        | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-4770.03      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-270.02       | -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      | $96733.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2004-AR14                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2004 AR14 A1        | CUSIP: 939336V91<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23125 | PA      | $21838.83      | 0.00%             | 2035-01-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE7                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE7 A2C            | CUSIP: 61750MAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      568517 | PA      | $245252.98     | 0.01%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR19                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR19 A1C4      | CUSIP: 92925CBJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      723093 | PA      | $708140.65     | 0.03%             | 2045-12-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-7                                             | GSAA HOME EQUITY TRUST GSAA 2006 7 AF2                  | CUSIP: 362334NB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1207314 | PA      | $428484.32     | 0.02%             | 2046-03-25      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-1178.75      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AK8453 FN 04/42 FIXED 4.5                     | CUSIP: 3138EDMB4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         384 | PA      | $383.71        | 0.00%             | 2042-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-CW1                                              | ACE SECURITIES CORP. ACE 2006 CW1 A1                    | CUSIP: 00441QAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1768418 | PA      | $1744875.49    | 0.09%             | 2036-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| HOMEBANC MORTGAGE TRUST 2005-1                                            | HOMEBANC MORTGAGE TRUST HMBT 2005 1 A2                  | CUSIP: 43739EAQ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       89322 | PA      | $72859.68      | 0.00%             | 2035-03-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $469.62        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAJCA5 PIMCO SWAPTION 3.177 CALL USD 202512          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    23500000 | NC      | $78106.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $169.53        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD2336 FN 02/40 FIXED 4.5                     | CUSIP: 31418PS22<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         968 | PA      | $972.34        | 0.00%             | 2040-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB0829 FN 04/54 FIXED 6                       | CUSIP: 3140A94P2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      818870 | PA      | $845392.50     | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                          | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV4              | CUSIP: 43710XAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      314000 | PA      | $281938.03     | 0.01%             | 2037-04-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG44 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-3311187.55   | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/35 8.875       | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   195200000 | PA      | $11104472.50   | 0.54%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/36 6.25        | CUSIP: B1W32LII9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   352430000 | PA      | $16199127.62   | 0.79%             | 2036-03-31      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN 2005-27                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 27 1A2        | CUSIP: 12667GL84<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15387 | PA      | $14776.27      | 0.00%             | 2035-08-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 919658 FN 09/37 FIXED 6                       | CUSIP: 31412AWT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         607 | PA      | $624.40        | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                                     | ATHENE GLOBAL FUNDING SECURED 144A 07/30 5.033          | CUSIP: 04685A4R9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |     8800000 | PA      | $8945198.94    | 0.44%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 701603 GN 02/39 FIXED 5                       | CUSIP: 36296UNU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16617 | PA      | $17051.37      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $23124.95      | 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      | $5690708.14    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKROCK EUROPEAN CLO VII DAC 7A                                         | BLACKROCK EUROPEAN CLO DAC BECLO 7A AR 144A             | CUSIP: ACI1W2WD0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     2382470 | PA      | $2799206.45    | 0.14%             | 2031-10-15      | Floating      | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB3105 FN 05/41 FIXED 4.5                     | CUSIP: 31416YNX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6896 | PA      | $6891.96       | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2005-1                                    | NEW CENTURY HOME EQUITY LOAN T NCHET 2005 1 M3          | CUSIP: 64352VKC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      298889 | PA      | $298488.88     | 0.01%             | 2035-03-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 720199 GN 07/39 FIXED 5                       | CUSIP: 3620A6DC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2257 | PA      | $2316.23       | 0.00%             | 2039-07-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-36.91        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 255994 FN 11/25 FIXED 5.5                     | CUSIP: 31371MKF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          10 | PA      | $10.01         | 0.00%             | 2025-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9073 FN 07/30 FIXED 4.54                    | CUSIP: 3140LLCK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2600000 | PA      | $2640264.15    | 0.13%             | 2030-07-01      | Fixed         | 4.54%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-16                                                        | FANNIE MAE FNR 2006 16 SM                               | CUSIP: 31394V6K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       26894 | PA      | $2060.94       | 0.00%             | 2036-03-25      | Floating      | 2.23%                 | 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      | $27361.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A2B       | CUSIP: 17311BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      283376 | PA      | $106567.83     | 0.01%             | 2036-12-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-10                                            | GSAA HOME EQUITY TRUST GSAA 2005 10 M5                  | CUSIP: 362341JL4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29430 | PA      | $29333.78      | 0.00%             | 2035-06-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-EFC5                                     | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC5 M3        | CUSIP: 76112BH60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5142 | PA      | $5136.68       | 0.00%             | 2035-10-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC2 A3B       | CUSIP: 17311XAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3786341 | PA      | $2791097.40    | 0.14%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-8688.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $23628.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 995113 FN 09/36 FIXED VAR                     | CUSIP: 31416BN61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          15 | PA      | $15.60         | 0.00%             | 2036-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 908098 FN 12/36 FIXED 6                       | CUSIP: 31411G3F7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8110 | PA      | $8551.35       | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $36929.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS 2003-A2                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2003 A2 2A2         | CUSIP: 589929M96<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        5286 | PA      | $5135.45       | 0.00%             | 2033-02-25      | Floating      | 5.94%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256041 FN 12/25 FIXED 5.5                     | CUSIP: 31371MLW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          43 | PA      | $42.44         | 0.00%             | 2025-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 988588 FN 08/38 FIXED 5.5                     | CUSIP: 31415TF54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         892 | PA      | $924.47        | 0.00%             | 2038-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE1                                   | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE1 A3         | CUSIP: 45071KDD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      162899 | PA      | $85217.45      | 0.00%             | 2036-03-25      | Floating      | 4.67%                 | 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        |       25128 | PA      | $23311.82      | 0.00%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US ULTRA BOND CBT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -643 | NC      | $-767669.58    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20251110                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $28820.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 745822 FN 09/36 FIXED VAR                     | CUSIP: 31403DSK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1738 | PA      | $1832.88       | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSRPM MORTGAGE LOAN TRUST 2006-1                                          | GSRPM MORTGAGE LOAN TRUST GSRPM 2006 1 M2 144A          | CUSIP: 362334NW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      911000 | PA      | $997352.78     | 0.05%             | 2035-03-25      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR2                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR2 A1         | CUSIP: 86359LSM2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29724 | PA      | $27802.82      | 0.00%             | 2036-02-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                             | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      765789 | PA      | $737759.06     | 0.04%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-2155.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-78                                                 | FANNIE MAE FNR 2025 78 FA                               | CUSIP: 3136BW7E0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     8559759 | PA      | $8583106.56    | 0.42%             | 2055-09-25      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 4A5                | CUSIP: 362341SF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9281 | PA      | $8474.13       | 0.00%             | 2035-09-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF14                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF14 A1         | CUSIP: 32027LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10533479 | PA      | $9728294.74    | 0.48%             | 2036-10-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-L                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 L 2A1         | CUSIP: 05949AZE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4151 | PA      | $4063.08       | 0.00%             | 2035-01-25      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A           | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       71085 | PA      | $65187.31      | 0.00%             | 2035-06-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE1266 FN 09/41 FIXED 4.5                     | CUSIP: 31419BMQ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       61985 | PA      | $62021.75      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2005-12                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2005 12 23A1       | CUSIP: 07387AGE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36542 | PA      | $33727.64      | 0.00%             | 2036-02-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-44.17        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 745418 FN 04/36 FIXED VAR                     | CUSIP: 31403DDX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1515 | PA      | $1577.17       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 669740 GN 08/37 FIXED 6                       | CUSIP: 36295GBH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         617 | PA      | $642.22        | 0.00%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3996 FN 02/48 FIXED 3.5                     | CUSIP: 3140H5NN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       23208 | PA      | $21640.01      | 0.00%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI8831 FN 08/41 FIXED 4.5                     | CUSIP: 3138ANY56<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         281 | PA      | $280.88        | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | 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        |       80528 | PA      | $76621.25      | 0.00%             | 2037-02-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| ATCLO-2021-17A                                                            | ATLAS SENIOR LOAN FUND LTD ATCLO 2021 17A AR 144A       | CUSIP: 04942FAL3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2500000 | PA      | $2502340.25    | 0.12%             | 2034-10-20      | Floating      | 5.39%                 | 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      | $309310.13     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $24898.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-S1                                                       | GSAMP TRUST GSAMP 2006 S1 A2A                           | CUSIP: 3623413A5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1262 | PA      | $94.06         | 0.00%             | 2035-11-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI6075 FR 05/54 FIXED 6               | CUSIP: 3133WCXC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1745951 | PA      | $1790401.38    | 0.09%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACK SEC CORP HM EQ LN TR 2005-HE2                                  | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE2 M3        | CUSIP: 04541GQD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8210 | PA      | $8289.01       | 0.00%             | 2035-02-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST-2006-2                                       | SAXON ASSET SECURITIES TRUST SAST 2006 2 M2             | CUSIP: 80556XAH0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     8365000 | PA      | $7082746.72    | 0.35%             | 2036-09-25      | Floating      | 4.72%                 | 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      | $27880.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFRF USD SF+26.161/1.00 9/16/23-7Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $8251751.83    | 0.40%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-527.45       | -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        |   -23130000 | NC      | $-599159.52    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 776488 FN 03/34 FLOATING VAR                  | CUSIP: 31404RUM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3841 | PA      | $3943.64       | 0.00%             | 2034-03-01      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506A9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7590000 | PA      | $7528456.71    | 0.37%             | 2055-10-14      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2007-AR7                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2007 AR7 1A1        | CUSIP: 45670CAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4360 | PA      | $1482.55       | 0.00%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-A                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 A 2A2         | CUSIP: 05948XT27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3926 | PA      | $3876.42       | 0.00%             | 2034-02-25      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2004-FRE1                                       | MASTR ASSET BACKED SECURITIES MABS 2004 FRE1 M7         | CUSIP: 57643LEA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      140400 | PA      | $132442.69     | 0.01%             | 2034-07-25      | Floating      | 6.97%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC-3136                                                          | FREDDIE MAC FHR 3136 NS                                 | CUSIP: 31396NH41<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5046 | PA      | $468.52        | 0.00%             | 2036-04-15      | Floating      | 2.21%                 | 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        |     2171292 | PA      | $2190783.51    | 0.11%             | 2030-02-15      | Fixed         | 5.69%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 08/53 4.125                             | CUSIP: 912810TT5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      100000 | PA      | $90417.97      | 0.00%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFENT TRS EQUITY SOFR+68 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $4910113.62    | 0.24%             |  |  |  | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2025-1A                                                   | REACH FINANCIAL LLC REACH 2025 1A B 144A                | CUSIP: 75525PAB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1000000 | PA      | $1015544.20    | 0.05%             | 2032-08-16      | Fixed         | 5.34%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2005-4                                   | AEGIS ASSET BACKED SECURITIES AABST 2005 4 M2           | CUSIP: 00764MGH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      627084 | PA      | $606530.40     | 0.03%             | 2035-10-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-0.01         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2 LTD 2015-2A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 2A ARV 144A    | CUSIP: 03329LAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      600000 | PA      | $591348.06     | 0.03%             | 2038-04-25      | Fixed         | 3.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV42 5Y 35-100% SP GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $1261460.70    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-29                                            | COUNTRYWIDE HOME LOANS CWHL 2004 29 2A1                 | CUSIP: 12669GJB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4578 | PA      | $4291.89       | 0.00%             | 2035-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $47647.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR15                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR15 2A        | CUSIP: 93363QAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      394407 | PA      | $353084.98     | 0.02%             | 2046-11-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-326419.19    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-2                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 2 B 144A       | CUSIP: 69545GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5099464 | PA      | $5127155.96    | 0.25%             | 2032-10-15      | Fixed         | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $41568.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05408 FG 12/36 FIXED 5               | CUSIP: 3128M7KV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         210 | PA      | $215.15        | 0.00%             | 2036-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A1B      | CUSIP: 23243AAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1337810 | PA      | $1380915.34    | 0.07%             | 2046-09-20      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $4352.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 902110 FN 10/36 FIXED 6                       | CUSIP: 31411AGT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         636 | PA      | $659.18        | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL0822 FN 10/41 FIXED VAR                     | CUSIP: 3138EG4G6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         244 | PA      | $244.66        | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO10                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO10 A1        | CUSIP: 751153AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      835390 | PA      | $754735.03     | 0.04%             | 2037-01-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G04668 FG 03/38 FIXED 5               | CUSIP: 3128M6QV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1391 | PA      | $1428.32       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $468.45        | 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      | $12440.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-A2                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 A2 3A1        | CUSIP: 46628GAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       50913 | PA      | $28075.41      | 0.00%             | 2036-05-25      | Floating      | 4.24%                 | 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        |    11200000 | PA      | $11461797.20   | 0.56%             | 2055-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $40896.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 899563 FN 06/37 FIXED 6                       | CUSIP: 31410WML9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2017 | PA      | $2119.81       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET SECURITIZATION TRUST 2006-2                                   | MASTR ASSET SECURITIZATION TRU MASTR 2006 2 1A26        | CUSIP: 55274QBB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       74270 | PA      | $40188.79      | 0.00%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9627 FN 12/54 FIXED 4.5                     | CUSIP: 3140QVVV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    10021612 | PA      | $9841788.64    | 0.48%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $112074.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $19148.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-62.75        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-FX1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 FX1 A3         | CUSIP: 17309YAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84040 | PA      | $49486.58      | 0.00%             | 2036-10-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CLP BOUGHT USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CL        |           1 | NC      | $-42253.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVEST LN TR 2003-BC8                                    | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC8 M3         | CUSIP: 86358EEC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119924 | PA      | $109133.87     | 0.01%             | 2033-08-25      | Floating      | 7.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS ZAR 7.20500 08/26/25-6Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |           1 | NC      | $-33921.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-26CB                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 26CB A4       | CUSIP: 12667GTQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         139 | PA      | $99.82         | 0.00%             | 2035-07-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $25634.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2005-WL2                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 WL2 M4        | CUSIP: 542514NE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5466000 | PA      | $5004245.44    | 0.24%             | 2035-08-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL AL2172 GN 02/45 FIXED 3.5                     | CUSIP: 36183XMV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12760 | PA      | $11935.32      | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV42 5Y 35-100% SP BOA                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $1742017.14    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256927 FN 10/27 FIXED 5.5                     | CUSIP: 31371NLG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         278 | PA      | $280.81        | 0.00%             | 2027-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256553 FN 01/37 FIXED 6                       | CUSIP: 31371M5N3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         951 | PA      | $1003.10       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-409.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $44.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256715 FN 05/27 FIXED 6                       | CUSIP: 31371NDU6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         123 | PA      | $125.38        | 0.00%             | 2027-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $159.70        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A6                                    | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A6 1A7         | CUSIP: 18976GAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       42816 | PA      | $37660.18      | 0.00%             | 2037-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $18578.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE2                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE2 A2C            | CUSIP: 61753EAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      200314 | PA      | $92418.89      | 0.00%             | 2037-01-25      | Floating      | 4.40%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AW1350 FN 02/44 FIXED 4.5                     | CUSIP: 3138XQQC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3921 | PA      | $3903.48       | 0.00%             | 2044-02-01      | Fixed         | 4.50%                 | 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      | $-375788.71    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-1                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 1 2A1           | CUSIP: 02660WAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7245 | PA      | $6428.61       | 0.00%             | 2046-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 995279 FN 12/38 FIXED VAR                     | CUSIP: 31416BUC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          20 | PA      | $20.69         | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 748501 GN 06/40 FIXED 5                       | CUSIP: 3620C4RW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9807 | PA      | $10028.77      | 0.00%             | 2040-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-26403.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD9988 FN 09/40 FIXED 4.5                     | CUSIP: 31418YC20<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         197 | PA      | $192.80        | 0.00%             | 2040-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XXIV DAC 24A                                       | CORDATUS CLO PLC CORDA 24A A 144A                       | CUSIP: ACI2N2L65<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     5099867 | PA      | $5997740.72    | 0.29%             | 2034-10-23      | Floating      | 3.14%                 | 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      | $46816.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 39 LTD 2018-3A                                | OCTAGON INVESTMENT PARTNERS 39 OCT39 2018 3A AR 144A    | CUSIP: 67592CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1737095 | PA      | $1738419.66    | 0.09%             | 2030-10-20      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A72047 FG 01/38 FIXED 5               | CUSIP: 3128L5HY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2134 | PA      | $2192.00       | 0.00%             | 2038-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS MXN TIIE1/9.00000 12/24/24-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |           1 | NC      | $-513287.83    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UABUA2 PIMCO SWAPTION 3.907 PUT USD 2025110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    70000000 | NC      | $31325.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TRY BOUGHT USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $-3.61         | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-44494.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | 3138EL9T2 FN DUS POOL CRAIN FL                          | CUSIP: 957IEVII3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5184000 | PA      | $5092735.27    | 0.25%             | 2032-10-01      | Fixed         | 4.07%                 | No            |                  3 | 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        |     4801811 | PA      | $5059575.38    | 0.25%             | 2054-11-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR1                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR1 1A3        | CUSIP: 251510LD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      102479 | PA      | $101451.54     | 0.00%             | 2036-02-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 970785 FN 11/38 FIXED 6                       | CUSIP: 31414M6W1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         225 | PA      | $232.91        | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-26593.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECURITIES 2004-E                                    | BANC OF AMERICA MORTGAGE SECUR BOAMS 2004 E 2A6         | CUSIP: 05949AHA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3029 | PA      | $2910.02       | 0.00%             | 2034-06-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 4 JUMBOS                              | CUSIP: 21H0406A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     5000000 | PA      | $4702057.10    | 0.23%             | 2055-10-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $105063.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $426.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                                    | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         418 | PA      | $407.80        | 0.00%             | 2030-12-15      | Floating      | 4.70%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-15                                                        | FANNIE MAE FNR 2007 15 AI                               | CUSIP: 31396PWK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       37281 | PA      | $3693.10       | 0.00%             | 2037-03-25      | Floating      | 1.91%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM 2003-1                                                   | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 1 5A1         | CUSIP: 07384MTM4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         767 | PA      | $773.37        | 0.00%             | 2033-04-25      | Floating      | 6.33%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL0520 FN 07/41 FIXED VAR                     | CUSIP: 3138EGSJ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7973 | PA      | $8261.06       | 0.00%             | 2041-07-01      | Fixed         | 5.50%                 | 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        |      918744 | PA      | $909826.10     | 0.04%             | 2030-03-25      | Fixed         | 2.65%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 879839 FN 01/36 FIXED 6                       | CUSIP: 31409VPY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          26 | PA      | $27.37         | 0.00%             | 2036-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 970952 FN 12/38 FIXED 6                       | CUSIP: 31414NEZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2512 | PA      | $2636.73       | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $16599.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-3                                    | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 3 AF1          | CUSIP: 75971FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      157928 | PA      | $63612.40      | 0.00%             | 2037-09-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1B4      | CUSIP: 92922F5Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1295336 | PA      | $1227588.78    | 0.06%             | 2045-11-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-70                                                 | FANNIE MAE FNR 2007 70 FA                               | CUSIP: 31396WRQ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1223 | PA      | $1211.55       | 0.00%             | 2037-07-25      | Floating      | 4.82%                 | 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        |     3608428 | PA      | $1248468.76    | 0.06%             | 2036-09-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QA2                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QA2 A3         | CUSIP: 74922PAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       44613 | PA      | $39551.75      | 0.00%             | 2037-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                              | ROMANIA SR UNSECURED REGS 07/39 6.75                    | CUSIP: ACI2W14X7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     4700000 | PA      | $5630219.83    | 0.28%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-9732.44      | -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        |    79800000 | NC      | $5014671.90    | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 844703 FN 12/35 FIXED 5.5                     | CUSIP: 31407YNU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         133 | PA      | $138.50        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | 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        |     1366478 | PA      | $695132.26     | 0.03%             | 2047-01-25      | Floating      | 4.67%                 | 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        |       82726 | PA      | $75432.67      | 0.00%             | 2036-08-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC. 2006-W3                                            | ARGENT SECURITIES INC. ARSI 2006 W3 A2C                 | CUSIP: 040104SR3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    15654893 | PA      | $4907211.04    | 0.24%             | 2036-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-9                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 9 1A            | CUSIP: 12670FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55384 | PA      | $49230.45      | 0.00%             | 2047-06-25      | Floating      | 4.47%                 | 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      | $-31617.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM2                                                      | GSAMP TRUST GSAMP 2007 FM2 A2B                          | CUSIP: 3622MHAC0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      951427 | PA      | $583922.29     | 0.03%             | 2037-01-25      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                              | BONOS TESORERIA PESOS BONDS 144A REGS 10/28 5           | CUSIP: ACI1YYXQ8<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  4440000000 | PA      | $4612394.45    | 0.23%             | 2028-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| TRINITY SQUARE 2021-1 PLC A                                               | TRINITY SQUARE TRINI 2021 1A AR 144A                    | CUSIP: ACI2NNG08<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     2145890 | PA      | $2893462.35    | 0.14%             | 2059-07-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                                      | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2B        | CUSIP: 59022QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2214185 | PA      | $1089831.77    | 0.05%             | 2037-08-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2D            | CUSIP: 61749BAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      526528 | PA      | $274913.13     | 0.01%             | 2036-10-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-2CB                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 2CB 1A9       | CUSIP: 02149HAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       74851 | PA      | $38251.44      | 0.00%             | 2037-03-25      | Fixed         | 5.75%                 | 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      | $59683.15      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR MORTGAGE-BACKED NOTES 2006-MTA1                                  | NOVASTAR MORTGAGE BACKED NOTES NMFT 2006 MTA1 1A1       | CUSIP: 66988UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1294134 | PA      | $464316.25     | 0.02%             | 2046-09-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL DB0830 FN 04/54 FIXED 6                       | CUSIP: 3140A94Q0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      761970 | PA      | $783594.16     | 0.04%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 889982 FN 11/38 FIXED VAR                     | CUSIP: 31410KXK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7944 | PA      | $8247.73       | 0.00%             | 2038-11-01      | Fixed         | 5.50%                 | 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        |     2915867 | PA      | $2915780.43    | 0.14%             | 2061-04-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $1582.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-2                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2024 2 C 144A       | CUSIP: 694961AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     2318093 | PA      | $2341366.67    | 0.11%             | 2031-08-15      | Fixed         | 7.57%                 | 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      | $12774.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-25773.33     | -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        |     2134381 | PA      | $2252645.47    | 0.11%             | 2055-03-01      | Fixed         | 6.50%                 | 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        |      584745 | PA      | $642723.10     | 0.03%             | 2039-10-25      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226A8<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -40960000 | PA      | $-34515030.02  | -1.69%            | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1                                  | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AII        | CUSIP: 76112BR36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12676 | PA      | $11649.24      | 0.00%             | 2035-12-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-WFH2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 WFH2 M2        | CUSIP: 17309MAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2515736 | PA      | $2492185.40    | 0.12%             | 2036-08-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 675179 GN 03/38 FIXED 5                       | CUSIP: 36295NCQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          70 | PA      | $72.17         | 0.00%             | 2038-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-NC1                                                      | GSAMP TRUST GSAMP 2007 NC1 A2A                          | CUSIP: 3622MGAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      124760 | PA      | $61935.76      | 0.00%             | 2046-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 973231 FN 10/36 FIXED 6                       | CUSIP: 31414QVY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          43 | PA      | $43.81         | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFUNT TRS EQUITY SOFR-2 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $584410.31     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-2502.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-FR4                         | SECURITIZED ASSET BACKED RECEI SABR 2005 FR4 M2         | CUSIP: 81375WFJ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      185649 | PA      | $179337.94     | 0.01%             | 2036-01-25      | Floating      | 5.23%                 | No            |                  2 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR8                                        | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 2A        | CUSIP: 93935LAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76867 | PA      | $67342.89      | 0.00%             | 2046-10-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TRUST 2007-4                                     | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2007 4 2A1         | CUSIP: 41164YAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      118893 | PA      | $117013.81     | 0.01%             | 2037-07-19      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAJDA4 PIMCO SWAPTION 3.677 PUT USD 2025122          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -26200000 | NC      | $-122099.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL2935 FN 02/43 FIXED VAR                     | CUSIP: 3138EKHM0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10500 | PA      | $9949.39       | 0.00%             | 2043-02-01      | Fixed         | 3.50%                 | 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        |     1064138 | PA      | $1066827.49    | 0.05%             | 2055-07-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2004-QA4                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2004 QA4 CB1        | CUSIP: 76110HZE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30135 | PA      | $30262.18      | 0.00%             | 2034-09-25      | Floating      | 6.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9220 FN 08/30 FIXED 4.72                    | CUSIP: 3140LLG62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1170360 | PA      | $1195023.36    | 0.06%             | 2030-08-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                               | ILLINOIS ST ILS 07/35 FIXED 7.35                        | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |       71429 | PA      | $77918.64      | 0.00%             | 2035-07-01      | Fixed         | 7.35%                 | 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      | $242416.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 6 JUMBOS                              | CUSIP: 21H0606A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     4380000 | PA      | $4455203.81    | 0.22%             | 2054-10-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 5A1        | CUSIP: 12668AHE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      172369 | PA      | $158197.29     | 0.01%             | 2035-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL1319 FN 10/41 FIXED VAR                     | CUSIP: 3138EHPD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2174 | PA      | $2176.41       | 0.00%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $717.27        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 688141 GN 12/38 FIXED 5                       | CUSIP: 36296DP28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3274 | PA      | $3286.34       | 0.00%             | 2038-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| IMPAC CMB TR 2004-10                                                      | IMPAC CMB TRUST IMM 2004 10 1A1                         | CUSIP: 45254NLJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      124017 | PA      | $120731.33     | 0.01%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| OZLM XXIV LTD 2019-24A                                                    | OZLM LTD OZLM 2019 24A A2AR 144A                        | CUSIP: 67113DBC7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     4050000 | PA      | $4057016.54    | 0.20%             | 2032-07-20      | Floating      | 6.29%                 | No            |                  2 | On Loan: No      |
| ANGEL OAK MORTGAGE TRUST 2020-4                                           | ANGEL OAK MORTGAGE TRUST AOMT 2020 4 A1 144A            | CUSIP: 03464LAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18938 | PA      | $18250.39      | 0.00%             | 2065-06-25      | Variable      | 1.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $57801.27      | 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        |      957292 | PA      | $967841.40     | 0.05%             | 2052-11-15      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 13 LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 13A A1 144A    | CUSIP: 03290AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $480717.40     | 0.02%             | 2039-07-27      | Fixed         | 2.88%                 | 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        |        5798 | PA      | $6051.63       | 0.00%             | 2035-10-25      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS3102 FN 10/52 FIXED VAR                     | CUSIP: 3140XJNU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       47475 | PA      | $46298.97      | 0.00%             | 2052-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 2A        | CUSIP: 93363RAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      428291 | PA      | $406394.76     | 0.02%             | 2046-10-25      | Floating      | 5.65%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2004-HE3                                     | MORGAN STANLEY CAPITAL INC MSAC 2004 HE3 M1             | CUSIP: 61744CDH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      585168 | PA      | $604970.73     | 0.03%             | 2034-03-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $11522.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NPC UKRENERGO                                                             | NPC UKRENERGO GOVT GUARANT REGS 11/28 6.875             | CUSIP: ACI21LG55<br>LEI: 8945009LCLS92V4AK321 | Long             | DBT              | CORP              | UA        |      400000 | PA      | $318840.00     | 0.02%             | 2028-11-09      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-7049.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A39333 FG 10/35 FIXED 5               | CUSIP: 31297VLN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         136 | PA      | $139.66        | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH5201 FN 09/47 FIXED 3.5                     | CUSIP: 3140GTX70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11255 | PA      | $10530.94      | 0.00%             | 2047-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MASSACHUSETTS EDUC FINANCING AUTH 2008-1                                  | MASSACHUSETTS EDUCATIONAL FINA MEFA 2008 1 A1           | CUSIP: 57563NAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        4105 | PA      | $4115.85       | 0.00%             | 2038-04-25      | Floating      | 5.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-6123.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 962068 FN 03/38 FIXED 6                       | CUSIP: 31414CJM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2781 | PA      | $2914.85       | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 02/48 1                                 | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      193219 | PA      | $144938.68     | 0.01%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $14643.52      | 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        |     8196156 | PA      | $8210164.87    | 0.40%             | 2054-11-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A56730 FG 01/37 FIXED 5               | CUSIP: 3128KKPP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         575 | PA      | $574.20        | 0.00%             | 2037-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A2       | CUSIP: 83612NAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2039495 | PA      | $545654.34     | 0.03%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 255935 FN 11/25 FIXED 5                       | CUSIP: 31371MHL4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           1 | PA      | $1.28          | 0.00%             | 2025-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BN0508 FN 09/48 FIXED 3.5                     | CUSIP: 3140JGR64<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      109020 | PA      | $101873.92     | 0.00%             | 2048-09-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-16CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 16CB 1A2      | CUSIP: 02152AAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8738 | PA      | $5394.66       | 0.00%             | 2037-08-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2004-9                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 9 22A1        | CUSIP: 07384M3D2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         110 | PA      | $104.16        | 0.00%             | 2034-11-25      | Floating      | 5.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888129 FN 02/37 FIXED VAR                     | CUSIP: 31410FVW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       35083 | PA      | $36523.40      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VITALITY RE XVI LTD                                                       | VITALITY RE XVI LTD UNSECURED 144A 01/30 VAR            | CUSIP: 92849FAC2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |      250000 | PA      | $251025.00     | 0.01%             | 2030-01-08      | Floating      | 7.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-13806.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARE 144A    | CUSIP: 033296AS3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      551251 | PA      | $545625.04     | 0.03%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 910669 FN 02/37 FIXED 6                       | CUSIP: 31411KW66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11141 | PA      | $11512.05      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | 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        |       24379 | PA      | $22682.85      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 1A1         | CUSIP: 68403FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      472754 | PA      | $337840.60     | 0.02%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA8                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA8 A2         | CUSIP: 74922QAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      210041 | PA      | $194648.74     | 0.01%             | 2036-09-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $6603.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2006-SD4                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 SD4 1A1       | CUSIP: 07389NAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2336 | PA      | $2350.39       | 0.00%             | 2036-10-25      | Floating      | 6.15%                 | No            |                  2 | On Loan: No      |
| MORTGAGEIT TRUST 2005-5                                                   | MORTGAGEIT TRUST MHL 2005 5 A1                          | CUSIP: 61915RAU0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       94850 | PA      | $94144.66      | 0.00%             | 2035-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| OWNIT MORTGAGE LN ASSET-BCK CERT 2005-5                                   | OWNIT MORTGAGE LOAN ASSET BACK OWNIT 2005 5 M1          | CUSIP: 69121PBU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21386 | PA      | $21177.01      | 0.00%             | 2036-10-25      | Floating      | 5.17%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TRUST 2006-11                                      | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 11 2A2          | CUSIP: 61749WAP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       57429 | PA      | $23178.34      | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SEC 2003-D                                           | BANC OF AMERICA MORTGAGE SECUR BOAMS 2003 D 2A1         | CUSIP: 05948XBS9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          44 | PA      | $42.89         | 0.00%             | 2033-05-25      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS MXN 9.43000 10/31/24-1Y* (WHT) CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |           1 | NC      | $-11894.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 1A4L             | CUSIP: 46628BAG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22823 | PA      | $16376.19      | 0.00%             | 2036-10-25      | Floating      | 4.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $8236.45       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $54153.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP LLC 2022-5A                          | AVIS BUDGET RENTAL CAR FUNDING AESOP 2022 5A A 144A     | CUSIP: 05377RFV1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     7800000 | PA      | $7848450.48    | 0.38%             | 2027-04-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| SCULE 6A                                                                  | SCULPTOR EUROPEAN CLO SCULE 6A AR 144A                  | CUSIP: ACI1ZPWK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    11010000 | PA      | $12942974.01   | 0.63%             | 2034-10-15      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 190367 FN 01/36 FIXED VAR                     | CUSIP: 31368HMQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1271 | PA      | $1322.85       | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 811801 FN 02/35 FLOATING VAR                  | CUSIP: 31406J3J0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         250 | PA      | $255.34        | 0.00%             | 2035-02-01      | Floating      | 6.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH0066 FN 02/41 FIXED 4.5                     | CUSIP: 3138A1CC3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6707 | PA      | $6664.66       | 0.00%             | 2041-02-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MTGES TRU 2004-13                                   | MASTR ADJUSTABLE RATE MORTGAGE MARM 2004 13 3A1         | CUSIP: 576433UF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      115130 | PA      | $110682.56     | 0.01%             | 2034-11-21      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF5                                          | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF5 2A4         | CUSIP: 32027EAF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2757261 | PA      | $2528865.22    | 0.12%             | 2036-04-25      | Floating      | 4.75%                 | 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        |     3405893 | PA      | $1162206.04    | 0.06%             | 2036-12-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS8                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS8 A1         | CUSIP: 75115AAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9546 | PA      | $8072.38       | 0.00%             | 2036-08-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-14747.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 3.375       | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1300000 | PA      | $1297659.53    | 0.06%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257125 FN 03/28 FIXED 5.5                     | CUSIP: 31371NSN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         302 | PA      | $305.62        | 0.00%             | 2028-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MTGE P/T 2006-AR2                                       | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR2 A1A       | CUSIP: 93934FMN9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       37436 | PA      | $34019.32      | 0.00%             | 2046-04-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS MXN TIIE1/9.39000 12/12/25-9Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |           1 | NC      | $-158952.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI4142 FN 06/41 FIXED 4.5                     | CUSIP: 3138AHS80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2026 | PA      | $2025.01       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO HOME EQUITY TRUST 2005-4                                      | WELLS FARGO HOME EQUITY TRUST WFHET 2005 4 M3           | CUSIP: 9497EMAJ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152518 | PA      | $152289.17     | 0.01%             | 2035-12-25      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA48A3 PIMCO FPPSWAPTION 4.628 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    30700000 | NC      | $1964523.70    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR15                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR15 A1A2      | CUSIP: 92922F5U8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3075 | PA      | $2907.11       | 0.00%             | 2045-11-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 686678 GN 05/38 FIXED 5                       | CUSIP: 36296B2K7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          59 | PA      | $59.98         | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 806513 FN 12/34 FLOATING VAR                  | CUSIP: 31406DAN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15271 | PA      | $15682.20      | 0.00%             | 2034-12-01      | Floating      | 6.43%                 | No            |                  2 | On Loan: No      |
| RALI TRUST 2006-QO7                                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO7 1A1        | CUSIP: 751150AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5769502 | PA      | $4835649.55    | 0.24%             | 2046-09-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0422 G2 06/55 FIXED 4.5                  | CUSIP: 3618N5PG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      689931 | PA      | $669705.91     | 0.03%             | 2055-06-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888794 FN 09/35 FIXED VAR                     | CUSIP: 31410GNK5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          25 | PA      | $25.16         | 0.00%             | 2035-09-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.58000 08/29/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $3996.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTG SEC 2005-3                                            | BANC OF AMERICA MORTGAGE SECUR BOAMS 2005 E 2A1         | CUSIP: 05949A6C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2627 | PA      | $2406.37       | 0.00%             | 2035-06-25      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2004-AR10                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2004 AR10 2A2A      | CUSIP: 45660N2Y0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          47 | PA      | $44.46         | 0.00%             | 2034-05-25      | Floating      | 5.05%                 | 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        |        8833 | PA      | $7713.01       | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.50000 06/18/25-15Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $355721.56     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750R3X3 PIMCO FXVAN CALL USD TRY 54.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    -3300000 | NC      | $-25235.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $37675.34      | 0.00%             |  |  |  | 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        |      652839 | PA      | $677005.87     | 0.03%             | 2041-02-20      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 782468 GN 11/38 FIXED 5                       | CUSIP: 36241KW53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       13422 | PA      | $13772.39      | 0.00%             | 2038-11-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3937 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5LT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       20617 | PA      | $19099.63      | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL3223 FN 09/41 FIXED VAR                     | CUSIP: 3138EKSM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8541 | PA      | $8867.02       | 0.00%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $63317.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-706.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-43213.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI0726 FN 04/41 FIXED 4.5                     | CUSIP: 3138ADYY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1607 | PA      | $1610.88       | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UPSTART PASS-THROUGH TRUST SERIES 2022-ST2                                | UPSTART PASS THROUGH TRUST UPSPT 2022 ST2 A 144A        | CUSIP: 91680UAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      188162 | PA      | $187947.71     | 0.01%             | 2030-04-20      | Fixed         | 3.80%                 | No            |                  2 | On Loan: No      |
| MF1 2021-FL7 LTD                                                          | MF1 MULTIFAMILY HOUSING MORTGA MF1 2021 FL7 B 144A      | CUSIP: 55284AAE8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    12800000 | PA      | $12744426.88   | 0.62%             | 2036-10-16      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9669 FN 10/28 FIXED 4.72                    | CUSIP: 3140LLW72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6100000 | PA      | $6225622.00    | 0.30%             | 2028-10-01      | Fixed         | 4.72%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR11                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR11 2A1       | CUSIP: 45661KAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       91495 | PA      | $81288.32      | 0.00%             | 2036-06-25      | Floating      | 4.04%                 | 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        |     7357641 | PA      | $7383574.84    | 0.36%             | 2055-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $15093.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFXNT TRS EQUITY SOFR+22 BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $72564.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-15                                            | COUNTRYWIDE HOME LOANS CWHL 2004 15 4A                  | CUSIP: 12669FL50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8867 | PA      | $8848.42       | 0.00%             | 2034-10-20      | Floating      | 6.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI8356 FN 08/41 FIXED 4.5                     | CUSIP: 3138ANJA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       18304 | PA      | $18275.53      | 0.00%             | 2041-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $2261.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $51469.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJ RATE MTGE LOAN 2006-2                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2006 2 5A1          | CUSIP: 863579V47<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20135 | PA      | $16143.49      | 0.00%             | 2036-03-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL CB9448 FN 11/54 FIXED 4.5                     | CUSIP: 3140QVQA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3304357 | PA      | $3255428.58    | 0.16%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE5114 FN 10/30 FIXED 4                       | CUSIP: 31419FVG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         512 | PA      | $509.27        | 0.00%             | 2030-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 711409 GN 05/39 FIXED 5                       | CUSIP: 36297GKW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         212 | PA      | $217.54        | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 905588 FN 12/36 FIXED 5.5                     | CUSIP: 31411ECZ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $3.56          | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $12008.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4079                                                   | FREDDIE MAC FHR 4079 WZ                                 | CUSIP: 3137ARVQ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      576216 | PA      | $541532.71     | 0.03%             | 2042-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A            | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      216888 | PA      | $203854.41     | 0.01%             | 2037-07-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-9064.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DAE FUNDING LLC                                                           | DAE FUNDING LLC COMPANY GUAR 144A 03/28 3.375           | CUSIP: 23371DAG9<br>LEI: 635400SZTPQL3Y1P2C76 | Long             | DBT              | CORP              | US        |     1800000 | PA      | $1743856.81    | 0.09%             | 2028-03-20      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | MEXICAN UDIBONOS BONDS 11/28 4                          | CUSIP: ACI0TJTX9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     4104321 | PA      | $223495.93     | 0.01%             | 2028-11-30      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH4226 FN 03/41 FIXED 4.5                     | CUSIP: 3138A5VU3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         162 | PA      | $159.65        | 0.00%             | 2041-03-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $7682.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-16720.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | 3138EL9Q8 FN DUS POOL KENNEDY                           | CUSIP: 957IEWII1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3353000 | PA      | $3363657.68    | 0.16%             | 2032-10-01      | Fixed         | 4.41%                 | No            |                  3 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL3480 FN 07/40 FIXED VAR                     | CUSIP: 3138EK2N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5328 | PA      | $5539.37       | 0.00%             | 2040-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20H                                  | SMALL BUSINESS ADMINISTRATION SBAP 2008 20H 1           | CUSIP: 83162CRY1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       14159 | PA      | $14508.18      | 0.00%             | 2028-08-01      | Fixed         | 6.02%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-24                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 24 A10        | CUSIP: 02151GAK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       69499 | PA      | $23064.41      | 0.00%             | 2037-10-25      | Fixed         | 7.00%                 | 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      | $-30309.99     | -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        |     6630370 | PA      | $6653728.30    | 0.33%             | 2055-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2003-KS4                                       | RESIDENTIAL ASSET SECURITIES C RASC 2003 KS4 AIIB       | CUSIP: 76110WRT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       39841 | PA      | $38036.59      | 0.00%             | 2033-06-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $3762.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERIQUEST MORTGAGE SEC INC 2004-R10                                      | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R10 M2         | CUSIP: 03072SVS1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       84426 | PA      | $82089.72      | 0.00%             | 2034-11-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO260626                              | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  1706060000 | PA      | $1004604.19    | 0.05%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A53791 FG 11/36 FIXED 5               | CUSIP: 3128KGF86<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         273 | PA      | $275.94        | 0.00%             | 2036-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-NC3                                        | MASTR ASSET BACKED SECURITIES MABS 2006 NC3 A4          | CUSIP: 55275RAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      240096 | PA      | $114988.86     | 0.01%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ0976 FN 05/29 FIXED 4.85                    | CUSIP: 3140NVCN5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1900000 | PA      | $1940303.62    | 0.09%             | 2029-05-01      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 969776 FN 02/38 FIXED 5.5                     | CUSIP: 31414L2H0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1234 | PA      | $1285.14       | 0.00%             | 2038-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $11808.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-372.37       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-9594.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257132 FN 03/28 FIXED 5                       | CUSIP: 31371NSV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1665 | PA      | $1675.91       | 0.00%             | 2028-03-01      | Fixed         | 5.00%                 | 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        |      228076 | PA      | $180761.48     | 0.01%             | 2036-12-19      | Floating      | 4.66%                 | 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      | $-990.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -781 | NC      | $72400.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS11                                      | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS11 1A4       | CUSIP: 75115EAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      872535 | PA      | $716393.65     | 0.04%             | 2036-08-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $187.60        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UADHA3 PIMCO SWAPTION 3.103 CALL USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    33000000 | NC      | $1178.10       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-4                                             | GSAA HOME EQUITY TRUST GSAA 2007 4 A2                   | CUSIP: 3622EBAB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1292673 | PA      | $350513.81     | 0.02%             | 2037-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251210                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-137591.32    | -0.01%            |  |  |  | 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      | $1099267.80    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256885 FN 09/27 FIXED 6                       | CUSIP: 31371NJ63<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2042 | PA      | $2085.66       | 0.00%             | 2027-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2006-HE8                                                      | GSAMP TRUST GSAMP 2006 HE8 A2D                          | CUSIP: 3622M8AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3394000 | PA      | $2955944.57    | 0.14%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-25451.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QO1                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO1 A1         | CUSIP: 75115YAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1321277 | PA      | $1205191.38    | 0.06%             | 2047-02-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256962 FN 11/27 FIXED 6                       | CUSIP: 31371NMK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         554 | PA      | $566.23        | 0.00%             | 2027-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 05/44 4.625                             | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    27300000 | PA      | $27106980.54   | 1.33%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| CITY OF CHICAGO IL WATERWORKS REVENUE                                     | CHICAGO IL WTR REVENUE CHIWTR 11/29 FIXED 6.642         | CUSIP: 167736YV3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |      110000 | PA      | $114561.46     | 0.01%             | 2029-11-01      | Fixed         | 6.64%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                               | BANK OF AMERICA CORP SR UNSECURED 04/29 VAR             | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     1200000 | PA      | $1230222.68    | 0.06%             | 2029-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0280 FN 11/29 FIXED 5.5                     | CUSIP: 31417YJ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         698 | PA      | $705.11        | 0.00%             | 2029-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A2                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A2 1A1              | CUSIP: 466247H89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      475866 | PA      | $420008.55     | 0.02%             | 2036-04-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-98728.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE1                                     | MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 M2             | CUSIP: 61744CKP0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18003 | PA      | $17742.25      | 0.00%             | 2034-12-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-582.51       | -0.00%            |  |  |  | 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        |     7030382 | PA      | $7032160.59    | 0.34%             | 2054-11-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888227 FN 11/25 FIXED VAR                     | CUSIP: 31410FYY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           3 | PA      | $2.84          | 0.00%             | 2025-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-241697.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    59300000 | NC      | $59596.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI6798 FR 05/54 FIXED 6               | CUSIP: 3133WDRT1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      865459 | PA      | $884945.89     | 0.04%             | 2054-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-21281.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARV 144A    | CUSIP: 033296AG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      551251 | PA      | $545625.05     | 0.03%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| CSMC 2021-RPL7 TRUST                                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL7 A1 144A     | CUSIP: 12598JAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5847867 | PA      | $5825257.22    | 0.29%             | 2061-07-27      | Variable      | 4.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-15598.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 865188 FN 02/36 FIXED 6                       | CUSIP: 31409AF53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          25 | PA      | $26.49         | 0.00%             | 2036-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE3                                   | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A4         | CUSIP: 46602UAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    10839844 | PA      | $3627249.22    | 0.18%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $175922.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 992302 FN 01/39 FIXED 5.5                     | CUSIP: 31415XKP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         930 | PA      | $960.67        | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2018-3A                                         | NELNET STUDENT LOAN TRUST NSLT 2018 3A A2 144A          | CUSIP: 64034AAB9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      116345 | PA      | $116330.45     | 0.01%             | 2066-09-27      | Floating      | 4.71%                 | 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      | $581.10        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB0293 FN 11/38 FIXED 6                       | CUSIP: 31416VKF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4773 | PA      | $5032.07       | 0.00%             | 2038-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 672595 GN 02/38 FIXED 5                       | CUSIP: 36295KGC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          29 | PA      | $29.51         | 0.00%             | 2038-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     7400000 | NC      | $413283.34     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2009-87                                                        | FANNIE MAE FNR 2009 87 HS                               | CUSIP: 31398FR45<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16284 | PA      | $1623.08       | 0.00%             | 2039-11-25      | Floating      | 1.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $4342.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR6                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR6 A1         | CUSIP: 9292274D5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9345 | PA      | $9228.88       | 0.00%             | 2033-06-25      | Floating      | 6.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 698099 GN 04/39 FIXED 5                       | CUSIP: 36296QRU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         132 | PA      | $135.73        | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-707.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-7                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 7 2A6            | CUSIP: 22942KAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7083 | PA      | $6028.42       | 0.00%             | 2036-08-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SEC INC MTGE LO 2005-1                                     | DEUTSCHE ALT A SECURITIES INC DBALT 2005 1 1A1          | CUSIP: 251510CV3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       44742 | PA      | $44318.96      | 0.00%             | 2035-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 758900 FN 12/33 FLOATING VAR                  | CUSIP: 31403VDD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          58 | PA      | $58.76         | 0.00%             | 2033-12-01      | Floating      | 6.60%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-OPT2                                    | SG MORTGAGE SECURITIES TRUST SGMS 2006 OPT2 A2          | CUSIP: 78420MAB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       85452 | PA      | $78861.40      | 0.00%             | 2036-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256448 FN 10/26 FIXED 6                       | CUSIP: 31371MZM2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          73 | PA      | $74.08         | 0.00%             | 2026-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2007-AA1                                                   | BCAP LLC TRUST BCAP 2007 AA1 2A1                        | CUSIP: 05530PAP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1365257 | PA      | $1243277.59    | 0.06%             | 2037-03-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| HOME EQUITY LOAN TRUST 2007-FRE1                                          | HOME EQUITY LOAN TRUST HELT 2007 FRE1 2AV3              | CUSIP: 43710XAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3154780 | PA      | $3085506.80    | 0.15%             | 2037-04-25      | Floating      | 4.50%                 | 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      | $10936.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-25597.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-17433.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2006-1                                      | BEAR STEARNS ADJUSTABLE RATE M BSARM 2006 1 A1          | CUSIP: 07387AGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2727 | PA      | $2631.61       | 0.00%             | 2036-02-25      | Floating      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $19471.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 848067 FN 10/35 FIXED 5.5                     | CUSIP: 31408DFG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         773 | PA      | $802.70        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-WMC1                                        | HSI ASSET SECURITIZATION CORPO HASC 2006 WMC1 A2        | CUSIP: 40430MAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      104549 | PA      | $45224.27      | 0.00%             | 2036-07-25      | Floating      | 4.47%                 | 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      | $183640.73     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM7579 FN 10/29 VARIABLE                      | CUSIP: 3140JCM50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    11100000 | PA      | $11159818.34   | 0.55%             | 2029-10-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2004-A                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2004 A 1A3          | CUSIP: 06051GAX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         287 | PA      | $254.04        | 0.00%             | 2034-09-20      | Floating      | 6.62%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                      | GSAMP TRUST GSAMP 2007 FM1 A1                           | CUSIP: 3622MAAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2194733 | PA      | $1174499.96    | 0.06%             | 2036-12-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2022-RN1                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2022 RN1 A1 144A    | CUSIP: 69363JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6895926 | PA      | $6905510.31    | 0.34%             | 2051-07-25      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260316                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-89.37        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-63214.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PUBLIC POWER GENERATION AGENCY                                            | PUBLIC PWR GENERATION AGY NE R PUBPWR 01/41 FIXED 7.242 | CUSIP: 744434CW9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |       20000 | PA      | $21996.93      | 0.00%             | 2041-01-01      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-1611.72      | -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        |      391465 | PA      | $378926.38     | 0.02%             | 2046-05-15      | Fixed         | 2.54%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT2                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT2 1A1       | CUSIP: 83613DAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      185051 | PA      | $164972.52     | 0.01%             | 2037-07-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-106792.58    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QS1                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS1 1A1        | CUSIP: 74922KAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       19380 | PA      | $15500.78      | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURI CORP TRUS 2005-I1                                        | HSI ASSET SECURITIZATION CORPO HASC 2005 I1 1A          | CUSIP: 40430HCV8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      397892 | PA      | $375526.93     | 0.02%             | 2035-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-1                                   | THORNBURG MORTGAGE SECURITIES TMST 2004 1 II2A          | CUSIP: 885220EW9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       20989 | PA      | $20565.95      | 0.00%             | 2044-03-25      | Floating      | 2.85%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A27987 FG 07/34 FIXED 5               | CUSIP: 31297F2U6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1072 | PA      | $1089.67       | 0.00%             | 2034-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2006-AR6                                    | DEUTSCHE ALT A SECURITIES INC DBALT 2006 AR6 A6         | CUSIP: 25150RAF2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4099970 | PA      | $3572576.86    | 0.17%             | 2037-02-25      | Floating      | 4.65%                 | 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      | $19480.46      | 0.00%             | 2026-05-20      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $400.63        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PARK PLACE SECURITIES INC 2004-MHQ1                                       | PARK PLACE SECURITIES INC PPSI 2004 MHQ1 M4             | CUSIP: 70069FCY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14977 | PA      | $14811.15      | 0.00%             | 2034-12-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| LUCA RE LTD                                                               | LUCA RE LTD UNSECURED 144A 07/31 VAR                    | CUSIP: 54930CAA3<br>LEI: 2549001YET1TWKCC6Y26 | Long             | DBT              | CORP              | BM        |      300000 | PA      | $300060.00     | 0.01%             | 2031-07-22      | Floating      | 11.18%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-1378086.13   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $2285.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-32297.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3               | DEUTSCHE ALT A SECURITIES INC DBALT 2007 3 2A1          | CUSIP: 25151KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      154953 | PA      | $119763.34     | 0.01%             | 2047-10-25      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR10                                    | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR10 A1        | CUSIP: 45660LKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       24594 | PA      | $19710.65      | 0.00%             | 2035-06-25      | Floating      | 4.79%                 | 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      | $19102.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-24332.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-22701.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 688013 GN 10/38 FIXED 5                       | CUSIP: 36296DK23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         860 | PA      | $882.31        | 0.00%             | 2038-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-CP1                                   | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 CP1 1A1       | CUSIP: 68402YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1551041 | PA      | $1426066.90    | 0.07%             | 2037-03-25      | Floating      | 4.41%                 | 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        |        8113 | PA      | $8127.65       | 0.00%             | 2037-10-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-OA12                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA12 A2       | CUSIP: 23243AAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10640 | PA      | $10226.57      | 0.00%             | 2046-09-20      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                                      | GSAMP TRUST GSAMP 2007 FM1 A2C                          | CUSIP: 3622MAAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      258270 | PA      | $127862.75     | 0.01%             | 2036-12-25      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 838630 FN 10/35 FIXED 4.5                     | CUSIP: 31407RVX9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          44 | PA      | $44.03         | 0.00%             | 2035-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL0869 FN 06/29 FIXED VAR                     | CUSIP: 3138EG6F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8567 | PA      | $8580.73       | 0.00%             | 2029-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 692479 GN 04/39 FIXED 5                       | CUSIP: 36296JJY2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         513 | PA      | $523.71        | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-591047.25    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 819567 FN 04/35 FIXED 5.5                     | CUSIP: 31406TQU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         367 | PA      | $381.73        | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | 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        |     4958110 | PA      | $4439803.96    | 0.22%             | 2046-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-10                                            | GSAA HOME EQUITY TRUST GSAA 2006 10 AF4                 | CUSIP: 362375AD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      234487 | PA      | $52219.93      | 0.00%             | 2036-06-25      | Variable      | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Y6A1 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    37700000 | NC      | $2228888.09    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2151.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ADJUSTABLE RATE MORTAGE TRUST 2005-10                                     | ADJUSTABLE RATE MORTGAGE TRUST ARMT 2005 10 2A1         | CUSIP: 007036TD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      409101 | PA      | $306697.16     | 0.02%             | 2036-01-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 969064 FN 03/38 FIXED 5.5                     | CUSIP: 31414LB98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7344 | PA      | $7618.45       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2005-3                                        | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2005 3 2A1A        | CUSIP: 41161PMG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      940369 | PA      | $921169.99     | 0.05%             | 2035-06-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-159668.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                        | FAIRFAX FINL HLDGS LTD SR UNSECURED REGS 03/28 2.75     | CUSIP: ACI11PCM5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     2303000 | PA      | $2697753.85    | 0.13%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $159472.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                      | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A4           | CUSIP: 65535AAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      136228 | PA      | $24707.40      | 0.00%             | 2036-10-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G04461 FG 07/38 FIXED 5               | CUSIP: 3128M6JE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         674 | PA      | $692.62        | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2007-22                                                 | FANNIE MAE FNR 2007 22 SW                               | CUSIP: 31396PT92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       29301 | PA      | $2882.98       | 0.00%             | 2037-03-25      | Floating      | 1.58%                 | 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      | $-13958.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE TRUST 2014-7R                                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2014 7R 5A3 144A      | CUSIP: 12648WBG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4756976 | PA      | $4201352.66    | 0.21%             | 2037-12-27      | Variable      | 3.56%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-4F                                           | GSR MORTGAGE LOAN TRUST GSR 2007 4F 3A8                 | CUSIP: 362669BJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       53143 | PA      | $33686.08      | 0.00%             | 2037-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $5908.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2021-B                                   | SMB PRIVATE EDUCATION LOAN TRU SMB 2021 B A 144A        | CUSIP: 78449YAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     3765028 | PA      | $3540459.79    | 0.17%             | 2051-07-17      | Fixed         | 1.31%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC 2005-HE1                         | SECURITIZED ASSET BACKED RECEI SABR 2005 HE1 M1         | CUSIP: 81375WGF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1897812 | PA      | $1558552.92    | 0.08%             | 2035-10-25      | Floating      | 4.92%                 | 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        |       27701 | PA      | $25730.70      | 0.00%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OA4                                    | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA4 A1        | CUSIP: 02150DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      151129 | PA      | $136740.65     | 0.01%             | 2047-05-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX IG45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |           1 | NC      | $-5304478.94   | -0.26%            |  |  |  | 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        |     1121855 | PA      | $1126901.75    | 0.06%             | 2028-05-15      | Fixed         | 5.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251205                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-148418.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G04468 FG 07/38 FIXED 5               | CUSIP: 3128M6JM1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1067 | PA      | $1096.21       | 0.00%             | 2038-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-22892.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                   | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/28 4.375   | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |      400000 | PA      | $398657.32     | 0.02%             | 2028-12-15      | Fixed         | 4.38%                 | 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        |        6289 | PA      | $6422.33       | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL3365 FN 05/41 FIXED VAR                     | CUSIP: 3138EKW35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       74070 | PA      | $78096.35      | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-82159.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RU20INTR TRS EQUITY SOFR+32 CIB                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $1420719.12    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0506B7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   228010000 | PA      | $226000867.08  | 11.06%            | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $0.10          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 698026 GN 01/39 FIXED 5                       | CUSIP: 36296QPK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2159 | PA      | $2196.07       | 0.00%             | 2039-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL MSC MTG CTFS 2003-AR1                                   | WASHINGTON MUTUAL MSC MORTGAGE WAMMS 2003 AR1 1A        | CUSIP: 939336PL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          18 | PA      | $18.01         | 0.00%             | 2033-02-25      | Floating      | 6.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SEK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $-29738.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 3A3       | CUSIP: 92925GAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       21172 | PA      | $19004.18      | 0.00%             | 2036-12-25      | Floating      | 4.21%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-12                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 12 1A1          | CUSIP: 126697AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      153041 | PA      | $150233.30     | 0.01%             | 2047-08-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                  | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A      | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     4470051 | PA      | $6027059.15    | 0.29%             | 2053-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFXNT TRS EQUITY SOFR+30 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $3387951.08    | 0.17%             |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W1                                             | ARGENT SECURITIES INC. ARSI 2005 W1 A1                  | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       46986 | PA      | $42818.34      | 0.00%             | 2035-05-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA5IA9 PIMCO FPPSWAPTION 3.1625 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  1576700000 | NC      | $7190698.02    | 0.35%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 906311 FN 01/37 FIXED 6                       | CUSIP: 31411E3U9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3623 | PA      | $3803.49       | 0.00%             | 2037-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS3                                      | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS3 A1 144A       | CUSIP: 52474XAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4693778 | PA      | $4696901.40    | 0.23%             | 2061-07-25      | Variable      | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3934 FN 12/47 FIXED 3.5                     | CUSIP: 3140H5LQ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3998 | PA      | $3722.38       | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3844                                                   | FREDDIE MAC FHR 3844 PC                                 | CUSIP: 3137A8VQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      327000 | PA      | $334824.39     | 0.02%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $52061.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG       | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     4400000 | PA      | $572000.00     | 0.03%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC TRUST 2005-A10                                      | RESIDENTIAL ASSET SECURITIZATI RAST 2005 A10 A4         | CUSIP: 45660LXN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       75088 | PA      | $32348.64      | 0.00%             | 2035-09-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2021-RN3                             | PRETIUM MORTGAGE CREDIT PARTNE PRET 2021 RN3 A1 144A    | CUSIP: 74143JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6727867 | PA      | $6735378.43    | 0.33%             | 2051-09-25      | Variable      | 5.84%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256928 FN 10/27 FIXED 6                       | CUSIP: 31371NLH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         193 | PA      | $196.78        | 0.00%             | 2027-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1LA4 PIMCO SWAPTION 3.317 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1400000 | NC      | $17408.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-11                                  | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 11 1A1         | CUSIP: 86364YAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      335303 | PA      | $286364.35     | 0.01%             | 2037-12-25      | Floating      | 6.57%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2024-1                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2024 1 A 144A       | CUSIP: 69548AAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      583055 | PA      | $586943.71     | 0.03%             | 2031-07-15      | Fixed         | 6.66%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRT& RES FIN 2006-BC3                                      | SPECIALTY UNDERWRITING + RESID SURF 2006 BC3 A2C        | CUSIP: 84751WAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34996 | PA      | $20814.36      | 0.00%             | 2037-06-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                            | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000     | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |     3900000 | PA      | $2939332.50    | 0.14%             | 2032-04-05      | None          | 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      | $-67980.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.85000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $11416.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF9                                      | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF9 2A4         | CUSIP: 320276AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3500000 | PA      | $3260424.30    | 0.16%             | 2036-06-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $44226.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $23374.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL C91308 FG 06/30 FIXED 5               | CUSIP: 3128P7NZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         974 | PA      | $988.12        | 0.00%             | 2030-06-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |    33600000 | PA      | $33600000.00   | 1.64%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSLT TRS EQUITY SOFR+50 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $1009667.75    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |           1 | NC      | $-602092.26    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 10/25 0.00000                             | CUSIP: 912797RC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      256000 | PA      | $255627.03     | 0.01%             | 2025-10-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-2390.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-2178.54      | -0.00%            |  |  |  | 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        |      191432 | PA      | $153256.27     | 0.01%             | 2037-10-25      | Variable      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UABKA3 PIMCO SWAPTION 3.16 CALL USD 2025120          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     6500000 | NC      | $14544.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD3661 FN 05/40 FIXED 4.5                     | CUSIP: 31418RB75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1132 | PA      | $1137.45       | 0.00%             | 2040-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZHA6 PIMCO SWAPTION 3.215 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1300000 | NC      | $12978.55      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 2A1              | CUSIP: 46630GAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15813 | PA      | $15364.64      | 0.00%             | 2035-07-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| STARWOOD MORTGAGE RESIDENTIAL TRUST 2020-3                                | STARWOOD MORTGAGE RESIDENTIAL STAR 2020 3 A1 144A       | CUSIP: 85573MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       42763 | PA      | $41749.79      | 0.00%             | 2065-04-25      | Fixed         | 1.49%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426B4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    21500000 | PA      | $20846064.82   | 1.02%             | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2007-1                                             | SEQUOIA MORTGAGE TRUST SEMT 2007 1 4A1                  | CUSIP: 81744HAH6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       49303 | PA      | $32465.91      | 0.00%             | 2046-09-20      | Floating      | 3.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD EUR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $-15089.74     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE4                       | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE4 1A4       | CUSIP: 07386RAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    13644000 | PA      | $11613281.62   | 0.57%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-74065.30     | -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        |     4633000 | PA      | $4392992.35    | 0.21%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AO3526 FN 04/39 FIXED 4.5                     | CUSIP: 3138LT4L9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         296 | PA      | $295.97        | 0.00%             | 2039-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| CSAB MORTGAGE BACKED TR 2006-4                                            | CSAB MORTGAGE BACKED TRUST CSAB 2006 4 A6A              | CUSIP: 12628LAJ9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1261101 | PA      | $192706.00     | 0.01%             | 2036-12-25      | Variable      | 6.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 889176 FN 03/38 FIXED VAR                     | CUSIP: 31410G2H5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1172 | PA      | $1215.49       | 0.00%             | 2038-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2005 A1 6T1              | CUSIP: 466247LZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         128 | PA      | $125.38        | 0.00%             | 2035-02-25      | Floating      | 5.58%                 | 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      | $-344177.67    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ACCREDITED MORTGAGE LOAN TRUST 2006-2                                     | ACCREDITED MORTGAGE LOAN TRUST ACCR 2006 2 A4           | CUSIP: 00437NAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      122867 | PA      | $122544.07     | 0.01%             | 2036-09-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 487821 GN 03/39 FIXED 5                       | CUSIP: 36210B4E2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2563 | PA      | $2618.96       | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | 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        |       10122 | PA      | $9467.00       | 0.00%             | 2046-03-20      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888817 FN 08/37 FIXED VAR                     | CUSIP: 31410GPA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         474 | PA      | $492.11        | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A48592 FG 03/36 FIXED 6               | CUSIP: 3128K9RM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         746 | PA      | $778.22        | 0.00%             | 2036-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HARVEST CLO XVI DAC 16A                                                   | HARVEST CLO HARVT 16A ARR 144A                          | CUSIP: ACI1VVSJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1252465 | PA      | $1471698.35    | 0.07%             | 2031-10-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $34288.92      | 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        |     7200000 | NC      | $411798.96     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   213200000 | PA      | $213200000.01  | 10.43%            |  |  |  | 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              | CORP              | LU        |    11200000 | PA      | $11377072.00   | 0.56%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA3SA3 PIMCO SWAPTION 4.131 PUT USD 2025110          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -46900000 | NC      | $-3672.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 735227 FN 02/35 FIXED VAR                     | CUSIP: 31402QYY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         678 | PA      | $703.98        | 0.00%             | 2035-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2005-HE1                                        | ASSET BACKED FUNDING CERTIFICA ABFC 2005 HE1 M3         | CUSIP: 04542BKU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4107952 | PA      | $3940364.78    | 0.19%             | 2035-03-25      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-12971.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.61000 03/24/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $10384.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 754744 FN 11/33 FIXED 5.5                     | CUSIP: 31403QP53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         221 | PA      | $223.35        | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-4293.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL Q63559 FG 05/49 FIXED 3.5             | CUSIP: 3132VP5V6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      176134 | PA      | $163231.01     | 0.01%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVEST TR 2005-A7                                  | MERRILL LYNCH MORTGAGE INVESTO MLMI 2005 A7 2A1         | CUSIP: 59020UH32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       40176 | PA      | $31640.39      | 0.00%             | 2035-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 724275 GN 09/39 FIXED 5                       | CUSIP: 3620AAT81<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         734 | PA      | $749.81        | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $339.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NZD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |           1 | NC      | $8154.20       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4273                                                   | FREDDIE MAC FHR 4273 PF                                 | CUSIP: 3137B66E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       15432 | PA      | $15301.15      | 0.00%             | 2043-11-15      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20C                                  | SMALL BUSINESS ADMINISTRATION SBAP 2008 20C 1           | CUSIP: 83162CRR6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        1768 | PA      | $1795.20       | 0.00%             | 2028-03-01      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $350877.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-187.78       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 744878 FN 11/33 FIXED 5.5                     | CUSIP: 31403CQ79<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2882 | PA      | $2982.06       | 0.00%             | 2033-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-146677.39    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $2791.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $34908.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFENT TRS EQUITY SOFR+59 BPS                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $1109380.18    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-53T2                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 53T2 2A2      | CUSIP: 12668AKQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3703 | PA      | $2121.28       | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-69881.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                               | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                 | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   104700000 | PA      | $2478013.53    | 0.12%             | 2028-05-17      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-6484.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-6                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 6 A1             | CUSIP: 12639PAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      199096 | PA      | $115609.76     | 0.01%             | 2037-10-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CNH SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $-653.61       | -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        |       28647 | PA      | $28705.40      | 0.00%             | 2037-05-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 993265 FN 05/39 FIXED 4.5                     | CUSIP: 31415YMN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         103 | PA      | $103.54        | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-7714.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $640.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0226B6<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -25000000 | PA      | $-21070209.00  | -1.03%            | 2055-11-13      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAD TR 2006-1                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 1 1A          | CUSIP: 542514RH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      202771 | PA      | $200658.30     | 0.01%             | 2036-02-25      | Floating      | 4.71%                 | 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        |      669860 | PA      | $636342.74     | 0.03%             | 2036-02-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $319.87        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-31                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 31 2A1        | CUSIP: 12667GZB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      143684 | PA      | $138795.40     | 0.01%             | 2035-08-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 995721 FN 03/39 FIXED VAR                     | CUSIP: 31416CD29<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1568 | PA      | $1647.94       | 0.00%             | 2039-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ABS INC 2004-2                                               | BEAR STEARNS ASSET BACKED SECU BSABS 2004 2 M1          | CUSIP: 073879GZ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      215244 | PA      | $215902.58     | 0.01%             | 2034-08-25      | Floating      | 5.47%                 | 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        |     2007220 | PA      | $1974598.92    | 0.10%             | 2037-05-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 5.5 JUMBOS                            | CUSIP: 21H0526B9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    30270000 | PA      | $30478723.76   | 1.49%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260513                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-81778.90     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256513 FN 12/36 FIXED 5.5                     | CUSIP: 31371M3W5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9139 | PA      | $9514.41       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-57054.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MF1 MULTIFAMILY HOUSING MORTGAGE LOAN TRUST 2025-FL17                     | MF1 MULTIFAMILY HOUSING MORTGA MF1 2025 FL17 AS 144A    | CUSIP: 55287HAC4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    11200000 | PA      | $11177798.80   | 0.55%             | 2040-02-18      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQUISITION TRUST 2006-WMC2 2006-WMC2                  | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 WMC2 A4       | CUSIP: 46628TAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       52883 | PA      | $24550.17      | 0.00%             | 2036-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| NAKILAT INC                                                               | NAKILAT INC SR SECURED REGS 12/33 6.067                 | CUSIP: Y62014AA6<br>LEI: 2549006RMTDJWLLWF072 | Long             | DBT              | CORP              | MH        |      362663 | PA      | $385717.53     | 0.02%             | 2033-12-31      | Fixed         | 6.07%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 02/49 3                                 | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    17298200 | PA      | $12955743.60   | 0.63%             | 2049-02-15      | Fixed         | 3.00%                 | 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        |      108303 | PA      | $100695.68     | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| HPS CORPORATE LENDING FUND                                                | HPS CORPORATE LENDING FU SR UNSECURED 04/32 5.95        | CUSIP: 40440VAK1<br>LEI: 549300ZS7IHUA6FKFV61 | Long             | DBT              | CORP              | US        |     1500000 | PA      | $1525612.77    | 0.07%             | 2032-04-14      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-WL3                                      | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 WL3 2A4       | CUSIP: 542514SW5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     6348037 | PA      | $5742412.12    | 0.28%             | 2036-01-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $-570.20       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 831819 FN 10/36 FIXED 6                       | CUSIP: 31407JDY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          33 | PA      | $34.98         | 0.00%             | 2036-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-WF1                                        | STRUCTURED ASSET SECURITIES CO SASC 2007 WF1 A6         | CUSIP: 86358BAT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      212458 | PA      | $209832.50     | 0.01%             | 2037-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RU20INTR TRS EQUITY SOFR+19 GST                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $342174.89     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $12105.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-10984.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-22787.37     | -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      | $8591.58       | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTIFICATES 2007-BC3                            | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC3 1A          | CUSIP: 23246LAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       27188 | PA      | $25589.83      | 0.00%             | 2047-11-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECURI CORP TRUS 2007-NC1                                       | HSI ASSET SECURITIZATION CORPO HASC 2007 NC1 A3         | CUSIP: 40430TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      713860 | PA      | $470672.32     | 0.02%             | 2037-04-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| BLUEMOUNTAIN CLO LTD 2018-3A                                              | BLUEMOUNTAIN CLO LTD BLUEM 2018 3A A1R 144A             | CUSIP: 09630AAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     3393517 | PA      | $3399557.72    | 0.17%             | 2030-10-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R11                                          | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R11 M4         | CUSIP: 03072SWT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      847271 | PA      | $794787.47     | 0.04%             | 2034-11-25      | Floating      | 5.92%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G02410 FG 01/36 FIXED 5               | CUSIP: 3128M4AK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         392 | PA      | $401.85        | 0.00%             | 2036-01-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR12                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR12 1A6       | CUSIP: 92922F3L0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10835 | PA      | $9953.25       | 0.00%             | 2035-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 07/33 1.375                             | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     6169054 | PA      | $6076349.77    | 0.30%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSST TRS EQUITY SOFR+45 MYI                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $147518.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $39075.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RI25 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    10100000 | NC      | $10221.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAM6A5 PIMCO SWAPTION 3.758 PUT USD 2026033          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    12000000 | NC      | $88930.80      | 0.00%             |  |  |  | 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      | $9282.87       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                       | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/46 FIXED 3     | CUSIP: 38122NB76<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     1065000 | PA      | $952454.74     | 0.05%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                 | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     4641000 | PA      | $1480513.82    | 0.07%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TSY INFL IX N/B 02/46 1                                 | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2047025 | PA      | $1580079.75    | 0.08%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MORTGAGE EQUITY CONVER ASSET TR 2007-FF3                                  | MORTGAGE EQUITY CONVERSION ASS MECA 2007 FF3 A 144A     | CUSIP: 61911GAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30364 | PA      | $27181.59      | 0.00%             | 2042-05-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2006-19                 | COUNTRYWIDE HOME LOANS CWHL 2006 19 1A7                 | CUSIP: 12543XAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      158125 | PA      | $73204.26      | 0.00%             | 2037-01-25      | Fixed         | 6.00%                 | 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        |      777900 | PA      | $785410.17     | 0.04%             | 2030-06-15      | Fixed         | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-7392.21      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 946254 FN 09/37 FIXED 6                       | CUSIP: 31413HWP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         347 | PA      | $365.62        | 0.00%             | 2037-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                         | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2        | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      772285 | PA      | $192376.12     | 0.01%             | 2036-12-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF15                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF15 A5         | CUSIP: 32028GAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10509 | PA      | $10851.85      | 0.00%             | 2036-11-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR7                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR7 A4         | CUSIP: 92922FQ50<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       11541 | PA      | $12066.69      | 0.00%             | 2035-08-25      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | HOCHTIEF AG SNR SE SP JPM                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |           1 | NC      | $22707.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 604550 GN 08/33 FIXED 5                       | CUSIP: 36200MTF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3219 | PA      | $3296.61       | 0.00%             | 2033-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 950299 FN 08/37 FIXED 5.5                     | CUSIP: 31413NGG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         409 | PA      | $418.33        | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ZCS BRL 13.9271 05/08/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |           1 | NC      | $-72654.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.84000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $18769.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                        | FANNIE MAE FNR 2004 11 A                                | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           8 | PA      | $7.90          | 0.00%             | 2034-03-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                       | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1             | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         382 | PA      | $350.55        | 0.00%             | 2044-10-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/2.75000 06/21/23-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $5503686.61    | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2007-QH2                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 QH2 A1 144A     | CUSIP: 12668JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      173080 | PA      | $154501.50     | 0.01%             | 2037-04-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT NOK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $-0.19         | 0.00%             |  |  |  | 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        |    22643567 | PA      | $22961247.57   | 1.12%             | 2055-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3C         | CUSIP: 59024FAF1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       76395 | PA      | $17857.33      | 0.00%             | 2037-03-25      | Floating      | 4.87%                 | 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        |      130457 | PA      | $120036.59     | 0.01%             | 2046-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TRUST 2005-69                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 69 A1         | CUSIP: 12668AN27<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4655 | PA      | $4222.05       | 0.00%             | 2035-12-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $6967.91       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI8171 FR 06/54 FIXED 6               | CUSIP: 3133WFCG0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      788094 | PA      | $816051.21     | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                        | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 1A1        | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1434 | PA      | $1367.93       | 0.00%             | 2035-12-25      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BK1792 FN 03/48 FIXED 3.5                     | CUSIP: 3140HE7E6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       14780 | PA      | $13689.62      | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $154508.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSST TRS EQUITY SOFR+27 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $216596.06     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 917129 FN 06/37 FIXED 6                       | CUSIP: 31411W4N4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3494 | PA      | $3683.62       | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE-ACES 2020-M33                                                  | FANNIEMAE ACES FNA 2020 M33 X2                          | CUSIP: 3136BBAR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      780054 | PA      | $45443.86      | 0.00%             | 2031-01-25      | Variable      | 2.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $171.68        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-14535.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOAN, INC. 2007-QS4                                  | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QS4 3A1        | CUSIP: 74923HAK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33814 | PA      | $29240.97      | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2004-6                                             | SEQUOIA MORTGAGE TRUST SEMT 2004 6 A2                   | CUSIP: 81744FCH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       51589 | PA      | $51465.63      | 0.00%             | 2034-07-20      | Floating      | 4.81%                 | 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      | $-404352.58    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS XS0989394589 CREDIT SUISSE GROUP AG       | CUSIP: 952NPHII6<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $143000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $15117.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+27 BRC                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $487037.43     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-KS11                                    | RESIDENTIAL ASSET SECURITIES C RASC 2005 KS11 M4        | CUSIP: 76110W7G5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    17408000 | PA      | $15992296.14   | 0.78%             | 2035-12-25      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A83575 FG 12/38 FIXED 5               | CUSIP: 3129296L1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1892 | PA      | $1942.46       | 0.00%             | 2038-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 847031 FN 12/35 FIXED 5.5                     | CUSIP: 31408CA89<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         729 | PA      | $735.15        | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-HE2                                              | ACE SECURITIES CORP. ACE 2007 HE2 A2C                   | CUSIP: 00443PAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      282295 | PA      | $149451.88     | 0.01%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BNP PARIBAS SNR SE ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | FR        |           1 | NC      | $1979.89       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY DEAN WITTER CAP I2002-AM3                                  | MORGAN STANLEY DEAN WITTER CAP MSDWC 2002 AM3 A3        | CUSIP: 61746WWR7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       23005 | PA      | $23131.21      | 0.00%             | 2033-02-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G02869 FG 11/35 FIXED 5               | CUSIP: 3128M4QW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2621 | PA      | $2688.55       | 0.00%             | 2035-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                               | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |     1013357 | PA      | $9869085.08    | 0.48%             |  |  |  | No            |                  1 | On Loan: No      |
| OCTAGON INVESTMENT PARTNERS 40 LTD 2019-1A                                | OCTAGON INVESTMENT PARTNERS 40 OCT40 2019 1A A1RR 144A  | CUSIP: 67592BAY4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     2200000 | PA      | $2203849.12    | 0.11%             | 2035-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II POOL MB0620 G2 09/55 FIXED 4                    | CUSIP: 3618N5VN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      399000 | PA      | $375415.17     | 0.02%             | 2055-09-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-19433.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                   | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 1A         | CUSIP: 93364EAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       80652 | PA      | $76204.76      | 0.00%             | 2037-05-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-2                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 2 1A13           | CUSIP: 126384BX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       14739 | PA      | $7765.02       | 0.00%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL0525 FN 04/37 FIXED VAR                     | CUSIP: 3138EGSP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         840 | PA      | $870.38        | 0.00%             | 2037-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-282770.00    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRNG & RES FIN 2006-BC5                                    | SPECIALTY UNDERWRITING + RESID SURF 2006 BC5 A2A        | CUSIP: 84751NAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2083866 | PA      | $1138381.58    | 0.06%             | 2037-11-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $5818.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFUNT TRS EQUITY SOFR+1 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $344663.04     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 932035 FN 03/38 FIXED 6                       | CUSIP: 31412QPU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         107 | PA      | $112.33        | 0.00%             | 2038-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-13661.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 3848                                                   | FREDDIE MAC FHR 3848 WX                                 | CUSIP: 3137A9D52<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       63492 | PA      | $64917.90      | 0.00%             | 2041-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $699.32        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-C                                            | FREMONT HOME LOAN TRUST FHLT 2006 C 2A2                 | CUSIP: 35729TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      690642 | PA      | $276591.64     | 0.01%             | 2036-10-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RK97 PIMCO FXVAN PUT USD BRL 5.50000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     6850000 | NC      | $210041.55     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |           1 | NC      | $-6215.28      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HOME EQUITY PASS-THRU CERTS 2005-8                                        | HOME EQUITY ASSET TRUST HEAT 2005 8 M2                  | CUSIP: 437084QA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      123440 | PA      | $121456.64     | 0.01%             | 2036-02-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-10899.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMBAC ASSURANCE CORPORATION                                               | AMBAC ASSURANCE CORP SUBORDINATED 144A 12/99 5.1        | CUSIP: 023138AA8<br>LEI: 549300RYYRVPPB8NC636 | Long             | DBT              | CORP              | US        |          13 | PA      | $16.63         | 0.00%             | 2099-12-31      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE3                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE3 A2D            | CUSIP: 61749HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1801275 | PA      | $1729651.72    | 0.08%             | 2036-04-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |           1 | NC      | $1012.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2006-A1                                       | CHASE MORTGAGE FINANCE CORPORA CHASE 2006 A1 4A1        | CUSIP: 16163CAN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       81180 | PA      | $69269.17      | 0.00%             | 2036-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-3871.02      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERADXULN TRS EQUITY SOFR+26.5 MEI                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $-254450.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A A 144A       | CUSIP: ACI2MKRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     1612628 | PA      | $2172519.87    | 0.11%             | 2060-06-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/31 7           | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   134200000 | PA      | $7371442.04    | 0.36%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| FHF TRUST 2023-1A                                                         | FIRST HELP FINANCIAL LLC FHF 2023 1A A2 144A            | CUSIP: 30331GAC5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     1984108 | PA      | $1999197.82    | 0.10%             | 2028-06-15      | Fixed         | 6.57%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                               | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 B 144A       | CUSIP: 69544NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     5649518 | PA      | $5714982.52    | 0.28%             | 2032-07-15      | Fixed         | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $2395.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                     | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 2A3         | CUSIP: 68400DAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4054190 | PA      | $2382451.13    | 0.12%             | 2037-01-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 542828 GN 06/35 FIXED 5                       | CUSIP: 36212TA53<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         757 | PA      | $768.98        | 0.00%             | 2035-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-11                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 11 A1A        | CUSIP: 41162GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4234 | PA      | $3801.82       | 0.00%             | 2036-12-19      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $284.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                        | SOUTHERN CAL EDISON 1ST MORTGAGE 03/26 5.35             | CUSIP: 842400JB0<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     1100000 | PA      | $1104417.94    | 0.05%             | 2026-03-01      | Fixed         | 5.35%                 | 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      | $-8392.77      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR14                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR14 1A3       | CUSIP: 92922F4C9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       98831 | PA      | $93938.05      | 0.00%             | 2035-12-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/20/24-20Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $717746.16     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $499.90        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $9073.83       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2003-BC9                           | STRUCTURED ASSET INVESTMENT LO SAIL 2003 BC9 2A         | CUSIP: 86358EDG8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      105911 | PA      | $105046.61     | 0.01%             | 2033-08-25      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2007-4N                                                   | LEHMAN XS TRUST LXS 2007 4N 3A1A                        | CUSIP: 52524HAH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4230957 | PA      | $3888443.01    | 0.19%             | 2047-03-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFXNT TRS EQUITY SOFR+30 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $604100.31     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $-103470.95    | -0.01%            |  |  |  | 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        |      318770 | PA      | $321188.37     | 0.02%             | 2030-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $-10445.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                              | BONOS TESORERIA PESOS UNSECURED 144A REGS 09/30 4.7     | CUSIP: ACI13NCW6<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |  5825000000 | PA      | $5927634.10    | 0.29%             | 2030-09-01      | Fixed         | 4.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 898930 FN 08/36 FIXED 6                       | CUSIP: 31410VVX5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         154 | PA      | $162.18        | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-40                                                 | FANNIE MAE FNR 2011 40 SX                               | CUSIP: 31397SWJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         953 | PA      | $626.56        | 0.00%             | 2040-11-25      | Floating      | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-2796.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 895096 FN 08/36 FIXED 6                       | CUSIP: 31410RNM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          10 | PA      | $10.09         | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | 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        |     8503601 | PA      | $2318602.10    | 0.11%             | 2036-06-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 05/29 2.375                             | CUSIP: 9128286T2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     2075100 | PA      | $1985124.95    | 0.10%             | 2029-05-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 872787 FN 06/36 FIXED 5.5                     | CUSIP: 31409JUL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          52 | PA      | $54.23         | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $2247.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-185.82       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO MTGE BK SEC TR 2006-AR19                                      | WELLS FARGO MORTGAGE BACKED SE WFMBS 2006 AR19 A1       | CUSIP: 949789AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12526 | PA      | $12235.61      | 0.00%             | 2036-12-25      | Floating      | 6.81%                 | 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        |     4600000 | PA      | $4879450.00    | 0.24%             | 2054-11-07      | Fixed         | 8.38%                 | No            |                  2 | On Loan: No      |
| SECURITIZED ASSET BACKED RECEIVABLES LLC TRUST 2005-FR5                   | SECURITIZED ASSET BACKED RECEI SABR 2005 FR5 M1         | CUSIP: 81375WFU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29836 | PA      | $22718.73      | 0.00%             | 2035-08-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0426A6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    39930000 | PA      | $38735782.34   | 1.90%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACKED SEC 2006-3                                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 3 M1          | CUSIP: 07388GAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3509 | PA      | $3510.21       | 0.00%             | 2036-08-25      | Floating      | 4.95%                 | 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      | $9911.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $532.45        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA5JA8 PIMCO FPPSWAPTION 3.1625 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  1576700000 | NC      | $6381535.58    | 0.31%             |  |  |  | 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        |    15036343 | PA      | $4765338.74    | 0.23%             | 2037-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| MASTR ADJUSTABLE RATE MORTGAGES TRUST 2003-4                              | MASTR ADJUSTABLE RATE MORTGAGE MARM 2003 4 B1           | CUSIP: 576433EU6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       28418 | PA      | $24962.19      | 0.00%             | 2033-10-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 11A1       | CUSIP: 86360KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       10789 | PA      | $9834.03       | 0.00%             | 2036-04-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-15655.72     | -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      | $271762.49     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLFLEET CLO 2021-1 LTD                                                  | WELLFLEET CLO LTD WELF 2021 1A A1R 144A                 | CUSIP: 94950CAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1900000 | PA      | $1902739.67    | 0.09%             | 2034-04-20      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FIELDSTONE MORTGAGE INVESTMENT TRUST SERIES 2006-1                        | FIELDSTONE MORTGAGE INVESTMENT FMIC 2006 1 A3           | CUSIP: 31659TEZ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1971151 | PA      | $1461175.62    | 0.07%             | 2036-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-1F                                           | GSR MORTGAGE LOAN TRUST GSR 2006 1F 5A1                 | CUSIP: 3623417Z6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      217882 | PA      | $78852.51      | 0.00%             | 2036-02-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA1CA4 PIMCO SWAPTION 3.288 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     1400000 | NC      | $16391.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD1870 FN 08/40 FIXED 4.5                     | CUSIP: 31418PCG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         198 | PA      | $199.33        | 0.00%             | 2040-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 896141 FN 06/36 FIXED 5.5                     | CUSIP: 31410SS65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         397 | PA      | $411.81        | 0.00%             | 2036-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-48T1                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 48T1 A2       | CUSIP: 12668AFH3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       54865 | PA      | $30330.04      | 0.00%             | 2035-11-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS MXN TIIE1/8.27000 03/19/25-10Y* CME                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |           1 | NC      | $175204.89     | 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      | $479.75        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR JPY MUTK/2.00000 06/18/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |           1 | NC      | $-850280.37    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                               | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                 | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |      700000 | PA      | $17040.02      | 0.00%             | 2026-08-19      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI1673 FN 06/41 FIXED 4.5                     | CUSIP: 3138AE2F9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3120 | PA      | $3110.41       | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI3810 FN 06/41 FIXED 4.5                     | CUSIP: 3138AHGU4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         331 | PA      | $331.67        | 0.00%             | 2041-06-01      | Fixed         | 4.50%                 | 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        |        3029 | PA      | $2998.61       | 0.00%             | 2037-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-13789.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 819297 FN 09/35 FIXED 6                       | CUSIP: 31406TGE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1459 | PA      | $1533.86       | 0.00%             | 2035-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-2                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 2 M5          | CUSIP: 542514KV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13447 | PA      | $13410.13      | 0.00%             | 2035-04-25      | Floating      | 5.25%                 | 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      | $-1337293.98   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AA0836 FN 01/39 FIXED 4.5                     | CUSIP: 31416H4W2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3317 | PA      | $3343.84       | 0.00%             | 2039-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $16473.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QH9                                   | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH9 A1         | CUSIP: 749241AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      107852 | PA      | $90154.80      | 0.00%             | 2037-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 933121 FN 01/38 FIXED 5.5                     | CUSIP: 31412SD28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         151 | PA      | $155.14        | 0.00%             | 2038-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFXNT TRS EQUITY SOFR+29 JPM                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $608568.77     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $20629.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 753095 FN 12/33 FIXED 5.5                     | CUSIP: 31403MUU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         672 | PA      | $686.39        | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-4                                            | GSR MORTGAGE LOAN TRUST GSR 2004 4 2A2                  | CUSIP: 36228FD45<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4626 | PA      | $4503.14       | 0.00%             | 2032-04-25      | Floating      | 5.88%                 | No            |                  2 | On Loan: No      |
| WAMU MTGE P/T CERT 2007-HY1                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2007 HY1 5A1        | CUSIP: 92925VAP5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       96049 | PA      | $89643.42      | 0.00%             | 2037-02-25      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| NATIONSTAR HOME EQUITY LOAN TR 2006-B                                     | NATIONSTAR HOME EQUITY LOAN TR NSTR 2006 B M2           | CUSIP: 63860FAF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4993425 | PA      | $4953763.95    | 0.24%             | 2036-09-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 689108 FN 02/33 FIXED 5.5                     | CUSIP: 31400JR50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1554 | PA      | $1575.35       | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $12962.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BH4101 FN 10/47 FIXED 3.5                     | CUSIP: 3140GSRX2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      233701 | PA      | $218226.23     | 0.01%             | 2047-10-01      | Fixed         | 3.50%                 | 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        |     4921923 | PA      | $3722394.91    | 0.18%             | 2046-12-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA SR UNSECURED 02/31 7           | CUSIP: 989RJPII3<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    50000000 | PA      | $2746438.91    | 0.13%             | 2031-02-28      | Fixed         | 7.00%                 | 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      | $710538.59     | 0.03%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                           | JUBILEE CDO BV JUBIL 2016 17A A1RR 144A                 | CUSIP: ACI1W2TB8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     5395870 | PA      | $6339193.99    | 0.31%             | 2031-04-15      | Floating      | 2.68%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 698342 GN 05/39 FIXED 5                       | CUSIP: 36296QZF9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      118712 | PA      | $121040.35     | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                              | NIGERIA OMO BILL OMO260629                              | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  2513753000 | PA      | $1477978.70    | 0.07%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-8                                           | BEAR STEARNS ALT A TRUST BALTA 2005 8 21A1              | CUSIP: 07386HWZ0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32302 | PA      | $26735.89      | 0.00%             | 2035-10-25      | Variable      | 5.23%                 | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2006 GP4                                                  | LEHMAN XS TRUST LXS 2006 GP4 3A5                        | CUSIP: 525161AN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      531842 | PA      | $546670.78     | 0.03%             | 2046-08-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                         | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/35 5.625  | CUSIP: 80413TBL2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     3800000 | PA      | $4054336.28    | 0.20%             | 2035-01-13      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251203                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-152915.57    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                     | WELLS FARGO + COMPANY WELLS FARGO + COMPANY             | CUSIP: ACI2Q2RG4<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     2100000 | PA      | $2541159.56    | 0.12%             | 2032-07-22      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                               | LETRA TESOURO NACIONAL BILLS 04/26 0.00000              | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   247000000 | PA      | $43353816.84   | 2.12%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 916326 FN 04/37 FIXED 6                       | CUSIP: 31411WA31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1491 | PA      | $1542.33       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP MORTGAGE LOAN TRUST 2006-W1              | STRUCTURED ASSET SECURITIES CO SASC 2006 W1A A5 144A    | CUSIP: 86361CAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2608192 | PA      | $2407777.99    | 0.12%             | 2046-08-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE3                                   | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE3 2A3        | CUSIP: 93364EAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      350727 | PA      | $312369.06     | 0.02%             | 2037-05-25      | Floating      | 4.51%                 | 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        |      184333 | PA      | $131318.96     | 0.01%             | 2035-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-5064.43      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |           1 | NC      | $13533.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $9461.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2004-4                                   | THORNBURG MORTGAGE SECURITIES TMST 2004 4 3A            | CUSIP: 885220GF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       33623 | PA      | $32846.96      | 0.00%             | 2044-12-25      | Floating      | 5.51%                 | 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      | $-55342.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 712415 GN 05/39 FIXED 5                       | CUSIP: 36297HN87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         864 | PA      | $882.27        | 0.00%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $1.10          | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2010-99                                                 | FANNIE MAE FNR 2010 99 CL                               | CUSIP: 31398T5D9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      452000 | PA      | $446384.49     | 0.02%             | 2040-09-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $6558.36       | 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      | $-572.89       | -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        |     1300000 | NC      | $13872.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2007-5                                             | GSAA HOME EQUITY TRUST GSAA 2007 5 1AV1                 | CUSIP: 3622ECAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      170680 | PA      | $59524.45      | 0.00%             | 2037-05-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |           1 | NC      | $9917.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR SPECIALIZED LOAN TRUST 2005-3                                       | MASTR SPECIALIZED LOAN TRUST MASD 2005 3 M1 144A        | CUSIP: 576436CP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      413669 | PA      | $396953.91     | 0.02%             | 2035-11-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL FUNDING MTGE SEC 2007-SA2                                     | RESIDENTIAL FUNDING MTG SEC I RFMSI 2007 SA2 2A1        | CUSIP: 74958XAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       93720 | PA      | $81834.56      | 0.00%             | 2037-04-25      | Floating      | 5.70%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 779439 FN 06/34 FIXED 5.5                     | CUSIP: 31404U4Y3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          75 | PA      | $78.45         | 0.00%             | 2034-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN ALTERNATIVE LN TRUST 2006-S1                                    | J.P. MORGAN ALTERNATIVE LOAN T JPALT 2006 S1 1A19       | CUSIP: 46627MER4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1664684 | PA      | $837223.75     | 0.04%             | 2036-03-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RADMFXNT TRS EQUITY FEDL01+48 BPS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $44493.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                           | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A    | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     1200000 | PA      | $1166479.92    | 0.06%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3970 FN 01/48 FIXED 3.5                     | CUSIP: 3140H5MU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         632 | PA      | $606.56        | 0.00%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 782958 GN 05/40 FIXED 5                       | CUSIP: 36241LJB3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1894 | PA      | $1941.32       | 0.00%             | 2040-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-15882.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-45                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 45 2A1        | CUSIP: 12667G6K4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3813 | PA      | $2750.45       | 0.00%             | 2035-10-20      | Floating      | 6.20%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 705242 GN 08/39 FIXED 5                       | CUSIP: 36296YP30<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3998 | PA      | $4063.95       | 0.00%             | 2039-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |           1 | NC      | $-8059.21      | -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      | $35438.18      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2006-4                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2006 4 1A11          | CUSIP: 02660LAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30390 | PA      | $15197.54      | 0.00%             | 2046-10-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 922041 FN 02/37 FIXED 6                       | CUSIP: 31412DLW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       11817 | PA      | $12458.61      | 0.00%             | 2037-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 674114 GN 06/38 FIXED 5                       | CUSIP: 36295L3X7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         464 | PA      | $473.14        | 0.00%             | 2038-06-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LOAN TRUST 2007-A4                               | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A4 1A9         | CUSIP: 12566VAJ1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      101982 | PA      | $84727.50      | 0.00%             | 2037-04-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE ACQI CORP 2006-CH1                                     | JP MORGAN MORTGAGE ACQUISITION JPMAC 2006 CH1 M5        | CUSIP: 46629TAK6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1874000 | PA      | $1819430.81    | 0.09%             | 2036-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 726377 GN 10/39 FIXED 5                       | CUSIP: 3620AC6N9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2731 | PA      | $2800.91       | 0.00%             | 2039-10-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251205                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-74540.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 930498 FN 02/29 FIXED 5                       | CUSIP: 31412NX35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4245 | PA      | $4273.81       | 0.00%             | 2029-02-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVESTORS TRUST 2006-WMC2                          | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 WMC2 A1        | CUSIP: 59020U6H3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    60019014 | PA      | $14582435.76   | 0.71%             | 2037-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ3928 FN 12/47 FIXED 3.5                     | CUSIP: 3140H5LJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       33527 | PA      | $31354.18      | 0.00%             | 2047-12-01      | Fixed         | 3.50%                 | 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        |    10470738 | PA      | $10489484.58   | 0.51%             | 2055-09-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2009-20E                                  | SMALL BUSINESS ADMINISTRATION SBAP 2009 20E 1           | CUSIP: 83162CSN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |        2145 | PA      | $2150.81       | 0.00%             | 2029-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2018-19                          | GOVERNMENT NATIONAL MORTGAGE A GNR 2018 19 WF           | CUSIP: 38380VEU1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      139581 | PA      | $136048.61     | 0.01%             | 2047-08-20      | Floating      | 4.74%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2006-19CB                                   | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 19CB A3       | CUSIP: 02147QAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       38099 | PA      | $21424.50      | 0.00%             | 2036-08-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA5HA0 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    61000000 | NC      | $5280001.40    | 0.26%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A47333 FG 10/35 FIXED 5               | CUSIP: 3128K8EE2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         940 | PA      | $964.41        | 0.00%             | 2035-10-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT EUR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |           1 | NC      | $27534.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SEK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |           1 | NC      | $10814.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD COP BOUGHT USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |           1 | NC      | $-243801.77    | -0.01%            |  |  |  | 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      | $-13635.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+27.5 JPM                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $2094987.67    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $36370.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-98555.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 257499 FN 12/28 FIXED 5.5                     | CUSIP: 31371N7L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         475 | PA      | $479.80        | 0.00%             | 2028-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | 3138EL9W5 FN DUS POOL FIELD TE                          | CUSIP: 958BCUII1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     6007000 | PA      | $6088629.48    | 0.30%             | 2032-10-01      | Fixed         | 4.64%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-104385.22    | -0.01%            |  |  |  | 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      | $-32118.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $9832.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 922039 FN 02/37 FIXED 5.5                     | CUSIP: 31412DLU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3398 | PA      | $3537.67       | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0383 FN 04/30 FIXED 4.5                     | CUSIP: 31417YM95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1485 | PA      | $1489.86       | 0.00%             | 2030-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 761893 FN 01/34 FIXED 5.5                     | CUSIP: 31403YNJ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         823 | PA      | $830.61        | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-12                                       | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 12 2A13       | CUSIP: 41162DAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       94012 | PA      | $89373.25      | 0.00%             | 2036-12-19      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | REPUBLIC OF SOUTH AFRICA SR UNSECURED 03/32 8.25        | CUSIP: ACI08MN29<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    33700000 | PA      | $1926129.65    | 0.09%             | 2032-03-31      | Fixed         | 8.25%                 | No            |                  2 | On Loan: No      |
| BANC OF AMERICA FUNDING CORP 2007-D                                       | BANC OF AMERICA FUNDING CORPOR BAFC 2007 D 3A1          | CUSIP: 05952GAT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        7685 | PA      | $6646.35       | 0.00%             | 2037-06-20      | Floating      | 4.36%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR1 | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR1 A1A       | CUSIP: 93934FJQ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      302054 | PA      | $254545.75     | 0.01%             | 2036-02-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT HUF SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |           1 | NC      | $-311.63       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2006-HE2                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 HE2 M3         | CUSIP: 17309LAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3282000 | PA      | $3078699.14    | 0.15%             | 2036-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                                       | SUMITOMO MITSUI FINL GRP SR UNSECURED 07/30 2.13        | CUSIP: 86562MCB4<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |      991000 | PA      | $897824.43     | 0.04%             | 2030-07-08      | Fixed         | 2.13%                 | 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        |     3000000 | PA      | $3174911.48    | 0.16%             | 2054-06-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH6339 FN 04/41 FIXED 4.5                     | CUSIP: 3138A8BH8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         155 | PA      | $155.18        | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $-20831.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD CZK BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |           1 | NC      | $425.01        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $114.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888638 FN 09/37 FIXED VAR                     | CUSIP: 31410GHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12205 | PA      | $12706.18      | 0.00%             | 2037-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256151 FN 03/36 FIXED 5.5                     | CUSIP: 31371MQC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          74 | PA      | $77.25         | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-3386.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260223                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-40932.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AI2430 FN 05/41 FIXED 4.5                     | CUSIP: 3138AFVY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10100 | PA      | $10098.25      | 0.00%             | 2041-05-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | DEUTSCHE BANK AKTIENGESELLSCH SLA SE ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | DE        |           1 | NC      | $-3980.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888795 FN 11/36 FIXED VAR                     | CUSIP: 31410GNL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2955 | PA      | $3076.14       | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    10900000 | NC      | $559382.55     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENPOINT MORTGAGE FUND TRUST 2006-OH1                                   | GREENPOINT MORTGAGE FUNDING TR GPMF 2006 OH1 A1         | CUSIP: 39539GAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      106035 | PA      | $97953.62      | 0.00%             | 2037-01-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 966202 FN 12/37 FIXED 6                       | CUSIP: 31414G3K3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2448 | PA      | $2581.08       | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9Y3A4 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    11100000 | NC      | $619848.42     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 704699 GN 09/39 FIXED 5                       | CUSIP: 36296X3G7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1481 | PA      | $1521.79       | 0.00%             | 2039-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 835751 FN 08/35 FIXED 4.5                     | CUSIP: 31407NQC0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          74 | PA      | $74.46         | 0.00%             | 2035-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20260218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-16954.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    43460000 | PA      | $43792557.66   | 2.14%             | 2054-11-15      | Fixed         | 5.50%                 | 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      | $-152937.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $2597.88       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE5                                     | MORGAN STANLEY CAPITAL INC MSAC 2006 HE5 A2C            | CUSIP: 61749NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      338725 | PA      | $170208.02     | 0.01%             | 2036-08-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        4154 | NC      | $-763112.77    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2005-3                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2005 3 1A          | CUSIP: 542514NT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       15977 | PA      | $15782.22      | 0.00%             | 2045-08-25      | Floating      | 4.79%                 | 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        |      676171 | PA      | $620280.19     | 0.03%             | 2036-03-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                             | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A1                  | CUSIP: 12669GYY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       29206 | PA      | $25985.72      | 0.00%             | 2035-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BX8350 FN 04/53 FIXED 4.5                     | CUSIP: 3140NDH42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      811723 | PA      | $792387.95     | 0.04%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL RJ3342 FR 01/55 FIXED 6.5             | CUSIP: 3142GTWC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     2324885 | PA      | $2453701.11    | 0.12%             | 2055-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2006-9                                             | GSAA HOME EQUITY TRUST GSAA 2006 9 A2                   | CUSIP: 362382AE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       55842 | PA      | $10352.35      | 0.00%             | 2036-06-25      | Floating      | 4.51%                 | 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      | $36249.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 1A1        | CUSIP: 12668BDC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       59087 | PA      | $56362.27      | 0.00%             | 2036-01-25      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 824601 FN 12/34 FIXED 5.5                     | CUSIP: 31407ADE8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          51 | PA      | $52.53         | 0.00%             | 2034-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256212 FN 04/26 FIXED 5                       | CUSIP: 31371MR90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         722 | PA      | $720.35        | 0.00%             | 2026-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                    | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 1A           | CUSIP: 12667HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       35972 | PA      | $35085.19      | 0.00%             | 2047-04-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE0245 FN 12/38 FIXED VAR                     | CUSIP: 31419AHX8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        4992 | PA      | $5263.29       | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                               | MEXICAN UDIBONOS BONDS 12/26 3                          | CUSIP: ACI24R197<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     6840534 | PA      | $370603.18     | 0.02%             | 2026-12-03      | Fixed         | 3.00%                 | 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      | $-27586.17     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2009-3R                                   | CREDIT SUISSE MORTGAGE TRUST CSMC 2009 3R 29A2 144A     | CUSIP: 22943YUN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       18578 | PA      | $12404.73      | 0.00%             | 2037-01-27      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| SEC ASSET BACKED REC LLC 2005-OP2                                         | SECURITIZED ASSET BACKED RECEI SABR 2005 OP2 M3         | CUSIP: 81375WGW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1317000 | PA      | $1155833.97    | 0.06%             | 2035-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1         | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      226288 | PA      | $192375.59     | 0.01%             | 2037-02-25      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A6                                          | JP MORGAN MORTGAGE TRUST JPMMT 2006 A6 3A1              | CUSIP: 46628BBC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2856 | PA      | $1587.05       | 0.00%             | 2036-10-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-7                                           | BEAR STEARNS ALT A TRUST BALTA 2006 7 1A1               | CUSIP: 073875AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2946 | PA      | $2675.22       | 0.00%             | 2046-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TR 2006-4                                        | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 4 1A          | CUSIP: 54251MAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       45641 | PA      | $24086.78      | 0.00%             | 2036-05-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2007-ASP1                                             | ACE SECURITIES CORP. ACE 2007 ASP1 A1                   | CUSIP: 00442JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    27718986 | PA      | $11900636.81   | 0.58%             | 2037-03-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $18429.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHL MORTGAGE PASS-THROUGH TRUST 2006-12                                   | COUNTRYWIDE HOME LOANS CWHL 2006 12 A1                  | CUSIP: 125432AE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      234099 | PA      | $112104.88     | 0.01%             | 2036-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                             | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                  | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         579 | PA      | $577.15        | 0.00%             | 2035-03-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BS9613 FN 10/28 FIXED 4.77                    | CUSIP: 3140LLVF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     3100000 | PA      | $3168274.40    | 0.16%             | 2028-10-01      | Fixed         | 4.77%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-58                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 58 A1         | CUSIP: 12668AWH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       32543 | PA      | $31014.46      | 0.00%             | 2035-12-20      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $98571.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSETBACK SEC 2006-HE7                                       | BEAR STEARNS ASSET BACKED SECU BSABS 2006 HE7 2A2       | CUSIP: 07388HAP4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      610600 | PA      | $593918.67     | 0.03%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F0606B6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   197900000 | PA      | $202149009.97  | 9.89%             | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2006-FRE2                                       | MASTR ASSET BACKED SECURITIES MABS 2006 FRE2 A5         | CUSIP: 57643GAE7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       34430 | PA      | $20713.43      | 0.00%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-KS6                                     | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS6 M1         | CUSIP: 75406WAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      219304 | PA      | $217494.70     | 0.01%             | 2036-08-25      | Floating      | 4.54%                 | 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        |     3092879 | PA      | $3014040.37    | 0.15%             | 2061-12-25      | Variable      | 2.25%                 | No            |                  2 | On Loan: No      |
| NOMURA ASSET ACCEPTANCE CORP 2006-WF1                                     | NOMURA ASSET ACCEPTANCE CORPOR NAA 2006 WF1 A3          | CUSIP: 65537BAC4<br>LEI: N0RUIPD25XQCBR0TK507 | Long             | ABS-MBS          | CORP              | US        |    10128705 | PA      | $2621141.63    | 0.13%             | 2036-06-25      | Fixed         | 5.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |           1 | NC      | $611.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BJ8558 FN 03/48 FIXED 3.5                     | CUSIP: 3140HAQL7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1555 | PA      | $1447.89       | 0.00%             | 2048-03-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A76483 FG 04/38 FIXED 5.5             | CUSIP: 3128LAFY1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         152 | PA      | $158.14        | 0.00%             | 2038-04-01      | Fixed         | 5.50%                 | 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        |    36200000 | PA      | $11627518.61   | 0.57%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $46891.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN MORTGAGE TRUST 2006-7                                              | LEHMAN MORTGAGE TRUST LMT 2006 7 1A2                    | CUSIP: 52520QAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      405018 | PA      | $185017.45     | 0.01%             | 2036-11-25      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR18                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR18 2A3       | CUSIP: 933637AE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       36153 | PA      | $31140.89      | 0.00%             | 2037-01-25      | Floating      | 3.51%                 | 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        |     3983942 | PA      | $4681979.47    | 0.23%             | 2032-05-15      | Floating      | 3.02%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A75692 FG 04/38 FIXED 5               | CUSIP: 3128L9KD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3889 | PA      | $3994.01       | 0.00%             | 2038-04-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ARM TR 2004-3                                                | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 3 1A2         | CUSIP: 07384MR87<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4135 | PA      | $3946.23       | 0.00%             | 2034-07-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                         | SOUTH AFRICAN T BILLS BILLS 06/26 0.00000               | CUSIP: ACI30CS02<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    13600000 | PA      | $752732.83     | 0.04%             | 2026-06-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESIDENTIAL FINANCE TRUST SERIES 2007-BC2        | SPECIALTY UNDERWRITING + RESID SURF 2007 BC2 A2D        | CUSIP: 84752EAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2554306 | PA      | $1881965.76    | 0.09%             | 2037-04-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT5                                   | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT5 2A3       | CUSIP: 83613FAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1004609 | PA      | $779229.49     | 0.04%             | 2037-10-25      | Floating      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $2408.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 889692 FN 05/38 FIXED VAR                     | CUSIP: 31410KNH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        5400 | PA      | $5611.08       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0268 FN 12/29 FIXED 5                       | CUSIP: 31417YJN8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         347 | PA      | $351.54        | 0.00%             | 2029-12-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $-56964.88     | -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      | $-321874.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| EQUINIX INC                                                               | EQUINIX INC SR UNSECURED 03/28 1.55                     | CUSIP: 29444UBL9<br>LEI: 549300EVUN2BTLJ3GT74 | Long             | DBT              | CORP              | US        |      222000 | PA      | $208767.19     | 0.01%             | 2028-03-15      | Fixed         | 1.55%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR1                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR1 2A1        | CUSIP: 17307G3C0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       12415 | PA      | $12545.03      | 0.00%             | 2036-03-25      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2006-B                                            | FREMONT HOME LOAN TRUST FHLT 2006 B 2A3                 | CUSIP: 35729QAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     9476177 | PA      | $2958884.98    | 0.14%             | 2036-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2007-HE6                       | BEAR STEARNS ASSET BACKED SECU BSABS 2007 HE6 2A        | CUSIP: 07387YAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      345927 | PA      | $314422.62     | 0.02%             | 2037-08-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256197 FN 04/36 FIXED 6                       | CUSIP: 31371MRS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          48 | PA      | $50.95         | 0.00%             | 2036-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-2                                          | NOVASTAR HOME EQUITY LOAN NHEL 2007 2 A1A               | CUSIP: 66989EAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      196278 | PA      | $193688.16     | 0.01%             | 2037-09-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 773068 FN 03/34 FIXED 5.5                     | CUSIP: 31404MZ92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          30 | PA      | $30.83         | 0.00%             | 2034-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RK89 PIMCO FXVAN CALL USD BRL 5.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    -6850000 | NC      | $-12528.65     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 903812 FN 12/36 FIXED 5.5                     | CUSIP: 31411CDR9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        8811 | PA      | $9173.11       | 0.00%             | 2036-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| EGYPTIAN GOVT                                                             | EGYPT GOVERNMENT BOND BONDS 03/28 21.954                | CUSIP: ACI2VM0V0<br>LEI: 529900GFIVH4086NMH82 | Long             | DBT              | NUSS              | EG        |   169400000 | PA      | $3539451.03    | 0.17%             | 2028-03-04      | Fixed         | 21.95%                | 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      | $-51999.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2003-W10                                            | ARGENT SECURITIES INC. ARSI 2003 W10 M1                 | CUSIP: 040104EN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      174985 | PA      | $169215.26     | 0.01%             | 2034-01-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-1                                      | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A2          | CUSIP: 61751QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      889939 | PA      | $427474.98     | 0.02%             | 2036-12-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 745516 FN 05/36 FIXED VAR                     | CUSIP: 31403DGZ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1428 | PA      | $1486.95       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-1099.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHING MUTUAL MTGE P/T 2006-7                                            | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 7 A1B         | CUSIP: 93935HAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      321700 | PA      | $83157.25      | 0.00%             | 2036-09-25      | Floating      | 4.43%                 | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                         | HSBC HOLDINGS PLC SR UNSECURED 08/31 VAR                | CUSIP: 404280CK3<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |      431000 | PA      | $390180.46     | 0.02%             | 2031-08-18      | Floating      | 2.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $52249.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-18                                     | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 18 1A           | CUSIP: 23243WAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       59633 | PA      | $58652.04      | 0.00%             | 2037-03-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $29859.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAD3A8 PIMCO SWAPTION 4.0275 PUT USD 202512          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -32400000 | NC      | $-67097.16     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QI3936 FR 04/54 FIXED 6               | CUSIP: 3133WALR7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      927706 | PA      | $952577.48     | 0.05%             | 2054-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3311                                                          | FREDDIE MAC FHR 3311 FN                                 | CUSIP: 31397H6P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1234 | PA      | $1219.98       | 0.00%             | 2037-05-15      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2002-TBC2                                    | MELLON RESIDENTIAL FUNDING COR MRFC 2002 TBC2 A         | CUSIP: 585525FX1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        8238 | PA      | $8182.19       | 0.00%             | 2032-08-15      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |           1 | NC      | $-86.76        | -0.00%            |  |  |  | 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        |     5958120 | PA      | $6121327.06    | 0.30%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PASS-THRU TR 2005-AR4                                  | FIRST HORIZON MORTGAGE PASS TH FHASI 2005 AR4 2A1       | CUSIP: 32051GTX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       43969 | PA      | $40346.43      | 0.00%             | 2035-10-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 190363 FN 11/35 FIXED VAR                     | CUSIP: 31368HML4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         796 | PA      | $828.66        | 0.00%             | 2035-11-01      | Fixed         | 5.50%                 | 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      | $-1227.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-12R                      | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 12R 2A2 144A     | CUSIP: 12651DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    11763109 | PA      | $10828242.53   | 0.53%             | 2037-11-30      | Floating      | 3.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD INR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $1985.37       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH ALTERNATIVE NT 2007-A2                                      | MERRILL LYNCH ALTERNATIVE NOTE MANA 2007 A2 A3A         | CUSIP: 59024FAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      119506 | PA      | $28107.33      | 0.00%             | 2037-03-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-3                                     | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 3 2A4         | CUSIP: 542514UL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      310767 | PA      | $92253.05      | 0.00%             | 2046-05-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL C91276 FG 11/29 FIXED 5               | CUSIP: 3128P7MZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1085 | PA      | $1100.66       | 0.00%             | 2029-11-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL MA0022 FN 04/29 FIXED 4.5                     | CUSIP: 31417YAY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2063 | PA      | $2071.97       | 0.00%             | 2029-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MF1 2024-FL14 LLC                                                         | MF1 MULTIFAMILY HOUSING MORTGA MF1 2024 FL14 A 144A     | CUSIP: 55416AAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |     1000000 | PA      | $1004840.86    | 0.05%             | 2039-03-19      | Floating      | 5.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | US 10YR FUT OPTN  NOV25C 113.5 EXP 10/24/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -1261 | NC      | $-270154.12    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AL3185 FN 02/39 FIXED VAR                     | CUSIP: 3138EKRF4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1764 | PA      | $1848.48       | 0.00%             | 2039-02-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                      | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626A4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    42720000 | PA      | $44152826.24   | 2.16%             | 2054-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZXA8 PIMCO SWAPTION 2.989 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     3500000 | NC      | $21989.45      | 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        |    10900000 | NC      | $722305.94     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MORTGAGE ASSETS 2007-3                                      | AMERICAN HOME MORTGAGE ASSETS AHMA 2007 3 21A1          | CUSIP: 026935AH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152936 | PA      | $137626.76     | 0.01%             | 2046-11-25      | Variable      | 6.75%                 | No            |                  2 | On Loan: No      |
| LEGACY MORTGAGE ASSET TRUST 2021-GS1                                      | LEGACY MORTGAGE ASSET TRUST LMAT 2021 GS1 A1 144A       | CUSIP: 52474JAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     2698094 | PA      | $2700298.02    | 0.13%             | 2066-10-25      | Variable      | 5.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $-3819.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $6768.13       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                              | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                      | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2350 | PA      | $2342.10       | 0.00%             | 2042-09-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | US TREASURY N/B 05/48 3.125                             | CUSIP: 912810SC3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      124400 | PA      | $95958.08      | 0.00%             | 2048-05-15      | Fixed         | 3.12%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 725690 FN 08/34 FIXED VAR                     | CUSIP: 31402DF70<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          14 | PA      | $14.84         | 0.00%             | 2034-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR6                                          | GSR MORTGAGE LOAN TRUST GSR 2005 AR6 1A1                | CUSIP: 362341RT8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         593 | PA      | $598.79        | 0.00%             | 2035-09-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| PANAMA GOVT                                                               | REPUBLIC OF PANAMA EUR TERM LOAN 2                      | CUSIP: BA000HCH9<br>LEI: 549300SHS4T08CL0LP14 | Long             | LON              | NUSS              | IE        |     2000000 | PA      | $2366421.14    | 0.12%             | 2027-04-01      | Floating      | 4.55%                 | No            |                  3 | On Loan: No      |
| N/A                                                                       | SOLD ZAR BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $-510.04       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR1                                                | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR1 A1B        | CUSIP: 939336X57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      315430 | PA      | $305082.02     | 0.01%             | 2045-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL FS8200 FN 06/54 FIXED VAR                     | CUSIP: 3140XQDE4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1915501 | PA      | $1962194.09    | 0.10%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 3 LTD 2016-3A                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2016 3A A1R 144A    | CUSIP: 03330EAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      500000 | PA      | $484162.94     | 0.02%             | 2039-01-28      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $23626.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | US LONG BOND(CBT) DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         273 | NC      | $621886.95     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL ASSET BACKED CTFS 2006-HE3                              | WASHINGTON MUTUAL ASSET BACKED WMABS 2006 HE3 1A        | CUSIP: 93934MAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1481847 | PA      | $1440606.33    | 0.07%             | 2036-08-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL A69435 FG 12/37 FIXED 6               | CUSIP: 3128L1PU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         120 | PA      | $125.31        | 0.00%             | 2037-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |           1 | NC      | $-32559.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                        | TREASURY BILL 12/25 0.00000                             | CUSIP: 912797QS9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      537000 | PA      | $533283.60     | 0.03%             | 2025-12-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2764                                                          | FREDDIE MAC FHR 2764 ZG                                 | CUSIP: 31394TYD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36820 | PA      | $37963.55      | 0.00%             | 2034-03-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR17                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR17 1A1A      | CUSIP: 92925DAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        9858 | PA      | $8700.85       | 0.00%             | 2046-12-25      | Floating      | 3.95%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 707284 GN 02/39 FIXED 5                       | CUSIP: 36297BXM8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       10088 | PA      | $10348.19      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2007-5                                             | COUNTRYWIDE HOME LOANS CWHL 2007 5 A51                  | CUSIP: 12544VCN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        3411 | PA      | $1583.23       | 0.00%             | 2037-05-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT PEN SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $40870.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 840699 FN 09/35 FIXED 5.5                     | CUSIP: 31407T7L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         112 | PA      | $116.75        | 0.00%             | 2035-09-01      | Fixed         | 5.50%                 | 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      | $-806123.24    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB2858 FN 01/39 FIXED 5.5                     | CUSIP: 31416YE87<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       12457 | PA      | $12892.33      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 917555 FN 04/37 FIXED 6                       | CUSIP: 31411XMC6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3948 | PA      | $4105.31       | 0.00%             | 2037-04-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-101258.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                                | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M4         | CUSIP: 17307GWU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     4930000 | PA      | $4803038.70    | 0.24%             | 2035-09-25      | Floating      | 5.17%                 | 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        |     2285209 | PA      | $2286653.04    | 0.11%             | 2067-07-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     7200000 | NC      | $411899.76     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-3                                          | NOVASTAR HOME EQUITY LOAN NHEL 2006 3 A2C               | CUSIP: 66988WAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      185071 | PA      | $85578.90      | 0.00%             | 2036-10-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST-2005-A6                                          | JP MORGAN MORTGAGE TRUST JPMMT 2005 A6 7A1              | CUSIP: 466247UG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       13986 | PA      | $12390.10      | 0.00%             | 2035-08-25      | Floating      | 5.11%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 256713 FN 05/27 FIXED 5                       | CUSIP: 31371NDS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2241 | PA      | $2244.03       | 0.00%             | 2027-05-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AE0508 FN 10/40 FIXED VAR                     | CUSIP: 31419AR66<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         227 | PA      | $227.15        | 0.00%             | 2040-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 892612 FN 09/36 FIXED 6                       | CUSIP: 31410NVD7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          45 | PA      | $45.47         | 0.00%             | 2036-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-AF1                                      | NOMURA HOME EQUITY LOAN INC NHELI 2006 AF1 A1           | CUSIP: 65535AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      167753 | PA      | $29210.83      | 0.00%             | 2036-10-25      | Variable      | 6.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |           1 | NC      | $-17572.70     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $-5350.46      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2005-16IP                                   | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 16IP A1        | CUSIP: 45660LUD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2488 | PA      | $1904.66       | 0.00%             | 2045-07-25      | Floating      | 4.91%                 | 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      | $-11698.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317UAAMA3 PIMCO FPPSWAPTION 4.11 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    27400000 | NC      | $1721829.70    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 995243 FN 08/38 FIXED VAR                     | CUSIP: 31416BS82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         490 | PA      | $494.32        | 0.00%             | 2038-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 905334 FN 12/36 FIXED 6                       | CUSIP: 31411DY78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |           7 | PA      | $7.49          | 0.00%             | 2036-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AD9398 FN 06/40 FIXED 4.5                     | CUSIP: 31418XNQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         491 | PA      | $495.62        | 0.00%             | 2040-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AC8113 FN 01/36 FIXED 5.5                     | CUSIP: 31417VAP8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2264 | PA      | $2349.72       | 0.00%             | 2036-01-01      | 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      | $-9150.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD PEN BOUGHT USD 20251202                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |           1 | NC      | $-24655.66     | -0.00%            |  |  |  | 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        |       20624 | PA      | $20429.09      | 0.00%             | 2035-02-25      | Floating      | 4.77%                 | 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        |     6546865 | PA      | $6372446.23    | 0.31%             | 2035-12-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN 2006-FF12                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF12 A5         | CUSIP: 32027GAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5629285 | PA      | $5261217.60    | 0.26%             | 2036-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR13                                               | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR13 1A        | CUSIP: 93363RAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      284339 | PA      | $249175.82     | 0.01%             | 2046-10-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZIA5 PIMCO SWAPTION 2.965 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     2600000 | NC      | $15472.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BZ2582 FN 12/29 FIXED 4.3                     | CUSIP: 3140NW2Q7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     7717000 | PA      | $7787562.55    | 0.38%             | 2029-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| OHIO STATE UNIVERSITY                                                     | OHIO ST UNIV OHSHGR 06/11 FIXED OID 4.8                 | CUSIP: 677632PA3<br>LEI: JFC10ZULKO4X2E3HBY86 | Long             | DBT              | MUN               | US        |       67000 | PA      | $57183.06      | 0.00%             | 2111-06-01      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-61                                     | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 61 1A1        | CUSIP: 12668AVL6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        4487 | PA      | $4169.38       | 0.00%             | 2035-12-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 2A1         | CUSIP: 126670KK3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      203994 | PA      | $184183.16     | 0.01%             | 2036-03-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL QG2201 FR 05/53 FIXED 5.5             | CUSIP: 3133C2NS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     1416814 | PA      | $1436484.14    | 0.07%             | 2053-05-01      | Fixed         | 5.50%                 | 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      | $5670.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSMSC PASS-THROUGH TRUST 2009-4R                                          | GS MORTGAGE SECURITIES CORP. GSMSC 2009 4R 2A3 144A     | CUSIP: 36190GAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       61049 | PA      | $44405.07      | 0.00%             | 2036-12-26      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.84199 12/02/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $1731330.51    | 0.08%             |  |  |  | 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        |         608 | PA      | $583.03        | 0.00%             | 2035-05-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |           1 | NC      | $15463.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SEC TR 2007-HE1                                        | MASTR ASSET BACKED SECURITIES MABS 2007 HE1 A3          | CUSIP: 576457AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      902741 | PA      | $877754.56     | 0.04%             | 2037-05-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 929451 FN 05/38 FIXED 5.5                     | CUSIP: 31412MTG3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        9241 | PA      | $9594.85       | 0.00%             | 2038-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 888820 FN 07/37 FIXED VAR                     | CUSIP: 31410GPD9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        7330 | PA      | $7631.20       | 0.00%             | 2037-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                            | TITULOS DE TESORERIA BONDS 04/28 6                      | CUSIP: ACI05MPY0<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 29655000000 | PA      | $6927865.96    | 0.34%             | 2028-04-28      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL BM7581 FN 09/31 VARIABLE                      | CUSIP: 3140JCM76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    20400000 | PA      | $20801075.42   | 1.02%             | 2031-09-01      | Variable      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | NDDUEAFE TRS EQUITY SOFR+28 MYI                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $147430.03     | 0.01%             |  |  |  | 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        |       45863 | PA      | $45958.05      | 0.00%             | 2037-06-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $1782.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2D            | CUSIP: 617526AF5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1395854 | PA      | $824160.55     | 0.04%             | 2036-11-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |           1 | NC      | $6172.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN EXPRESS COMPANY                                                  | AMERICAN EXPRESS CO SR UNSECURED 01/36 VAR              | CUSIP: 025816DZ9<br>LEI: R4PP93JZOLY261QX3811 | Long             | DBT              | CORP              | US        |     3900000 | PA      | $4057774.58    | 0.20%             | 2036-01-30      | Floating      | 5.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 894959 FN 08/36 FIXED 6                       | CUSIP: 31410RJC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          38 | PA      | $39.97         | 0.00%             | 2036-08-01      | Fixed         | 6.00%                 | 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        |     6129332 | PA      | $7203897.43    | 0.35%             | 2032-08-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M2                                             | ARGENT SECURITIES INC. ARSI 2006 M2 A2B                 | CUSIP: 04013BAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       65381 | PA      | $21092.56      | 0.00%             | 2036-09-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | ERAUSLT TRS EQUITY SOFR+60 JPM                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $714134.89     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR6                                     | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR6 A1A        | CUSIP: 86359LEV7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        1433 | PA      | $1422.66       | 0.00%             | 2035-02-19      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJUSTABLE RATE MORTGAGE TRUST 2004-10                       | BEAR STEARNS ADJUSTABLE RATE M BSARM 2004 10 13A1       | CUSIP: 07384M4E9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         170 | PA      | $166.19        | 0.00%             | 2035-01-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |           1 | NC      | $4553.26       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9ZYA7 PIMCO SWAPTION 4.0945 PUT USD 202510          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -53200000 | NC      | $-85.12        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE5                                     | MORGAN STANLEY CAPITAL INC MSAC 2007 HE5 A2A            | CUSIP: 61753KAB2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      515229 | PA      | $219363.57     | 0.01%             | 2037-03-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 763688 FN 01/34 FIXED 5.5                     | CUSIP: 31404BND0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        6183 | PA      | $6239.19       | 0.00%             | 2034-01-01      | Fixed         | 5.50%                 | 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        |     3485669 | PA      | $1433874.75    | 0.07%             | 2036-11-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AH8643 FN 04/41 FIXED 4.5                     | CUSIP: 3138AAS93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         555 | PA      | $555.67        | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | 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      | $-56605.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | CDX ITRAXX XOV42 5Y 35-100% SP BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |           1 | NC      | $2843292.33    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AA0920 FN 08/37 FIXED 5.5                     | CUSIP: 31416JAW1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        3065 | PA      | $3191.06       | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-11620.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA II TBA 30 YR 4.5 JUMBOS                            | CUSIP: 21H0426B0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    48470000 | PA      | $46985232.55   | 2.30%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT ZAR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |           1 | NC      | $513.54        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 2A2              | CUSIP: 46630GAD7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       30892 | PA      | $30019.72      | 0.00%             | 2035-07-25      | Floating      | 5.74%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | 31750RD46 OTC ECAL FN 4.5 OCT25 96.546875 CALL          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -28100000 | NC      | $-165896.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                               | PETROLEOS MEXICANOS COMPANY GUAR 02/48 6.35             | CUSIP: 71654QCL4<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |     1500000 | PA      | $1192172.25    | 0.06%             | 2048-02-12      | Fixed         | 6.35%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 623958 GN 12/35 FIXED 5                       | CUSIP: 36291CE76<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         242 | PA      | $247.35        | 0.00%             | 2035-12-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US225401AR98 CREDIT SUISSE GROUP AG       | CUSIP: 952NPGII8<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     2400000 | PA      | $312000.00     | 0.02%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-3                                      | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 3 MV7           | CUSIP: 126673C26<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     3000000 | PA      | $2848442.40    | 0.14%             | 2035-08-25      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G03355 FG 08/37 FIXED 5               | CUSIP: 3128M5BY5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1514 | PA      | $1555.31       | 0.00%             | 2037-08-01      | Fixed         | 5.00%                 | 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        |     1600000 | PA      | $1621191.04    | 0.08%             | 2029-04-16      | Fixed         | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $-4313.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $23422.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.93300 01/06/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $36333.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CIT MTGE LOAN TRUST 2007-1                                                | CIT MORTGAGE LOAN TRUST CITM 2007 1 1M1 144A            | CUSIP: 12559QAF9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5447082 | PA      | $5515836.50    | 0.27%             | 2037-10-25      | Floating      | 6.52%                 | No            |                  2 | On Loan: No      |
| RAAC SERIES 2006-SP2                                                      | RAAC SERIES RAAC 2006 SP2 M2                            | CUSIP: 74919PAE9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     5322509 | PA      | $5154282.06    | 0.25%             | 2036-02-25      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                             | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/28 5.918       | CUSIP: 345397G72<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     1900000 | PA      | $1932914.14    | 0.09%             | 2028-03-20      | Fixed         | 5.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |           1 | NC      | $995.73        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A2                                          | JP MORGAN MORTGAGE TRUST JPMMT 2007 A2 2A1              | CUSIP: 46630PAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        2994 | PA      | $2244.72       | 0.00%             | 2037-04-25      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR1                                         | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR1 A2A              | CUSIP: 23332UAC8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       17414 | PA      | $15769.04      | 0.00%             | 2044-09-19      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-2A                                    | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 2A A2 144A    | CUSIP: 16678RDL8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       51859 | PA      | $49802.45      | 0.00%             | 2036-05-25      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| CRB SECURITIZATION TRUST 2023-1                                           | CRB SECURITIZATION TRUST CRB 2023 1 A 144A              | CUSIP: 12670DAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      175404 | PA      | $175672.94     | 0.01%             | 2033-10-20      | Fixed         | 6.96%                 | 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      | $17676.82      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.89000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $19496.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | OIS MXN TIIE1/7.76000 04/09/25-4Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |           1 | NC      | $3988.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS EUR 2.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |           1 | NC      | $18716.78      | 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        |     8813369 | PA      | $8675642.45    | 0.42%             | 2055-02-16      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | RFR USD SOFR/3.75000 06/20/24-15Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |           1 | NC      | $477974.03     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| SPECIALTY UNDERWRITING & RESID 2006-AB1                                   | SPECIALTY UNDERWRITING + RESID SURF 2006 AB1 A4         | CUSIP: 84751PKW8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      152230 | PA      | $150920.48     | 0.01%             | 2036-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 677312 GN 09/38 FIXED 5                       | CUSIP: 36295QN55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         332 | PA      | $340.74        | 0.00%             | 2038-09-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MTGE LN TR 2006-7                                          | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 7 5A3           | CUSIP: 61749JAT3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      785830 | PA      | $199278.12     | 0.01%             | 2036-06-25      | Variable      | 6.82%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 637882 GN 04/35 FIXED 5                       | CUSIP: 36291TUF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2365 | PA      | $2423.96       | 0.00%             | 2035-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 848205 FN 12/35 FIXED 5.5                     | CUSIP: 31408DKS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          42 | PA      | $43.62         | 0.00%             | 2035-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 944526 FN 07/37 FIXED 6                       | CUSIP: 31413FYX4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          29 | PA      | $29.66         | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AB1129 FN 06/30 FIXED 4.5                     | CUSIP: 31416WHF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       16319 | PA      | $16396.92      | 0.00%             | 2030-06-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2005-FF10                                     | FIRST FRANKLIN MTG LOAN ASSET FFML 2005 FF10 A5         | CUSIP: 32027NWP2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      283250 | PA      | $267470.10     | 0.01%             | 2035-11-25      | Floating      | 4.99%                 | 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      | $350974.22     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT TRY SOLD USD 20251208                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |           1 | NC      | $12.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2004-AR3                                         | DSLA MORTGAGE LOAN TRUST DSLA 2004 AR3 2A1              | CUSIP: 23332UBF0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         199 | PA      | $188.98        | 0.00%             | 2044-07-19      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | IRS PLN 4.93000 11/04/24-5Y* CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | PL        |           1 | NC      | $-212628.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | RU20INTR TRS EQUITY SOFR+23 GST                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |           1 | NC      | $1138773.36    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| PENNSYLVANIA ECONOMIC DEVELOPMENT FINANCING AUTHORITY                     | PENNSYLVANIA ST ECON DEV FING PASDEV 06/39 FIXED 6.532  | CUSIP: 70869PFT9<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |        5000 | PA      | $5511.93       | 0.00%             | 2039-06-15      | Fixed         | 6.53%                 | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND VII DAC 7A                                         | CORDATUS CLO PLC CORDA 7A ARR 144A                      | CUSIP: ACI1W2TC6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     1812577 | PA      | $2125823.17    | 0.10%             | 2031-09-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 688442 GN 05/38 FIXED 5                       | CUSIP: 36296DZF8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         765 | PA      | $783.79        | 0.00%             | 2038-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |           1 | NC      | $-498.33       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL AA1265 FN 08/33 FIXED 4.5                     | CUSIP: 31416JMP3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          79 | PA      | $77.92         | 0.00%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-11                                    | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 11 2A3        | CUSIP: 542512AD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      248096 | PA      | $85229.64      | 0.00%             | 2036-12-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AHL2                                      | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AHL2 A1 144A   | CUSIP: 17312TAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     1312570 | PA      | $886733.79     | 0.04%             | 2037-05-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05409 FG 03/39 FIXED 5.5             | CUSIP: 3128M7KW5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         142 | PA      | $148.04        | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                    | CS AT1 CLAIMS US225401AK46 CREDIT SUISSE GROUP AG       | CUSIP: 952NPK908<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |      200000 | PA      | $26000.00      | 0.00%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-1                                            | LUMINENT MORTGAGE TRUST LUM 2006 1 A1                   | CUSIP: 550279AM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       22798 | PA      | $20126.06      | 0.00%             | 2036-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                          | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/55 6.15          | CUSIP: 694308KV8<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      600000 | PA      | $604015.93     | 0.03%             | 2055-03-01      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |           1 | NC      | $241723.11     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| BRIDGECREST LENDING AUTO SECURITIZATION TRUST 2024-1                      | BRIDGECREST LENDING AUTO SECUR BLAST 2024 1 A3          | CUSIP: 107933AC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       78971 | PA      | $79033.46      | 0.00%             | 2028-01-18      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 697914 GN 03/39 FIXED 5                       | CUSIP: 36296QK32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       36662 | PA      | $37619.89      | 0.00%             | 2039-03-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 735813 FN 07/35 FLOATING VAR                  | CUSIP: 31402RN62<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         178 | PA      | $181.44        | 0.00%             | 2035-07-01      | Floating      | 6.70%                 | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2024-1A                                   | HERTZ VEHICLE FINANCING LLC HERTZ 2024 1A A 144A        | CUSIP: 42806MCK3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    10400000 | PA      | $10623929.68   | 0.52%             | 2029-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2011-17                                                 | FANNIE MAE FNR 2011 17 KS                               | CUSIP: 31397QZU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      101887 | PA      | $10311.47      | 0.00%             | 2041-03-25      | Floating      | 1.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 741620 FN 10/33 FIXED 5.5                     | CUSIP: 31402X4D5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          54 | PA      | $55.59         | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |           1 | NC      | $302.57        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | REPO BANK AMERICA REPO                                  | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |     8500000 | PA      | $8500000.00    | 0.42%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | 317U9YMA3 PIMCO SWAPTION 3.255 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    32600000 | NC      | $349977.30     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTURAL ASSET-BACKED CERTIFICATES WMABS SERIES TRUST 2007-HE1  | WASHINGTON MUTUAL ASSET BACKED WMABS 2007 HE1 2A1       | CUSIP: 93935KAB6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      677674 | PA      | $212188.70     | 0.01%             | 2036-11-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                     | FED HM LN PC POOL G05250 FG 03/38 FIXED 5               | CUSIP: 3128M7EX0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        1748 | PA      | $1795.53       | 0.00%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CRP 2003-22A                                  | STRUCTURED ASSET SECURITIES CO SASC 2003 22A 2A1        | CUSIP: 86359AYX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |          46 | PA      | $44.94         | 0.00%             | 2033-06-25      | Floating      | 6.55%                 | 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      | $-10417.29     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                       | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |           1 | NC      | $2585.96       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-3                                             | COUNTRYWIDE HOME LOANS CWHL 2005 3 1A2                  | CUSIP: 12669GTQ4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      614192 | PA      | $588391.53     | 0.03%             | 2035-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| DSLA MORTGAGE LOAN TRUST 2006-AR2                                         | DSLA MORTGAGE LOAN TRUST DSLA 2006 AR2 1A1A             | CUSIP: 23332QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      108623 | PA      | $98928.43      | 0.00%             | 2036-10-19      | Floating      | 4.44%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                      | FNMA POOL 682705 FN 01/33 FIXED 5.5                     | CUSIP: 31400BNW2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |          30 | PA      | $30.24         | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                      | GNMA POOL 704480 GN 04/39 FIXED 5                       | CUSIP: 36296XUD4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        2069 | PA      | $2122.85       | 0.00%             | 2039-04-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-11-26

**Name of Applicant:** PIMCO Funds

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer