# EDGAR Filing Document

**Accession Number:** 0000810893
**File Stem:** 0001099263-25-004499
**Filing Date:** 2025-11
**Character Count:** 354460
**Document Hash:** a2a0f148ff74e9a598dff60ebcceb887
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-25-004499.hdr.sgml**: 20251126

**ACCESSION NUMBER**: 0001099263-25-004499

**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:** 251528363

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

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

## Series and Classes Contracts Data

### PIMCO StocksPLUS International Fund (Unhedged) (Series ID: S000014410)

| Class ID   | Class Name    | Ticker Symbol   |
|:---|:---|:---|
| C000039229 | Institutional | PSKIX           |
| C000039231 | Class A       | PPUAX           |
| C000039232 | Class C       | PPUCX           |
| C000064167 | I-2           | PPLPX           |
| C000200458 | I-3           | PSKNX           |

## Form NPORT-P: Monthly Portfolio Investments Report

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

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

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

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

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

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

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

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

  - **City:** Newport Beach

  - **State:** CA

  - **Foreign country:** US

  - **Zip / Postal Code:** 92660

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

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

- **a. Name of Series:** PIMCO StocksPLUS International Fund (Unhedged)

- **b. EDGAR series identifier (if any):** S000014410

- **c. LEI of Series:** 549300788EIV7LQVH379

**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:** $440577924.10

**Total Liabilities:** $258859973.09

**Net Assets:** $181717951.01

**Delayed Delivery Securities:** $2416012.00

**Cash Not Reported:** $4440934.20

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 5894.807900 | **1-Year:** 25437.164100 | **5-Year:** 34698.624700 | **10-Year:** 1799.262200 | **30-Year:** 72.104500

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

- **3-Month:** 225.900100 | **1-Year:** 2656.339000 | **5-Year:** 10948.323900 | **10-Year:** 2371.803100 | **30-Year:** 35.648600

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000039231 | -1.67%               | 4.93%                | 2.02%                |
| Class ID C000039232 | -1.77%               | 4.86%                | 2.01%                |
| Class ID C000064167 | -1.61%               | 4.98%                | 2.04%                |
| Class ID C000200458 | -1.70%               | 5.02%                | 2.05%                |
| Class ID C000039229 | -1.69%               | 4.99%                | 2.07%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $299462.10               | $-1306167.28                               |
| Month 2  | $756898.34               | $1082047.76                                |
| Month 3  | $743889.97               | $149795.52                                 |

**Designated Index Information**

- **Index Name:** MSCI EAFE Net Total Return USD Unhedged Index

- **Index Identifier:** NDDUEAFE

### Schedule of Portfolio Investments

| Name                                                              | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |   Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| GNMA PASS THRU POOLS                                              | GNMA POOL 798106 GN 03/42 FIXED 3.5                     | CUSIP: 36177TAG2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       550 | PA      | $514.89       | 0.00%             | 2042-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $622.73       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA1741 FN 01/39 FIXED 5.5                     | CUSIP: 31416J5B3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2517 | PA      | $2608.01      | 0.00%             | 2039-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-1517.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5473                                           | FREDDIE MAC FHR 5473 FA                                 | CUSIP: 3137HHFU0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    682842 | PA      | $682663.97    | 0.38%             | 2054-11-25      | Floating      | 5.46%                 | 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      | $-3568.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1214.51      | 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      | $-98.85       | -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      | $1429.30      | 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      | $-65.36       | -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      | $2448.43      | 0.00%             |  |  |  | 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        |    300000 | PA      | $320079.18    | 0.18%             | 2035-01-13      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 932287 FN 12/39 FIXED 5.5                     | CUSIP: 31412QXQ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     10766 | PA      | $11126.99     | 0.01%             | 2039-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RT MTGE LN 2007-1                           | STRUCTURED ADJUSTABLE RATE MOR SARM 2007 1 1A1          | CUSIP: 86362TAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     86346 | PA      | $86230.81     | 0.05%             | 2037-02-25      | Floating      | 4.57%                 | 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        |    900000 | PA      | $914229.00    | 0.50%             | 2030-08-17      | Fixed         | 5.50%                 | 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        |    100000 | PA      | $101734.50    | 0.06%             | 2035-08-01      | Fixed         | 5.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-572.69      | -0.00%            |  |  |  | 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        |    100000 | PA      | $100743.56    | 0.06%             | 2035-04-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | MSCI EAFE        DEC25 IFUS 20251219                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |       -48 | NC      | $9020.98      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-33.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $58.92        | 0.00%             |  |  |  | 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      | $429.47       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UAANA2 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1600000 | NC      | $138491.84    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 985616 FN 04/34 FIXED 5.5                     | CUSIP: 31415P3Z9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1038 | PA      | $1063.19      | 0.00%             | 2034-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-4545.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-4                                  | NOVASTAR HOME EQUITY LOAN NHEL 2006 4 A2D               | CUSIP: 66988XAD6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    955828 | PA      | $374980.19    | 0.21%             | 2036-09-25      | Floating      | 4.77%                 | 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        |     11475 | PA      | $10558.34     | 0.01%             | 2046-02-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $226.86       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 257573 FN 02/39 FIXED 5.5                     | CUSIP: 31371PCJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1404 | PA      | $1454.67      | 0.00%             | 2039-02-01      | Fixed         | 5.50%                 | 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        |     10783 | PA      | $10018.04     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A                       | EXETER AUTOMOBILE RECEIVABLES EART 2024 5A C            | CUSIP: 30165BAF0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $601674.24    | 0.33%             | 2030-01-15      | Fixed         | 4.64%                 | 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        |   -540000 | NC      | $-987.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SHACKLETON CLO LTD 2019-14A                                       | SHACKLETON CLO LTD SHACK 2019 14A A1RR 144A             | CUSIP: 81880XAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    900000 | PA      | $901401.95    | 0.50%             | 2034-07-20      | Floating      | 5.53%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 942498 FN 08/37 FIXED 6                       | CUSIP: 31413DRT6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     13407 | PA      | $13835.29     | 0.01%             | 2037-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG43 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-125581.82   | -0.07%            |  |  |  | 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        |     12646 | PA      | $13333.15     | 0.01%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-10225.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3360                                                  | FREDDIE MAC FHR 3360 FC                                 | CUSIP: 31397KE31<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3239 | PA      | $3245.22      | 0.00%             | 2037-05-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20251031                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $10419.88     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $553.01       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.79250 11/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $867.12       | 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      | $993.31       | 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      | $-2387.05     | -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      | $6.77         | 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        |      1577 | PA      | $1565.31      | 0.00%             | 2035-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-2 DAC 25-2A              | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 2A B 144A     | CUSIP: ACI2X1SW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $588704.87    | 0.32%             | 2035-02-15      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-216.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR8                                        | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR8 1A4        | CUSIP: 93362FAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    248705 | PA      | $235211.69    | 0.13%             | 2046-08-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $5.25         | 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      | $454.75       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20260122                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $69.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.2914 05/08/25-01/02/29 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-1591.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2009-20E                          | SMALL BUSINESS ADMINISTRATION SBAP 2009 20E 1           | CUSIP: 83162CSN4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |      2401 | PA      | $2407.62      | 0.00%             | 2029-05-01      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-3000.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $10037.23     | 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      | $3474.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3355                                                  | FREDDIE MAC FHR 3355 BF                                 | CUSIP: 31397KC90<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5607 | PA      | $5614.68      | 0.00%             | 2037-08-15      | Floating      | 5.19%                 | 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      | $-27261.62    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| ELLINGTON LOAN ACQUISITION TRUST 2007-2                           | ELLINGTON LOAN ACQUISITION TRU ELAT 2007 2 A1 144A      | CUSIP: 288547AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    258892 | PA      | $255458.32    | 0.14%             | 2037-05-25      | Floating      | 5.32%                 | 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        |    200000 | PA      | $202434.90    | 0.11%             | 2031-07-08      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $30.07        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.90750 03/04/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1970.65     | -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      | $27866.64     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC SR UNSECURED 08/28 VAR                     | CUSIP: 06738EBY0<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    200000 | PA      | $204340.47    | 0.11%             | 2028-08-09      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G04913 FG 03/38 FIXED 5               | CUSIP: 3128M6YJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     74162 | PA      | $76168.61     | 0.04%             | 2038-03-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-925.23      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-W4                                     | ARGENT SECURITIES INC. ARSI 2006 W4 A2C                 | CUSIP: 040104TG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   2722695 | PA      | $653009.98    | 0.36%             | 2036-05-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.43500 11/05/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-6392.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/35 6       | CUSIP: ACI2XSL83<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    100000 | PA      | $30461.83     | 0.02%             | 2035-08-12      | Fixed         | 6.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $2441.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-R2                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 R2 B 144A      | CUSIP: 69544VAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $601538.16    | 0.33%             | 2032-10-15      | Fixed         | 5.30%                 | 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        |   5100000 | NC      | $1090.89      | 0.00%             |  |  |  | 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        |  15300000 | PA      | $870381.30    | 0.48%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $8644.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/40 4.5           | CUSIP: 694308JQ1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $87067.62     | 0.05%             | 2040-07-01      | Fixed         | 4.50%                 | 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        |     11259 | PA      | $11553.41     | 0.01%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $168.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BCAP LLC TRUST 2010-RR11                                          | BCAP LLC TRUST BCAP 2010 RR11 5A3 144A                  | CUSIP: 05533JBE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    124855 | PA      | $107196.62    | 0.06%             | 2037-03-27      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $677.39       | 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      | $-3752.54     | -0.00%            |  |  |  | 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        |  14900000 | PA      | $818438.80    | 0.45%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-41105.70    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-851.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1LA4 PIMCO SWAPTION 3.317 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    100000 | NC      | $1243.47      | 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      | $150.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-20626.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.25000 12/20/23-2Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1953.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 683047 FN 02/33 FIXED 5.5                     | CUSIP: 31400BZL3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        52 | PA      | $54.26        | 0.00%             | 2033-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZCA1 PIMCO SWAPTION 4.082 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -5200000 | NC      | $-10.92       | -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      | $2729.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.58000 08/29/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $363.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2007-96                                                | FANNIE MAE FNR 2007 96 AF                               | CUSIP: 31396XNT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5713 | PA      | $5724.43      | 0.00%             | 2037-06-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $1626.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RA8521 FR 02/53 FIXED 5               | CUSIP: 3133KQPE0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    266698 | PA      | $265803.31    | 0.15%             | 2053-02-01      | Fixed         | 5.00%                 | 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      | $-16293.30    | -0.01%            |  |  |  | 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        |  33240000 | PA      | $34354867.61  | 18.91%            | 2054-10-15      | Fixed         | 6.50%                 | 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      | $-630.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.4525 07/20/22-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $19434.51     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD2612 FN 11/36 FIXED 5.5                     | CUSIP: 31418P3W3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3109 | PA      | $3182.27      | 0.00%             | 2036-11-01      | Fixed         | 5.50%                 | 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        |   2500000 | PA      | $142887.96    | 0.08%             | 2032-03-31      | Fixed         | 8.25%                 | 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        |    200000 | PA      | $203011.03    | 0.11%             | 2029-03-08      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-56.63       | -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      | $17.01        | 0.00%             |  |  |  | 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        |   2550000 | PA      | $2403024.27   | 1.32%             | 2055-11-13      | Fixed         | 4.00%                 | 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        |     24374 | PA      | $22678.04     | 0.01%             | 2047-12-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-1477.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-6395.65     | -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        |     13870 | PA      | $12841.80     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 762433 FN 01/34 FIXED 5.5                     | CUSIP: 31404ABA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        59 | PA      | $59.69        | 0.00%             | 2034-01-01      | 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      | $1272.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                   | BEAR STEARNS ALT A TRUST BALTA 2006 8 3A1               | CUSIP: 07387QAX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3295 | PA      | $3120.76      | 0.00%             | 2034-02-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BH2668 FN 09/47 FIXED 3.5                     | CUSIP: 3140GQ6E1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     52205 | PA      | $48397.19     | 0.03%             | 2047-09-01      | Fixed         | 3.50%                 | 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        |     24697 | PA      | $26039.92     | 0.01%             | 2040-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G03812 FG 02/38 FIXED 5.5             | CUSIP: 3128M5R93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       168 | PA      | $174.06       | 0.00%             | 2038-02-01      | 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      | $759.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 889697 FN 07/38 FIXED VAR                     | CUSIP: 31410KNN0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       396 | PA      | $418.04       | 0.00%             | 2038-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-652.21      | -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      | $-3242.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-25698.78    | -0.01%            |  |  |  | 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        |     28254 | PA      | $29334.21     | 0.02%             | 2041-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO SHORT ASSET PORTFOLIO MUTUAL FUND                 | CUSIP: 000000000<br>LEI: 549300F9QJIJF2GM8419 | Long             | STIV             | RF                | US        |   1121117 | PA      | $10999276.40  | 6.05%             |  |  |  | No            |                  1 | 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        |    800847 | PA      | $619494.07    | 0.34%             | 2036-09-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.25000 11/06/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-7968.10     | -0.00%            |  |  |  | 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        |     26757 | PA      | $26797.60     | 0.01%             | 2033-10-20      | Fixed         | 6.96%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 717099 GN 05/39 FIXED 5                       | CUSIP: 3620A2UY0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9664 | PA      | $9916.09      | 0.01%             | 2039-05-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $618.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIBANK NA                                                       | CITIBANK NA CITIBANK NA                                 | CUSIP: 17325FBK3<br>LEI: E57ODZWZ7FF32TWEFA76 | Long             | DBT              | CORP              | US        |    200000 | PA      | $204907.73    | 0.11%             | 2029-08-06      | Fixed         | 4.84%                 | 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      | $-3249.82     | -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      | $9.52         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1DA3 PIMCO SWAPTION 3.038 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    200000 | NC      | $1412.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5517                                           | FREDDIE MAC FHR 5517 FH                                 | CUSIP: 3137HKGL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1272217 | PA      | $1281664.90   | 0.71%             | 2055-03-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2008-20L                          | SMALL BUSINESS ADMINISTRATION SBAP 2008 20L 1           | CUSIP: 83162CSE4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       511 | PA      | $523.48       | 0.00%             | 2028-12-01      | Fixed         | 6.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US LONG BOND(CBT) DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -1 | NC      | $-2688.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 994431 FN 12/38 FIXED 6                       | CUSIP: 31416AVY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1368 | PA      | $1397.78      | 0.00%             | 2038-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIH2 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   4600000 | NC      | $4623.00      | 0.00%             |  |  |  | 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      | $2012.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AJ5470 GN 09/44 FIXED 3.5                     | CUSIP: 36183BCF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     31392 | PA      | $29362.89     | 0.02%             | 2044-09-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0IA0 PIMCO SWAPTION 2.995 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    200000 | NC      | $1278.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RH75 PIMCO FXVAN CALL USD HKD 7.80000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |   3200000 | NC      | $3238.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $24141.24     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| TRALEE CLO VI LTD 2019 6A                                         | TRALEE CDO LTD TRAL 2019 6A AJR 144A                    | CUSIP: 89289EBA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    400000 | PA      | $401260.26    | 0.22%             | 2032-10-25      | Floating      | 6.08%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-76                             | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 76 2A1        | CUSIP: 12668BDE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3982 | PA      | $3656.78      | 0.00%             | 2036-02-25      | Floating      | 5.15%                 | 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        |  -5400000 | PA      | $-4550321.34  | -2.50%            | 2055-10-14      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $319.46       | 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      | $283.64       | 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      | $-151.67      | -0.00%            |  |  |  | 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        |    200000 | PA      | $202346.31    | 0.11%             | 2031-07-08      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1093.06      | 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      | $378.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2012-H31                 | GOVERNMENT NATIONAL MORTGAGE A GNR 2012 H31 FT          | CUSIP: 38375BC59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     23130 | PA      | $23070.08     | 0.01%             | 2062-11-20      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $191.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                | SOUTHERN CAL EDISON 1ST MORTGAGE 06/29 5.15             | CUSIP: 842400JC8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    400000 | PA      | $407058.46    | 0.22%             | 2029-06-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $1223.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $91.02        | 0.00%             |  |  |  | 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        |   3600000 | NC      | $3438.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735480 FN 04/35 FIXED VAR                     | CUSIP: 31402RCR8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       603 | PA      | $627.04       | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RDK0 OTC EPUT FN 5.5 OCT25 97.976563 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   8700000 | NC      | $0.09         | 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      | $65.91        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4544 FN 08/30 FIXED 4.56                    | CUSIP: 3140Q0BN1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2500000 | PA      | $2547085.28   | 1.40%             | 2030-08-01      | Fixed         | 4.56%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-11T1                           | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 11T1 A12      | CUSIP: 02150GAN8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    540999 | PA      | $164592.38    | 0.09%             | 2037-05-25      | Floating      | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA80A2 PIMCO FPPSWAPTION 4.693 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    900000 | NC      | $46187.55     | 0.03%             |  |  |  | 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        |   4970000 | PA      | $4937821.39   | 2.72%             | 2054-11-15      | 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      | $-816.31      | -0.00%            |  |  |  | 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        |   5400000 | NC      | $3464.10      | 0.00%             |  |  |  | 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        |  -9640000 | PA      | $-8805967.73  | -4.85%            | 2055-11-13      | Fixed         | 3.50%                 | 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        |      1418 | PA      | $680.66       | 0.00%             | 2035-05-25      | Variable      | 5.48%                 | 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        |       889 | PA      | $881.31       | 0.00%             | 2037-07-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-742.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20251107                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $390.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST IV 2022-1A               | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2022 1A A 144A       | CUSIP: 76089EAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    129862 | PA      | $130735.97    | 0.07%             | 2030-09-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | MEXICAN UDIBONOS BONDS 08/34 4                          | CUSIP: ACI2NBJY7<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   2394187 | PA      | $125229.57    | 0.07%             | 2034-08-24      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RDL8 OTC EPUT FN 5.5 OCT25 97.960938 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1700000 | NC      | $0.02         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.89000 03/03/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-1818.12     | -0.00%            |  |  |  | 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        |    900000 | PA      | $904850.14    | 0.50%             | 2029-10-01      | Variable      | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3QA5 PIMCO FPPSWAPTION 4.656 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    600000 | NC      | $31252.08     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $2028.35      | 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      | $2929.24      | 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      | $12303.83     | 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      | $-1835.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                      | UBS GROUP AG SR UNSECURED 144A 05/28 4.751              | CUSIP: 902613AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    400000 | PA      | $403511.72    | 0.22%             | 2028-05-12      | Floating      | 4.75%                 | 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        |  -3700000 | NC      | $-289.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 689115 FN 02/33 FIXED 5.5                     | CUSIP: 31400JSC4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        39 | PA      | $39.17        | 0.00%             | 2033-02-01      | 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      | $1043.14      | 0.00%             |  |  |  | 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        |     93749 | PA      | $92839.43     | 0.05%             | 2030-03-25      | Fixed         | 2.65%                 | 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        |  -1800000 | NC      | $-1144.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVIS BUDGET RENTAL CAR FUNDING AESOP 2023-7A LLC                  | AVIS BUDGET RENTAL CAR FUNDING AESOP 2023 7A A 144A     | CUSIP: 05377RHL1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    400000 | PA      | $411277.56    | 0.23%             | 2028-08-21      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1487.76      | 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      | $-1248.86     | -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      | $-115.39      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2017-4                                  | TOWD POINT MORTGAGE TRUST TPMT 2017 4 A1 144A           | CUSIP: 89173UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    361087 | PA      | $354080.04    | 0.19%             | 2057-06-25      | Variable      | 2.75%                 | 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        |    770000 | PA      | $766469.78    | 0.42%             | 2035-12-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $822.73       | 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      | $4082.35      | 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      | $1609.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-15.84       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-8855.52     | -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        |  -4100000 | NC      | $-6.56        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 04/53 6.7           | CUSIP: 694308KK2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    500000 | PA      | $535298.52    | 0.29%             | 2053-04-01      | Fixed         | 6.70%                 | 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      | $21066.21     | 0.01%             |  |  |  | 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        |    171513 | PA      | $152114.74    | 0.08%             | 2037-01-25      | Floating      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $58.55        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2012-31                                         | FANNIE MAE FNR 2012 31 NL                               | CUSIP: 3136A5JJ6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    426028 | PA      | $416200.18    | 0.23%             | 2042-04-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $156.20       | 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        |    494724 | PA      | $470760.28    | 0.26%             | 2054-07-25      | Floating      | 2.87%                 | 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        |     31914 | PA      | $29629.81     | 0.02%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL5242 GN 02/45 FIXED 3.5                     | CUSIP: 36184BZF7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7213 | PA      | $6746.28      | 0.00%             | 2045-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-1137.26     | -0.00%            |  |  |  | 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        |     94891 | PA      | $93942.20     | 0.05%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QA7                               | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QA7 2A1        | CUSIP: 751152AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57754 | PA      | $52661.70     | 0.03%             | 2036-08-25      | Floating      | 4.64%                 | 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        |     22874 | PA      | $21190.62     | 0.01%             | 2048-08-01      | Fixed         | 3.50%                 | 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        |    100000 | NC      | $1050.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LIMITED                                | CANADIAN NATURAL RESOU                                  | CUSIP: 13638WXN7<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1824956.34   | 1.00%             | 2025-10-22      | None          | 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      | $-201.88      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $158.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                             | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 4A1           | CUSIP: 92977YBR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     14477 | PA      | $13975.56     | 0.01%             | 2035-10-20      | Floating      | 7.28%                 | 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      | $1823.58      | 0.00%             |  |  |  | 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        |   2088740 | PA      | $2156516.58   | 1.19%             | 2029-04-15      | Fixed         | 2.12%                 | 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        |    100000 | NC      | $1269.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2019-2 DAC 19-2A                                 | CARLYLE EURO CLO CGMSE 2019 2A A1R 144A                 | CUSIP: ACI1ZPM05<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    543105 | PA      | $638320.02    | 0.35%             | 2032-08-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-229.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.40000 04/09/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-553.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-27940.81    | -0.02%            |  |  |  | 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        |   6900000 | NC      | $0.07         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888209 FN 05/36 FIXED VAR                     | CUSIP: 31410FYE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       116 | PA      | $120.36       | 0.00%             | 2036-05-01      | 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        |        80 | PA      | $78.36        | 0.00%             | 2035-02-25      | Floating      | 5.58%                 | 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      | $-3069.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2007-FM1                                              | GSAMP TRUST GSAMP 2007 FM1 A2A                          | CUSIP: 3622MAAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      3722 | PA      | $1842.71      | 0.00%             | 2036-12-25      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR27                           | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR27 1A3       | CUSIP: 45661LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    135726 | PA      | $53337.80     | 0.03%             | 2036-10-25      | Floating      | 4.81%                 | 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        |   3360000 | PA      | $3257074.09   | 1.79%             | 2055-11-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/44 4.625                             | CUSIP: 912810UB2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2000000 | PA      | $1985859.38   | 1.09%             | 2044-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $1932.99      | 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        |   7800000 | PA      | $184608.46    | 0.10%             | 2028-05-17      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 838545 FN 10/35 FIXED 5.5                     | CUSIP: 31407RTA2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        94 | PA      | $97.31        | 0.00%             | 2035-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | NDDUEAFE TRS EQUITY FEDL01+31.5 *BULLET*                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $13524974.64  | 7.44%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | MEXICAN UDIBONOS BONDS 12/26 3                          | CUSIP: ACI24R197<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    855067 | PA      | $46325.40     | 0.03%             | 2026-12-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CB9448 FN 11/54 FIXED 4.5                     | CUSIP: 3140QVQA5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    283231 | PA      | $279036.74    | 0.15%             | 2054-11-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-2792.48     | -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      | $-5.71        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20251204                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $1119.50      | 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      | $1471.30      | 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      | $-1.37        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.86000 11/14/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2895.21      | 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      | $-993.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 865952 FN 03/36 FIXED 5.5                     | CUSIP: 31409BBV8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1437 | PA      | $1496.24      | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| HCA INC                                                           | HCA INC DISC COML PAPER 4/A2 Y 10/25 ZCP                | CUSIP: 40412BXP3<br>LEI: L3CJ6J7LJ2DX62FTXD46 | Long             | DBT              | CORP              | US        |   1810000 | PA      | $1804649.82   | 0.99%             | 2025-10-23      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ATHENE GLOBAL FUNDING                                             | ATHENE GLOBAL FUNDING SECURED 144A 07/30 5.033          | CUSIP: 04685A4R9<br>LEI: 549300LM1QSI4MSIL320 | Long             | DBT              | CORP              | US        |    800000 | PA      | $813199.90    | 0.45%             | 2030-07-17      | Fixed         | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $2839.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AD2336 GN 04/43 FIXED 3.5                     | CUSIP: 36180DSZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5473 | PA      | $5119.32      | 0.00%             | 2043-04-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO III DAC 3A                                       | INVESCO EURO CLO INVSC 3A AR                            | CUSIP: ACI2Q9953<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $587602.61    | 0.32%             | 2038-10-30      | Floating      | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $132.36       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.00000 06/21/23-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $245701.50    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-27177.03    | -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      | $1610.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9YOA1 PIMCO SWAPTION 4.255 PUT USD 2026080          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2200000 | NC      | $20524.90     | 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      | $-93.32       | -0.00%            |  |  |  | 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        |     31322 | PA      | $29100.60     | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-105.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $5880.84      | 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      | $738.02       | 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        |   3780000 | PA      | $3808924.71   | 2.10%             | 2054-11-15      | 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      | $4337.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1FA1 PIMCO FPPSWAPTION 4.52 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1200000 | NC      | $72357.60     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL7225 GN 05/45 FIXED 3.5                     | CUSIP: 36184EA27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       890 | PA      | $832.08       | 0.00%             | 2045-05-15      | Fixed         | 3.50%                 | 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        |    411280 | PA      | $483688.77    | 0.27%             | 2034-10-23      | Floating      | 3.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-4359.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0484 FN 12/38 FIXED VAR                     | CUSIP: 31419ARE9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       278 | PA      | $285.12       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2025-N1                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2025 N1 B 144A     | CUSIP: 14688XAD9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $503458.75    | 0.28%             | 2031-05-12      | Fixed         | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $372.52       | 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      | $1879.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE TRUST-2005-11AR                           | MORGAN STANLEY MORTGAGE LOAN T MSM 2005 11AR A1         | CUSIP: 61748HTG6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    235943 | PA      | $125920.22    | 0.07%             | 2036-01-25      | Floating      | 4.55%                 | 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      | $-1955.36     | -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      | $-3993.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 984277 FN 06/38 FIXED 5.5                     | CUSIP: 31415MM28<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1683 | PA      | $1744.09      | 0.00%             | 2038-06-01      | Fixed         | 5.50%                 | 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        |    731729 | PA      | $693030.86    | 0.38%             | 2036-01-25      | Floating      | 4.81%                 | 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        |    150645 | PA      | $140396.92    | 0.08%             | 2048-01-01      | 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      | $100115.90    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-1019.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RIG4 PIMCO FXVAN CALL USD HKD 7.85000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |  -4600000 | NC      | $-2925.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA3RA4 PIMCO FPPSWAPTION 4.656 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    600000 | NC      | $38979.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-534.73      | -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      | $868.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 3.815       | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $195141.08    | 0.11%             | 2027-11-02      | Fixed         | 3.81%                 | 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      | $-373.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2005-SD2                                      | ACE SECURITIES CORP. ACE 2005 SD2 M4                    | CUSIP: 004421QH9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    691000 | PA      | $652003.00    | 0.36%             | 2040-08-25      | Floating      | 8.77%                 | 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        |   1866622 | PA      | $861204.00    | 0.47%             | 2037-01-25      | Floating      | 4.40%                 | 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        |   2100000 | NC      | $6979.77      | 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      | $-1038.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-2900.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM8586 GN 06/45 FIXED 3.5                     | CUSIP: 36185BRF5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7088 | PA      | $6629.67      | 0.00%             | 2045-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                             | AREIT CRE TRUST AREIT 2022 CRE7 A 144A                  | CUSIP: 00217VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1125905 | PA      | $1127912.62   | 0.62%             | 2039-06-17      | Floating      | 6.38%                 | 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      | $17600.74     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-580.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y4A3 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2300000 | NC      | $135979.91    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929952 FN 08/36 FIXED 5.5                     | CUSIP: 31412NEZ5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     15050 | PA      | $15620.05     | 0.01%             | 2036-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-658.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CAD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $-556.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-1                                       | PAGAYA AI DEBT SELECTION TRUST PAID 2025 1 B 144A       | CUSIP: 69544NAC1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    499957 | PA      | $505750.67    | 0.28%             | 2032-07-15      | Fixed         | 5.63%                 | 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      | $-2561.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | INF SWAP US IT 2.52 03/27/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $13653.63     | 0.01%             |  |  |  | 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        |    271414 | PA      | $193958.58    | 0.11%             | 2037-04-25      | Floating      | 4.49%                 | 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        |   5600000 | PA      | $325435.55    | 0.18%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 678870 FN 01/33 FIXED 5.5                     | CUSIP: 31391WFK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        80 | PA      | $81.48        | 0.00%             | 2033-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-70                                         | FANNIE MAE FNR 2025 70 CF                               | CUSIP: 3136BXKF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1690470 | PA      | $1704293.77   | 0.94%             | 2055-09-25      | Floating      | 5.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-8517.28     | -0.00%            |  |  |  | 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        |       -99 | NC      | $-11034.84    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NAVIENT STUDENT LOAN TRUST 2020-IA                                | NAVIENT STUDENT LOAN TRUST NAVSL 2020 IA A1A 144A       | CUSIP: 63942AAA4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    394884 | PA      | $366261.81    | 0.20%             | 2069-04-15      | Fixed         | 1.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-2222.27     | -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      | $-85.02       | -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      | $-62.33       | -0.00%            |  |  |  | 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      | $-4117.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 745343 FN 03/36 FIXED VAR                     | CUSIP: 31403DBL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        91 | PA      | $95.10        | 0.00%             | 2036-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 954876 FN 11/37 FIXED 6                       | CUSIP: 31413TJV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        76 | PA      | $79.45        | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251219                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-8932.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-56581.66    | -0.03%            |  |  |  | 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      | $290542.36    | 0.16%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-590.55      | -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      | $-10903.51    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.09000 01/22/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3510.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $1107.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.70000 02/20/24-25Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $78048.82     | 0.04%             |  |  |  | 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      | $-281165.52   | -0.15%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG44 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-29894.75    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $3802.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FS2937 FN 04/43 FIXED VAR                     | CUSIP: 3140XJHP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1935370 | PA      | $1883350.47   | 1.04%             | 2043-04-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $367.14       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $178.61       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM2750 GN 04/45 FIXED 3.5                     | CUSIP: 36184NBT7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     42318 | PA      | $39581.41     | 0.02%             | 2045-04-15      | Fixed         | 3.50%                 | 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      | $12761.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-1360.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-32143.32    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 735136 FN 01/35 FIXED VAR                     | CUSIP: 31402QV57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1626 | PA      | $1638.80      | 0.00%             | 2035-01-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NOK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |         1 | NC      | $-242.07      | -0.00%            |  |  |  | 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      | $20030.53     | 0.01%             |  |  |  | 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      | $-8225.27     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 845341 FN 01/36 FIXED 5.5                     | CUSIP: 31408AEN6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        96 | PA      | $99.45        | 0.00%             | 2036-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-456.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 06/15/22-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1635761.78   | 0.90%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $950.53       | 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        |    637479 | PA      | $638568.38    | 0.35%             | 2054-11-25      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $1662.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/1.75000 06/15/22-30Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $74913.46     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR11                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR11 3A1A      | CUSIP: 93363TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    545352 | PA      | $502863.36    | 0.28%             | 2046-09-25      | Floating      | 5.07%                 | 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      | $1858.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N3                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N3 E 144A     | CUSIP: 14687GAF2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    785385 | PA      | $763192.68    | 0.42%             | 2028-06-12      | Fixed         | 3.16%                 | 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        |    200000 | NC      | $1506.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                      | BARCLAYS PLC SR UNSECURED 11/33 VAR                     | CUSIP: 06738ECE3<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    300000 | PA      | $344323.77    | 0.19%             | 2033-11-02      | Floating      | 7.44%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-AR3                               | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 AR3 1A1A       | CUSIP: 17306SAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     16510 | PA      | $15634.68     | 0.01%             | 2036-06-25      | Floating      | 5.65%                 | 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        |    100000 | PA      | $79478.15     | 0.04%             | 2048-02-12      | Fixed         | 6.35%                 | 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      | $-2661.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VICI PROPERTIES LP                                                | VICI PROPERTIES LP SR UNSECURED 02/28 4.75              | CUSIP: 925650AB9<br>LEI: 254900X4QE7SGKQLLN38 | Long             | DBT              | CORP              | US        |    400000 | PA      | $403444.57    | 0.22%             | 2028-02-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA81A1 PIMCO FPPSWAPTION 4.693 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    900000 | NC      | $59639.94     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2007-OA7                          | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OA7 A1A       | CUSIP: 126680AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     36995 | PA      | $34363.64     | 0.02%             | 2047-05-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $6070.65      | 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      | $1038.48      | 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      | $634.28       | 0.00%             |  |  |  | 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        |     24378 | PA      | $22570.64     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5IA9 PIMCO FPPSWAPTION 3.1625 PUT USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | 124100000 | NC      | $565970.46    | 0.31%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 887398 FN 07/36 FIXED 6                       | CUSIP: 31410E3F3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       499 | PA      | $515.06       | 0.00%             | 2036-07-01      | Fixed         | 6.00%                 | 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        |     20603 | PA      | $19086.98     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $107.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.84000 01/08/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1340.44      | 0.00%             |  |  |  | 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      | $-53421.71    | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $77.50        | 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        |   1800000 | NC      | $1809.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.45000 05/05/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1999.47      | 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        |    206712 | PA      | $65984.38     | 0.04%             | 2036-11-25      | Variable      | 5.59%                 | 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        |     11980 | PA      | $12323.18     | 0.01%             | 2034-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-8234.19     | -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        |   1300000 | PA      | $1300430.46   | 0.72%             | 2037-02-19      | Floating      | 5.88%                 | 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        |    475749 | PA      | $456091.69    | 0.25%             | 2035-02-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.97000 12/15/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-5240.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BANK OF AMERICA CORPORATION SNR S* ICE                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $835.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-85.94       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.9255 05/08/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-624.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2007-2                                   | BEAR STEARNS ALT A TRUST BALTA 2007 2 1A1               | CUSIP: 073870AA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    174706 | PA      | $156533.40    | 0.09%             | 2037-04-25      | Floating      | 4.61%                 | 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        |   1600000 | PA      | $1446687.50   | 0.80%             | 2053-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A3       | CUSIP: 83612TAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    436014 | PA      | $291079.27    | 0.16%             | 2037-06-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZLA1 PIMCO SWAPTION 4.086 PUT USD 2025100          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |  -6300000 | NC      | $-11.97       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AA7176 FN 05/39 FIXED 4.5                     | CUSIP: 31416Q6N0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       957 | PA      | $964.48       | 0.00%             | 2039-05-01      | Fixed         | 4.50%                 | 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        |      3025 | PA      | $3007.95      | 0.00%             | 2035-09-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-8424.09     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.88000 01/13/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1684.58      | 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      | $364.72       | 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      | $-6778.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 13.9271 05/08/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-6927.93     | -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      | $979.89       | 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      | $3604.94      | 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      | $-557.24      | -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        |     28117 | PA      | $26104.45     | 0.01%             | 2048-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | US 5YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       265 | NC      | $-35685.28    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $5049.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95           | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    881000 | PA      | $281045.61    | 0.15%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y6A1 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1500000 | NC      | $88682.55     | 0.05%             |  |  |  | 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        |    200000 | NC      | $1190.16      | 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        |    600000 | NC      | $34316.58     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $93.29        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CITIGROUP REPO REPO                     5807            | CUSIP: 000000000<br>LEI: N/A                  | Long             | RA               |  | US        |   2500000 | PA      | $2500000.00   | 1.38%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $132.17       | 0.00%             |  |  |  | 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        |   5500000 | NC      | $132.00       | 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      | $-7774.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/18/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-25403.12    | -0.01%            |  |  |  | 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        |   4020000 | PA      | $3899770.72   | 2.15%             | 2055-10-14      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-279.18      | -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      | $-1350.71     | -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      | $11301.59     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-310.72      | -0.00%            |  |  |  | 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        |    794970 | PA      | $730321.77    | 0.40%             | 2035-11-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-969.89      | -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      | $624.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AREIT TRUST 2022-CRE7                                             | AREIT CRE TRUST AREIT 2022 CRE7 AS 144A                 | CUSIP: 00217VAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1300000 | PA      | $1302358.40   | 0.72%             | 2039-06-17      | Floating      | 6.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $22.36        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-513.37      | -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        |   2100000 | NC      | $131965.05    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLUB CAPITAL PARTNERS CLO 50B LTD                                | GOLUB CAPITAL PARTNERS CLO, LT GCBSL 2020 50A BR2 144A  | CUSIP: 38178DAU1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    500000 | PA      | $500005.64    | 0.28%             | 2035-04-20      | Floating      | 5.83%                 | 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      | $-1649.51     | -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      | $-7946.37     | -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      | $3186.78      | 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      | $-4628.11     | -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      | $0.00         | 0.00%             |  |  |  | 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        |   3200000 | PA      | $170732.14    | 0.09%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO LTD 2025-1                                           | SUNBIT ASSET SECURITIZATION TR SUNBT 2025 1 A 144A      | CUSIP: 86709SAA9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    500000 | PA      | $502435.90    | 0.28%             | 2030-07-15      | Fixed         | 5.36%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526A5<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -3000000 | PA      | $-3025182.66  | -1.66%            | 2054-10-15      | 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      | $4095.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0WA4 PIMCO FPPSWAPTION 4.485 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    600000 | NC      | $35475.54     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ALBACORE EURO CLO I DAC A                                         | ALBACORE EURO CLO ALBAC 1A AR 144A                      | CUSIP: ACI2MJBJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    700000 | PA      | $822869.74    | 0.45%             | 2034-10-18      | Floating      | 3.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260302                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-3277.57     | -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      | $4615.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.93000 03/24/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-4354.20     | -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      | $-168.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9YMA3 PIMCO SWAPTION 3.255 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2500000 | NC      | $26838.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR ULTRA FUT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        20 | NC      | $32263.42     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ILS SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $760.40       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 31750RDM6 OTC EPUT FN 5.5 OCT25 97.945313 PUT           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   8700000 | NC      | $0.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LUMINENT MORTGAGE TRUST 2006-6                                    | LUMINENT MORTGAGE TRUST LUM 2006 6 A1                   | CUSIP: 55027YAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1996942 | PA      | $1833667.03   | 1.01%             | 2046-10-25      | Floating      | 4.67%                 | 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        |    100000 | NC      | $1067.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-79161.95    | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $203.74       | 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      | $-11060.63    | -0.01%            |  |  |  | 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        |  -2300000 | NC      | $-10718.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 831102 FN 11/35 FIXED 5.5                     | CUSIP: 31407HKP0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       789 | PA      | $818.63       | 0.00%             | 2035-11-01      | 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      | $-1122.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.67000 04/03/24-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-691.58      | -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      | $3956.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-15885.62    | -0.01%            |  |  |  | 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        |   2200000 | NC      | $38351.72     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $484.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.50000 12/20/23-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $13188.37     | 0.01%             |  |  |  | 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      | $4704.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS AUD 4.50000 09/20/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         1 | NC      | $86499.68     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 10YR NOTE (CBT)DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -15 | NC      | $15335.66     | 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      | $-1813.27     | -0.00%            |  |  |  | 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        |    600000 | PA      | $618953.23    | 0.34%             | 2031-04-23      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALT LOAN TRUST 2006-OA22                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA22 A1       | CUSIP: 23245PAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      5983 | PA      | $5897.22      | 0.00%             | 2047-02-25      | Floating      | 4.59%                 | 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      | $-72793.24    | -0.04%            |  |  |  | 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        |  -1810000 | NC      | $-46886.24    | -0.03%            |  |  |  | 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      | $104131.15    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD DKK BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-128.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | NDDUEAFE TRS EQUITY SOFR+19 ULO                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $58212.55     | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                               | DOMINION RESOURCES                                      | CUSIP: 2574P0X33<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |    760000 | PA      | $759733.54    | 0.42%             | 2025-10-03      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                   | BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1               | CUSIP: 07387QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    193506 | PA      | $178158.74    | 0.10%             | 2046-06-25      | Floating      | 4.59%                 | 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        |     12699 | PA      | $10001.27     | 0.01%             | 2035-09-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2018-3                                  | TOWD POINT MORTGAGE TRUST TPMT 2018 3 A1 144A           | CUSIP: 89175MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    301429 | PA      | $296935.17    | 0.16%             | 2058-05-25      | Variable      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $911.59       | 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      | $-0.13        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 190346 FN 12/33 FIXED VAR                     | CUSIP: 31368HL35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        38 | PA      | $39.23        | 0.00%             | 2033-12-01      | Fixed         | 5.50%                 | 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        |    500000 | NC      | $1118.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL EURO CLO 2022-2 DAC 22-2A                            | BAIN CAPITAL EURO CLO BCCE 2022 2A ARR 144A             | CUSIP: ACI2ZP3K0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    400000 | PA      | $471117.65    | 0.26%             | 2038-01-22      | Floating      | 3.27%                 | 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        |   3400000 | PA      | $948509.96    | 0.52%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-1712.08     | -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      | $-1485.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $159.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL BZ4146 FN 06/32 FIXED 5.14                    | CUSIP: 3140NYTC5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3069000 | PA      | $3196670.77   | 1.76%             | 2032-06-01      | Fixed         | 5.14%                 | 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      | $323133.11    | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR GBP SONIO/3.93000 01/06/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |         1 | NC      | $-2282.79     | -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      | $3678.78      | 0.00%             |  |  |  | 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        |    239076 | PA      | $239053.78    | 0.13%             | 2051-07-25      | Variable      | 5.74%                 | 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        |   2600000 | NC      | $92.82        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $0.09         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STWD 2022-FL3 LTD                                                 | STARWOOD COMMERCIAL MORTGAGE T STWD 2022 FL3 AS 144A    | CUSIP: 78485KAE5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   2000000 | PA      | $1996422.66   | 1.10%             | 2038-11-15      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR2                             | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR2 2A1        | CUSIP: 86363DAH4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2844 | PA      | $1082.61      | 0.00%             | 2037-03-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-1071.07     | -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      | $84.07        | 0.00%             |  |  |  | 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        |   1540000 | PA      | $1493159.99   | 0.82%             | 2055-11-13      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE2                               | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE2 A2C        | CUSIP: 59024LAD3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1830951 | PA      | $516140.91    | 0.28%             | 2037-02-25      | Floating      | 4.79%                 | 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        |       545 | PA      | $567.45       | 0.00%             | 2038-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 995651 FN 11/37 FIXED VAR                     | CUSIP: 31416CBU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       682 | PA      | $714.85       | 0.00%             | 2037-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT GBP SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $3801.12      | 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      | $1808.07      | 0.00%             |  |  |  | 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        |    812749 | PA      | $815372.21    | 0.45%             | 2062-09-25      | Fixed         | 9.17%                 | 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        |  13200000 | PA      | $4030314.08   | 2.22%             | 2032-08-12      | Fixed         | 6.15%                 | 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        |    100000 | NC      | $998.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/17/25-7Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-27258.99    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AM0248 GN 03/45 FIXED 3.5                     | CUSIP: 36184KHZ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     21849 | PA      | $20435.74     | 0.01%             | 2045-03-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0626B2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    450000 | PA      | $465356.64    | 0.26%             | 2054-11-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-690.60      | -0.00%            |  |  |  | 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      | $-1379.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251210                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-10460.16    | -0.01%            |  |  |  | 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        | -10800000 | NC      | $-4551.77     | -0.00%            |  |  |  | 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    | 0.12%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-683.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD AUD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |         1 | NC      | $-1725.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 865283 FN 02/36 FIXED 5.5                     | CUSIP: 31409AJ42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1346 | PA      | $1396.82      | 0.00%             | 2036-02-01      | 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      | $1011.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AN8471 GN 06/45 FIXED 3.5                     | CUSIP: 36186SMU9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     28402 | PA      | $26302.46     | 0.01%             | 2045-06-15      | Fixed         | 3.50%                 | 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        |   2100000 | NC      | $16465.26     | 0.01%             |  |  |  | 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        |    499947 | PA      | $502662.35    | 0.28%             | 2032-10-15      | Fixed         | 5.33%                 | 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        |   1823215 | PA      | $911749.59    | 0.50%             | 2046-10-25      | Floating      | 4.46%                 | 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        |      1256 | PA      | $1211.48      | 0.00%             | 2034-11-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $2617.56      | 0.00%             |  |  |  | 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        |    372996 | PA      | $225300.06    | 0.12%             | 2037-05-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD7399 FR 12/54 FIXED 4.5             | CUSIP: 3132DVGG4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1075494 | PA      | $1052121.38   | 0.58%             | 2054-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 555876 FN 10/33 FIXED VAR                     | CUSIP: 31385XQ59<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       151 | PA      | $154.42       | 0.00%             | 2033-10-01      | Fixed         | 5.50%                 | 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        |  27620000 | PA      | $1269528.43   | 0.70%             | 2036-03-31      | Fixed         | 6.25%                 | 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      | $-43889.43    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-556.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE0616 FN 03/40 FIXED VAR                     | CUSIP: 31419AVJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      8839 | PA      | $9316.55      | 0.01%             | 2040-03-01      | Fixed         | 6.00%                 | 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        |       253 | PA      | $266.62       | 0.00%             | 2039-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 929308 FN 04/38 FIXED 5.5                     | CUSIP: 31412MNZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       184 | PA      | $190.35       | 0.00%             | 2038-04-01      | 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      | $-7866.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $15.31        | 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      | $-5.17        | -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      | $-159.51      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AH9708 FN 04/41 FIXED 4.5                     | CUSIP: 3138ABYE3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2868 | PA      | $2871.27      | 0.00%             | 2041-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-68                                         | FANNIE MAE FNR 2025 68 FA                               | CUSIP: 3136BWL46<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1264426 | PA      | $1268595.18   | 0.70%             | 2055-08-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 985678 FN 10/36 FIXED 5.5                     | CUSIP: 31415P6P8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     16333 | PA      | $17002.99     | 0.01%             | 2036-10-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-HY3                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 HY3 1A1       | CUSIP: 02148DAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    860757 | PA      | $683620.44    | 0.38%             | 2047-03-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| UPSTART STRUCTURED PASS-THROUGH TRUST 2022-2A                     | UPSTART STRUCTURED PASS THROUG USPTT 2022 2A A 144A     | CUSIP: 91680YAY7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     34793 | PA      | $34667.72     | 0.02%             | 2030-06-17      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.10000 01/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $3595.71      | 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      | $-431.81      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2005-QO2                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2005 QO2 A1         | CUSIP: 761118HU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4322 | PA      | $3692.43      | 0.00%             | 2045-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 12/20/23-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-5690.84     | -0.00%            |  |  |  | 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      | $800927.34    | 0.44%             |  |  |  | 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        |    285531 | PA      | $112739.79    | 0.06%             | 2036-07-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 792905 GN 01/42 FIXED 3.5                     | CUSIP: 36177MGP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3166 | PA      | $2973.28      | 0.00%             | 2042-01-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $1843.70      | 0.00%             |  |  |  | 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        |   2570000 | PA      | $2587721.18   | 1.42%             | 2054-11-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 887582 FN 07/36 FIXED 5.5                     | CUSIP: 31410FCT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       539 | PA      | $555.38       | 0.00%             | 2036-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PRKCM 2023-AFC3 TRUST                                             | PRKCM TRUST PRKCM 2023 AFC3 A1 144A                     | CUSIP: 693984AA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    437326 | PA      | $441913.76    | 0.24%             | 2058-09-25      | Variable      | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-6029.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2007-2F                                   | GSR MORTGAGE LOAN TRUST GSR 2007 2F 3A3                 | CUSIP: 362636AT9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      1094 | PA      | $542.90       | 0.00%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 3.14800 11/20/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-6942.81     | -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      | $3195.71      | 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        |  -2600000 | NC      | $-5384.34     | -0.00%            |  |  |  | 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        |  18290000 | PA      | $18687696.30  | 10.28%            | 2054-10-15      | 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      | $145.07       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TCI-SYMPHONY CLO LTD 2016-1A                                      | TCI SYMPHONY CLO TSYMP 2016 1A BR2 144A                 | CUSIP: 87229WAS0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |   1000000 | PA      | $1002234.60   | 0.55%             | 2032-10-13      | Floating      | 6.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y3A4 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2300000 | NC      | $128437.06    | 0.07%             |  |  |  | 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        |   2700000 | PA      | $2716664.08   | 1.49%             | 2030-07-31      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $2153.48      | 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      | $-7051.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                     | ARGENT SECURITIES INC. ARSI 2006 M1 A1                  | CUSIP: 04012MAM1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    421555 | PA      | $381709.89    | 0.21%             | 2036-07-25      | Floating      | 4.57%                 | 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      | $104.96       | 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      | $-366.10      | -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      | $-984.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-9F                                   | GSR MORTGAGE LOAN TRUST GSR 2006 9F 3A1                 | CUSIP: 3622X7AE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     64973 | PA      | $60188.90     | 0.03%             | 2036-10-25      | Fixed         | 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      | $-11637.32    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 909287 FN 01/37 FIXED 5.5                     | CUSIP: 31411JF43<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1365 | PA      | $1420.80      | 0.00%             | 2037-01-01      | Fixed         | 5.50%                 | 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        |    767484 | PA      | $753712.29    | 0.41%             | 2054-12-01      | Fixed         | 4.50%                 | 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      | $-140735.26   | -0.08%            |  |  |  | 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        |     25191 | PA      | $23370.99     | 0.01%             | 2048-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-1746.25     | -0.00%            |  |  |  | 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        |   5500000 | NC      | $2461.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-8                               | PAGAYA AI DEBT SELECTION TRUST PAID 2024 8 A 144A       | CUSIP: 69544QAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    271297 | PA      | $272512.94    | 0.15%             | 2032-01-15      | Fixed         | 5.33%                 | 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      | $1426.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HERTZ VEHICLE FINANCING III LLC 2023-1A                           | HERTZ VEHICLE FINANCING LLC HERTZ 2023 1A A 144A        | CUSIP: 42806MBS7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    600000 | PA      | $603695.88    | 0.33%             | 2027-06-25      | Fixed         | 5.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251114                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-41558.28    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT THB SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $41.66        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3276 FN 02/48 FIXED 3.5                     | CUSIP: 31418CUA0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     47599 | PA      | $44287.28     | 0.02%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8475 FR 11/54 FIXED 5.5             | CUSIP: 3132DWMY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   8438055 | PA      | $8518120.22   | 4.69%             | 2054-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-INV2                              | VERUS SECURITIZATION TRUST VERUS 2023 INV2 A1 144A      | CUSIP: 92540BAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    307080 | PA      | $309770.30    | 0.17%             | 2068-08-25      | Fixed         | 6.44%                 | 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        |  -3200000 | NC      | $-2092.80     | -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      | $4237.39      | 0.00%             |  |  |  | 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        |   1700000 | PA      | $1733422.95   | 0.95%             | 2031-09-01      | Variable      | 4.71%                 | 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        |       237 | PA      | $206.67       | 0.00%             | 2035-11-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-1349.10     | -0.00%            |  |  |  | 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      | $-709.28      | -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      | $-21032.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                        | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                   | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        | 110000000 | PA      | $648165.80    | 0.36%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                               | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 1A1        | CUSIP: 40430FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    413860 | PA      | $317593.19    | 0.17%             | 2037-01-25      | Floating      | 4.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $-328.53      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL C91195 FG 07/28 FIXED 5.5             | CUSIP: 3128P7KG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       135 | PA      | $137.22       | 0.00%             | 2028-07-01      | 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      | $730.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-1A                         | GLS AUTO SELECT RECEIVABLES TR GSAR 2023 1A A3 144A     | CUSIP: 36267FAE8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    275080 | PA      | $277589.51    | 0.15%             | 2028-10-16      | Fixed         | 5.96%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL3478 FN 05/41 FIXED VAR                     | CUSIP: 3138EK2L8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2403 | PA      | $2533.49      | 0.00%             | 2041-05-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-5                              | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 5 1A            | CUSIP: 12668KAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    287907 | PA      | $269947.62    | 0.15%             | 2047-09-25      | Floating      | 4.67%                 | 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        |   5100000 | NC      | $1009.80      | 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      | $1031.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AL5245 GN 03/45 FIXED 3.5                     | CUSIP: 36184BZJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      5505 | PA      | $5149.22      | 0.00%             | 2045-03-15      | Fixed         | 3.50%                 | 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        |    902000 | PA      | $785581.02    | 0.43%             | 2037-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $40.51        | 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        |    257566 | PA      | $260151.87    | 0.14%             | 2031-08-15      | Fixed         | 7.57%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 829230 FN 08/35 FIXED 5.5                     | CUSIP: 31407FHF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        91 | PA      | $94.91        | 0.00%             | 2035-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CAD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |         1 | NC      | $560.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL CA2028 FN 04/48 FIXED 3.5                     | CUSIP: 3140Q9HE6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     30733 | PA      | $28734.62     | 0.02%             | 2048-04-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $704.41       | 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        |       206 | PA      | $213.99       | 0.00%             | 2036-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $4456.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA39A4 PIMCO SWAPTION 3.075 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    200000 | NC      | $1543.52      | 0.00%             |  |  |  | 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        |    496105 | PA      | $474075.09    | 0.26%             | 2046-11-25      | Floating      | 4.67%                 | 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        |    900000 | NC      | $910.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AE7731 FN 11/40 FIXED 4.5                     | CUSIP: 31419JSV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7631 | PA      | $7643.74      | 0.00%             | 2040-11-01      | Fixed         | 4.50%                 | 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        |     27363 | PA      | $28485.92     | 0.02%             | 2037-02-01      | Fixed         | 5.50%                 | 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        |  13100000 | PA      | $725870.26    | 0.40%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-1970.46     | -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        |     22565 | PA      | $22571.63     | 0.01%             | 2030-11-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-3                             | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 3 1A1         | CUSIP: 68402BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    362354 | PA      | $246612.57    | 0.14%             | 2037-04-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 905142 FN 02/37 FIXED 5.5                     | CUSIP: 31411DS75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        85 | PA      | $88.43        | 0.00%             | 2037-02-01      | 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      | $-3875.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.28000 03/04/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-996.86      | -0.00%            |  |  |  | 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        |     87284 | PA      | $90441.50     | 0.05%             | 2041-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SG MORTGAGE SECURITIES TRUST 2006-FRE1                            | SG MORTGAGE SECURITIES TRUST SGMS 2006 FRE1 A2B         | CUSIP: 81879MAV1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1499859 | PA      | $737861.40    | 0.41%             | 2036-02-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| CARLYLE EURO CLO 2025-1 DAC 25-1A                                 | CARLYLE GLOBAL MARKET STRATEGI CGMSE 2025 1A A1 144A    | CUSIP: ACI2XJFQ0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    600000 | PA      | $706472.40    | 0.39%             | 2038-08-15      | Floating      | 3.22%                 | 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        |    532312 | PA      | $460323.01    | 0.25%             | 2037-03-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5GA1 PIMCO FPPSWAPTION 4.11 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   6300000 | NC      | $395895.15    | 0.22%             |  |  |  | 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      | $23537.18     | 0.01%             |  |  |  | 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        |    200000 | NC      | $1201.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT SGD SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $-4301.11     | -0.00%            |  |  |  | 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      | $680.30       | 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      | $-4383.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                 | UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875        | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     73755 | PA      | $75868.59     | 0.04%             | 2029-04-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $602.16       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL 670341 GN 08/37 FIXED 6                       | CUSIP: 36295GWA6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12969 | PA      | $13857.19     | 0.01%             | 2037-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                    | REPUBLIC OF COLOMBIA SR UNSECURED 11/54 8.375           | CUSIP: 195325EQ4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    400000 | PA      | $424300.00    | 0.23%             | 2054-11-07      | Fixed         | 8.38%                 | 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        |       393 | PA      | $388.91       | 0.00%             | 2037-07-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-521.37      | -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      | $-1407.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 869015 FN 05/36 FIXED 5.5                     | CUSIP: 31409EN80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       173 | PA      | $179.92       | 0.00%             | 2036-05-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC              | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2023 3A A 144A       | CUSIP: 76089RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    194594 | PA      | $194903.89    | 0.11%             | 2032-01-26      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2007-OH2                            | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 OH2 A2A       | CUSIP: 02151RAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    630512 | PA      | $565484.30    | 0.31%             | 2047-08-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ILS BOUGHT USD 20251113                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |         1 | NC      | $-1902.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $215.19       | 0.00%             |  |  |  | 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      | $-7197.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 955212 FN 12/37 FIXED 5.5                     | CUSIP: 31413TVD1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      9005 | PA      | $9356.94      | 0.01%             | 2037-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002-AR17                                       | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR17 1A        | CUSIP: 929227XB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      4606 | PA      | $4435.61      | 0.00%             | 2042-11-25      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $-16.87       | -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      | $4016.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2007-A1                                  | JP MORGAN MORTGAGE TRUST JPMMT 2007 A1 3A2              | CUSIP: 46630GAH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     89709 | PA      | $85898.07     | 0.05%             | 2035-07-25      | Floating      | 5.20%                 | 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      | $4274.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TAURUS 2021-1 UK DAC 21-UK1A                                      | TAURUS CMBS TAURS 2021 UK1A A 144A                      | CUSIP: ACI1W1MF8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    297813 | PA      | $400342.18    | 0.22%             | 2031-05-17      | Floating      | 4.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-92072.16    | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TRY BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $-2153.48     | -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        |    100000 | NC      | $1188.56      | 0.00%             |  |  |  | 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        |    540000 | NC      | $16558.02     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTS 2005-AB4                           | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 AB4 1A          | CUSIP: 126670KJ6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57947 | PA      | $53077.86     | 0.03%             | 2036-03-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| SUMITOMO MITSUI FINANCIAL GROUP INC                               | SUMITOMO MITSUI FINL GRP SUMITOMO MITSUI FINL GRP       | CUSIP: 86562MDP2<br>LEI: 35380028MYWPB6AUO129 | Long             | DBT              | CORP              | JP        |    200000 | PA      | $211108.08    | 0.12%             | 2034-07-09      | Fixed         | 5.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-6067.97     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A32472 FG 04/35 FIXED 5.5             | CUSIP: 31297MW95<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3730 | PA      | $3875.31      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD DKK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-15.52       | -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      | $3899.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL RJ0136 FR 12/53 FIXED 4.5             | CUSIP: 3142GQEJ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    362180 | PA      | $351592.61    | 0.19%             | 2053-12-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT DKK SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $93.51        | 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      | $2694.13      | 0.00%             |  |  |  | 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      | $334.80       | 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      | $485.82       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $189.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WAMU ASSET-BACKED CERTIFICATES 2007-HE2                           | WAMU ASSET BACKED CERTIFICATES WMHE 2007 HE2 2A4        | CUSIP: 92926SAE6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   3882409 | PA      | $1409617.92   | 0.78%             | 2037-04-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-455.47      | -0.00%            |  |  |  | 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        |   1800000 | PA      | $1800000.00   | 0.99%             | 2049-06-01      | Fixed         | 6.85%                 | No            |                  3 | On Loan: No      |
| N/A                                                               | US ULTRA BOND CBT DEC25 XCBT 20251219                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -36 | NC      | $-19310.42    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-1462.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT MXN SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $1037.01      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.55000 04/16/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $938.64       | 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      | $-18.00       | -0.00%            |  |  |  | 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        |   -540000 | NC      | $-2347.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | US TREASURY N/B 05/43 3.875                             | CUSIP: 912810TS7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   2100000 | PA      | $1902796.88   | 1.05%             | 2043-05-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL0152 FN 06/40 FIXED VAR                     | CUSIP: 3138EGE26<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     12521 | PA      | $13201.34     | 0.01%             | 2040-06-01      | Fixed         | 6.00%                 | 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      | $4536.42      | 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      | $-16142.38    | -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      | $1597.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DEL PERU SA - PETROPERU SA                              | PETROLEOS DEL PERU SA SR UNSECURED REGS 06/47 5.625     | CUSIP: P7808BAB3<br>LEI: 549300ZMGDLC9JT2OR80 | Long             | DBT              | CORP              | PE        |    300000 | PA      | $222084.00    | 0.12%             | 2047-06-19      | Fixed         | 5.62%                 | 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        |   1600000 | NC      | $1619.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                         | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/33 7       | CUSIP: ACI2GGZ75<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |   2800000 | PA      | $899366.08    | 0.49%             | 2033-08-12      | Fixed         | 7.30%                 | 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        |      1795 | PA      | $1198.69      | 0.00%             | 2037-06-25      | Floating      | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $42.45        | 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        |     73899 | PA      | $71880.13     | 0.04%             | 2036-08-25      | Floating      | 4.59%                 | 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        |    400000 | PA      | $400615.97    | 0.22%             | 2031-04-15      | Floating      | 5.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-9544.85     | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888131 FN 02/37 FIXED VAR                     | CUSIP: 31410FVY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2630 | PA      | $2738.46      | 0.00%             | 2037-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $73.45        | 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      | $171.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Z7A7 PIMCO SWAPTION 3.222 CALL USD 202608          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    100000 | NC      | $1008.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 930688 FN 03/39 FIXED 5.5                     | CUSIP: 31412N6Z4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7797 | PA      | $8079.64      | 0.00%             | 2039-03-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2021-N2                            | CARVANA AUTO RECEIVABLES TRUST CRVNA 2021 N2 E 144A     | CUSIP: 14686KAF4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    747618 | PA      | $732015.13    | 0.40%             | 2028-03-10      | Fixed         | 2.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CNH BOUGHT USD 20251016                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |         1 | NC      | $524.37       | 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        |  -3800000 | PA      | $-3063685.82  | -1.69%            | 2055-10-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-63.76       | -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      | $38.65        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD THB BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |         1 | NC      | $140.98       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $-3800.72     | -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      | $251.14       | 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      | $-7185.20     | -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      | $3603.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | ZCS BRL 14.0087 05/12/25-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |         1 | NC      | $-672.10      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/4.01300 01/15/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2835.29      | 0.00%             |  |  |  | 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        |    120000 | PA      | $105421.64    | 0.06%             | 2055-10-14      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5JA8 PIMCO FPPSWAPTION 3.1625 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        | 124100000 | NC      | $502282.34    | 0.28%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA48A3 PIMCO FPPSWAPTION 4.628 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   2400000 | NC      | $153578.40    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $3131.98      | 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      | $-1964.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-13                             | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 13 MV1          | CUSIP: 23242EAL3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   4180000 | PA      | $3950888.35   | 2.17%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                       | LETRA TESOURO NACIONAL BILLS 04/26 0.00000              | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |  19500000 | PA      | $3422669.75   | 1.88%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                   | AVON FINANCE AVON 4A A 144A                             | CUSIP: ACI2JTXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    533871 | PA      | $719617.67    | 0.40%             | 2049-12-28      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $3237.61      | 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        |    830752 | PA      | $737986.98    | 0.41%             | 2037-07-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT CHF SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $1817.06      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                      | ROMANIA SR UNSECURED REGS 07/39 6.75                    | CUSIP: ACI2W14X7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    400000 | PA      | $479167.65    | 0.26%             | 2039-07-11      | Fixed         | 6.75%                 | 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        |     25238 | PA      | $23369.53     | 0.01%             | 2048-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9Y5A2 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1500000 | NC      | $83763.30     | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-22409.00    | -0.01%            |  |  |  | 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      | $3335.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCULE-5A                                                          | SCULPTOR EUROPEAN CLO SCULE 5A B2R 144A                 | CUSIP: ACI2YF5Z8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $587330.29    | 0.32%             | 2032-01-14      | Floating      | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD JPY BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-372.41      | -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        |    910000 | NC      | $49051.73     | 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      | $14048.21     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251020                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $299.60       | 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      | $-12699.85    | -0.01%            |  |  |  | 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        |       840 | PA      | $841.46       | 0.00%             | 2037-10-15      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT KRW SOLD USD 20251022                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $-1275.58     | -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      | $413.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-4216.13     | -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      | $-68.53       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL MA3414 FN 07/48 FIXED 3.5                     | CUSIP: 31418CYL2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    130534 | PA      | $121249.39    | 0.07%             | 2048-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251119                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $21.33        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.91000 12/29/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-4653.83     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARES STRATEGIC INCOME FUND                                        | ARES STRATEGIC INCOME FU SR UNSECURED 144A 09/28 5.45   | CUSIP: 04020EAL1<br>LEI: 549300IANZJVZPTICV54 | Long             | DBT              | CORP              | US        |    500000 | PA      | $504032.69    | 0.28%             | 2028-09-09      | Fixed         | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $-41.46       | -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      | $200231.83    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD CHF BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |         1 | NC      | $-106.25      | -0.00%            |  |  |  | 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        |    100000 | PA      | $100669.32    | 0.06%             | 2055-03-01      | Fixed         | 6.15%                 | 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        |    200802 | PA      | $198319.95    | 0.11%             | 2037-02-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $5472.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                     | FORD MOTOR CREDIT CO LLC SR UNSECURED 03/27 5.8         | CUSIP: 345397D83<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    200000 | PA      | $202083.30    | 0.11%             | 2027-03-05      | Fixed         | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-194.82      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260318                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-12343.26    | -0.01%            |  |  |  | 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      | $-1683.83     | -0.00%            |  |  |  | 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        |      4232 | PA      | $4335.30      | 0.00%             | 2039-02-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-1491.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL FA1296 FN 08/51 FIXED VAR                     | CUSIP: 3140W1NN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2338062 | PA      | $2274965.18   | 1.25%             | 2051-08-01      | Fixed         | 4.00%                 | 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        |   3706092 | PA      | $3761466.46   | 2.07%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3898                                                  | FREDDIE MAC FHR 3898 AF                                 | CUSIP: 3137ADX44<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     25875 | PA      | $25805.62     | 0.01%             | 2041-06-15      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251120                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-375.87      | -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      | $2343.61      | 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      | $6676.05      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.85500 11/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1409.77      | 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      | $1382.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL A79624 FG 07/38 FIXED 5.5             | CUSIP: 3128LDVR2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       313 | PA      | $318.44       | 0.00%             | 2038-07-01      | Fixed         | 5.50%                 | 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        |  -2200000 | NC      | $-12988.36    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD SGD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |         1 | NC      | $744.67       | 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      | $365.16       | 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      | $-710.33      | -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      | $2896.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHEVY CHASE MORTGAGE FUND CORP 2005-3A                            | CHEVY CHASE MORTGAGE FUNDING C CCMFC 2005 3A A2 144A    | CUSIP: 16678RDU8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     57859 | PA      | $54725.44     | 0.03%             | 2036-07-25      | Floating      | 4.50%                 | 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        |    200000 | NC      | $1433.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4077                                           | FREDDIE MAC FHR 4077 EP                                 | CUSIP: 3137ASAN4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    427000 | PA      | $410190.21    | 0.23%             | 2042-07-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AB2761 GN 08/42 FIXED 3.5                     | CUSIP: 36178NB65<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2929 | PA      | $2739.66      | 0.00%             | 2042-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFRF USD SF+26.161/1.2* 9/16/23-28Y* CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $2223305.59   | 1.22%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $592.96       | 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      | $378.35       | 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      | $267.67       | 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      | $802.76       | 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      | $430219.58    | 0.24%             |  |  |  | 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      | $1308.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $98.75        | 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      | $1772.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IVORY COAST GOVT (AKA: COTE D'IVOIRE)                             | IVORY COAST SR UNSECURED REGS 03/48 6.625               | CUSIP: ACI11JW62<br>LEI: 254900ICW11T82O6H590 | Long             | DBT              | NUSS              | CI        |    300000 | PA      | $302214.73    | 0.17%             | 2048-03-22      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-6747.83     | -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      | $-705.63      | -0.00%            |  |  |  | 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        |       -99 | NC      | $-21209.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRUST 2007-1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 1 1A1          | CUSIP: 83612PAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     75259 | PA      | $72459.02     | 0.04%             | 2037-03-25      | Floating      | 4.57%                 | 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        |    300000 | NC      | $1884.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                              | GNMA POOL AA4844 GN 06/42 FIXED 3.5                     | CUSIP: 36178CLZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     14747 | PA      | $13793.84     | 0.01%             | 2042-06-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| TCW CLO AMR LTD 2019-1A                                           | TCW CLO 2019 1 AMR, LTD. TCW 2019 1A ASNR 144A          | CUSIP: 87241EAQ8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500790.77    | 0.28%             | 2034-08-16      | Floating      | 5.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.53000 04/23/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $1136.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A3                                  | JP MORGAN MORTGAGE TRUST JPMMT 2006 A3 6A1              | CUSIP: 46628KAT7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      2564 | PA      | $2544.71      | 0.00%             | 2034-08-25      | Floating      | 4.96%                 | No            |                  2 | On Loan: No      |
| SYMPHONY CLO XXII LTD                                             | SYMPHONY CLO LTD SYMP 2020 22A A1AR 144A                | CUSIP: 87167GCH1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    471605 | PA      | $472289.06    | 0.26%             | 2033-04-18      | Floating      | 5.51%                 | 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      | $-1157.61     | -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      | $1874.16      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EXETER AUTOMOBILE RECEIVABLES TRUST 2024-5A                       | EXETER AUTOMOBILE RECEIVABLES EART 2024 5A B            | CUSIP: 30165BAE3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    700000 | PA      | $701144.08    | 0.39%             | 2029-04-16      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                 | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   7300000 | PA      | $171192.64    | 0.09%             | 2028-09-06      | Fixed         | 46.96%                | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $54155.96     | 0.03%             |  |  |  | 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        |    300000 | PA      | $231663.75    | 0.13%             | 2030-07-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BANK OF AMERICA CORPORATION SNR S* ICE                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $198.23       | 0.00%             |  |  |  | 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      | $2846.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS CZK 3.76000 11/01/24-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |         1 | NC      | $-79.24       | -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      | $393244.94    | 0.22%             |  |  |  | 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        |   1436244 | PA      | $561114.15    | 0.31%             | 2037-03-25      | Floating      | 4.49%                 | 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        |     23287 | PA      | $21713.46     | 0.01%             | 2048-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| JAMESTOWN CLO 2022 XVIIIA LTD                                     | JAMESTOWN CLO LTD JTWN 2022 18A AR 144A                 | CUSIP: 47047RAN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500567.06    | 0.28%             | 2035-07-25      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ7522 FN 01/27 FIXED 3                       | CUSIP: 3138E0LC1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     32563 | PA      | $32290.24     | 0.02%             | 2027-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $236.17       | 0.00%             |  |  |  | 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        |   2540000 | PA      | $2583412.89   | 1.42%             | 2054-11-15      | 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      | $-586.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | US 2YR NOTE (CBT) DEC25 XCBT 20251231                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        95 | NC      | $32170.42     | 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        |   -300000 | NC      | $-2294.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AL1319 FN 10/41 FIXED VAR                     | CUSIP: 3138EHPD8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     65569 | PA      | $65634.40     | 0.04%             | 2041-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA1EA2 PIMCO FPPSWAPTION 4.52 PUT USD                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1200000 | NC      | $66066.00     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| BAIN CAPITAL EURO CLO 2022-2 DAC 22-2A                            | BAIN CAPITAL EURO CLO BCCE 2022 2A B2RR 144A            | CUSIP: ACI2ZP3L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    500000 | PA      | $585158.88    | 0.32%             | 2038-01-22      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD PEN BOUGHT USD 20260316                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $-501.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 844984 FN 05/35 FIXED 5.5                     | CUSIP: 31407YXM6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      2338 | PA      | $2405.95      | 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      | $-8634.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 815722 FN 04/35 FIXED 5.5                     | CUSIP: 31406PG78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7738 | PA      | $8015.75      | 0.00%             | 2035-04-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA4ZA3 PIMCO FPPSWAPTION 4.6275 CALL USD             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   1900000 | NC      | $121555.73    | 0.07%             |  |  |  | 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        |       169 | PA      | $170.69       | 0.00%             | 2035-02-20      | Floating      | 5.39%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                              | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F0526A5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   3000000 | PA      | $3025182.66   | 1.66%             | 2054-10-15      | Fixed         | 5.50%                 | 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        |     36893 | PA      | $31778.15     | 0.02%             | 2037-01-25      | Floating      | 3.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-6772.99     | -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        |    294402 | PA      | $284694.42    | 0.16%             | 2034-01-25      | Floating      | 5.35%                 | 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      | $4257.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOFTBANK GROUP CORP SNR JP SP GST                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $116.22       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES INC 2007-AR2                            | DEUTSCHE ALT A SECURITIES INC DBALT 2007 AR2 A1         | CUSIP: 25151UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    227599 | PA      | $213709.53    | 0.12%             | 2037-03-25      | Floating      | 4.57%                 | 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        |    601000 | PA      | $606495.41    | 0.33%             | 2029-12-01      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $1227.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ACE SECURITIES CORP 2006-NC2                                      | ACE SECURITIES CORP. ACE 2006 NC2 A1                    | CUSIP: 00441XAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    283881 | PA      | $216336.30    | 0.12%             | 2036-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| SMALL BUSINESS ADMIN PART CERTS 2007-20L                          | SMALL BUSINESS ADMINISTRATION SBAP 2007 20L 1           | CUSIP: 83162CRL9<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |       431 | PA      | $433.44       | 0.00%             | 2027-12-01      | Fixed         | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA5HA0 PIMCO FPPSWAPTION 4.11 CALL USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   4800000 | NC      | $415475.52    | 0.23%             |  |  |  | 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        |       713 | PA      | $720.08       | 0.00%             | 2035-09-25      | Floating      | 6.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-27.03       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 937645 FN 06/37 FIXED 6                       | CUSIP: 31412XES9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1973 | PA      | $2073.53      | 0.00%             | 2037-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 993084 FN 12/38 FIXED 5.5                     | CUSIP: 31415YFZ7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       323 | PA      | $326.93       | 0.00%             | 2038-12-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TRY SOLD USD 20251112                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |         1 | NC      | $7521.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INVS 2006-HE5                              | MERRILL LYNCH MORTGAGE INVESTO MLMI 2006 HE5 A2C        | CUSIP: 59022QAD4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    995888 | PA      | $490226.89    | 0.27%             | 2037-08-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                       | UNITED MEXICAN STATES SR UNSECURED 07/32 5.85           | CUSIP: 91087BBE9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    200000 | PA      | $206730.00    | 0.11%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| ARCAN-2A                                                          | ARCANO EURO CLO ARCAN 2A B 144A                         | CUSIP: ACI2YDL36<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    600000 | PA      | $706970.15    | 0.39%             | 2039-07-25      | Floating      | 4.02%                 | 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      | $282.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                        | GUGGENHEIM CLO LTD GUGG 2022 2A A1R 144A                | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    800000 | PA      | $800480.00    | 0.44%             | 2035-01-15      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 851336 FN 02/36 FIXED 5.5                     | CUSIP: 31408GY92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       341 | PA      | $351.05       | 0.00%             | 2036-02-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD DKK BOUGHT USD 20251104                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |         1 | NC      | $-93.69       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-74                                         | FANNIE MAE FNR 2025 74 FB                               | CUSIP: 3136BXEJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   1293021 | PA      | $1297611.56   | 0.71%             | 2055-09-25      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-3952.57     | -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      | $-328.81      | -0.00%            |  |  |  | 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        |  13780000 | PA      | $13658576.15  | 7.52%             | 2055-11-13      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | IRS EUR 2.46000 03/13/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |         1 | NC      | $-496.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD TWD BOUGHT USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $-303.82      | -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      | $-1467.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 936546 FN 07/37 FIXED 6                       | CUSIP: 31412V5F1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1363 | PA      | $1417.33      | 0.00%             | 2037-07-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 06/20/24-5Y CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-29670.33    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-40122.39    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                           | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A1       | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   1389182 | PA      | $370543.44    | 0.20%             | 2037-02-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| KEURIG DR PEPPER INC                                              | KEURIG DR PEPPER                                        | CUSIP: 49271JXF9<br>LEI: DYTQ8KRTKO7Y2BVU5K74 | Long             | DBT              | CORP              | US        |   1830000 | PA      | $1826734.91   | 1.01%             | 2025-10-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL 888592 FN 08/37 FIXED VAR                     | CUSIP: 31410GF99<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      1214 | PA      | $1263.95      | 0.00%             | 2037-08-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                  | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/35 5.7           | CUSIP: 694308KU0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    100000 | PA      | $102509.24    | 0.06%             | 2035-03-01      | Fixed         | 5.70%                 | 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        |    800000 | PA      | $817225.36    | 0.45%             | 2029-01-25      | Fixed         | 5.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT JPY SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |         1 | NC      | $-8039.11     | -0.00%            |  |  |  | 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        |    500000 | PA      | $522063.05    | 0.29%             | 2029-08-01      | Fixed         | 5.45%                 | 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      | $33865.97     | 0.02%             |  |  |  | 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        |    100000 | NC      | $1170.85      | 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      | $-2373.54     | -0.00%            |  |  |  | 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        |    383195 | PA      | $516689.70    | 0.28%             | 2059-07-15      | Floating      | 4.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT IDR SOLD USD 20251006                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $31.31        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 14 LTD                                   | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2021 14A A 144A     | CUSIP: 033295AA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    300000 | PA      | $287114.18    | 0.16%             | 2040-01-21      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3368                                                  | FREDDIE MAC FHR 3368 AF                                 | CUSIP: 31397KL82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      3084 | PA      | $3090.56      | 0.00%             | 2037-09-15      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT ZAR SOLD USD 20260819                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $555.74       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | CDX IG45 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-43667.72    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-1050.40     | -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      | $-271.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.86600 11/14/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $1499.62      | 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      | $25721.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                | TREASURY BILL 11/25 0.00000                             | CUSIP: 912797RP4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   1900000 | PA      | $1889904.67   | 1.04%             | 2025-11-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | RFR USD SOFR/3.75000 09/17/25-10Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         1 | NC      | $-63046.66    | -0.03%            |  |  |  | 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        |   6190000 | PA      | $5819937.72   | 3.20%             | 2055-11-20      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | CAN 10YR BOND FUT DEC25 XMOD 20251218                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        30 | NC      | $8949.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AJ0392 FN 09/41 FIXED 4.5                     | CUSIP: 3138ARNJ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      7638 | PA      | $7631.00      | 0.00%             | 2041-09-01      | Fixed         | 4.50%                 | 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        |    800000 | PA      | $838854.38    | 0.46%             | 2030-11-01      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PEN SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |         1 | NC      | $1596.65      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5452                                           | FREDDIE MAC FHR 5452 JF                                 | CUSIP: 3137HFGZ2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   2558556 | PA      | $2571990.32   | 1.42%             | 2054-09-25      | Floating      | 5.66%                 | 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        |   1000000 | PA      | $1006211.60   | 0.55%             | 2027-04-20      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317U9ZEA9 PIMCO FPPSWAPTION 4.427 CALL USD              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    600000 | NC      | $34324.98     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD KRW BOUGHT USD 20251010                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |         1 | NC      | $1266.40      | 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      | $-243.55      | -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        |   1100000 | NC      | $8151.99      | 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      | $332.43       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-R2                                      | PAGAYA AI DEBT SELECTION TRUST PAID 2025 R2 A 144A      | CUSIP: 69544VAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    381953 | PA      | $383258.10    | 0.21%             | 2032-10-15      | Fixed         | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20260402                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-50.02       | -0.00%            |  |  |  | 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        |    500000 | PA      | $504134.40    | 0.28%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT INR SOLD USD 20251017                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $-1638.94     | -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      | $-128.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | NDDUEAFE TRS EQUITY SOFR+26.5 ULO                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |         1 | NC      | $57686.16     | 0.03%             |  |  |  | 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        |      5066 | PA      | $1427.02      | 0.00%             | 2037-01-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT TWD SOLD USD 20251007                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |         1 | NC      | $36.22        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD MXN BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |         1 | NC      | $-950.54      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-305.36      | -0.00%            |  |  |  | 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        |  20480000 | PA      | $20919715.64  | 11.51%            | 2054-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD INR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |         1 | NC      | $150.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MDPK-2021-39A                                                     | MADISON PARK FUNDING LTD MDPK 2021 39A AR 144A          | CUSIP: 55821LAJ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500947.39    | 0.28%             | 2034-10-22      | Floating      | 5.58%                 | 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        |    283215 | PA      | $332159.87    | 0.18%             | 2031-09-15      | Floating      | 2.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD ZAR BOUGHT USD 20251009                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |         1 | NC      | $-40.23       | -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      | $-478.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL G18659 FG 09/32 FIXED 3               | CUSIP: 3128MMWV1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    378531 | PA      | $369645.29    | 0.20%             | 2032-09-01      | Fixed         | 3.00%                 | 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        |  -1600000 | NC      | $-1046.40     | -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      | $22.65        | 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      | $-265.91      | -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      | $-10476.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                              | FNMA POOL AD6062 FN 07/40 FIXED 5.5                     | CUSIP: 31418TWY9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      4320 | PA      | $4458.39      | 0.00%             | 2040-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FIRST HORIZON MTGE PT TR 2007-AR3                                 | FIRST HORIZON MORTGAGE PASS TH FHASI 2007 AR3 2A2       | CUSIP: 32056JAE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     65229 | PA      | $47085.49     | 0.03%             | 2037-11-25      | Floating      | 5.72%                 | 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      | $-3081.90     | -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      | $-80.36       | -0.00%            |  |  |  | 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        |    670456 | PA      | $682863.20    | 0.38%             | 2028-12-15      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD GBP BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |         1 | NC      | $1899.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | GOLDMAN SACHS GROUP INC SNR S* ICE                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $3280.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A B1R 144A     | CUSIP: 36361UAQ3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    600000 | PA      | $602269.66    | 0.33%             | 2031-07-15      | Floating      | 6.23%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | 317UA0VA5 PIMCO FPPSWAPTION 4.485 PUT USD               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |    600000 | NC      | $33509.46     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT PLN SOLD USD 20251015                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |         1 | NC      | $731.41       | 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        |    993139 | PA      | $1007072.26   | 0.55%             | 2055-09-25      | Floating      | 5.31%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD BRL BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $-2343.03     | -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      | $3298.60      | 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      | $-930.44      | -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      | $-47.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SAUDI ARABIA GOVT EM SP JPM                             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |         1 | NC      | $-396.54      | -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        |   -900000 | NC      | $-588.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                             | FED HM LN PC POOL SD8446 FR 07/54 FIXED 5.5             | CUSIP: 3132DWL35<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    885411 | PA      | $894085.85    | 0.49%             | 2054-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO I 2021-1A                                          | 37 CAPITAL CLO LTD PUTNM 2021 1A AR 144A                | CUSIP: 88430TAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    500000 | PA      | $500592.09    | 0.28%             | 2034-10-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2004-27CB                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2004 27CB A1       | CUSIP: 12667FWU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    451063 | PA      | $405199.45    | 0.22%             | 2034-12-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD IDR BOUGHT USD 20251008                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |         1 | NC      | $450.00       | 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      | $968.84       | 0.00%             |  |  |  | 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      | $80092.72     | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                       | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                 | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    100000 | PA      | $2435.06      | 0.00%             | 2026-05-20      | Floating      | 48.48%                | No            |                  2 | On Loan: No      |
| N/A                                                               | BOUGHT BRL SOLD USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |         1 | NC      | $4098.65      | 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      | $623.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | BRITISH TELECOMMUNICATIONS PL SNR SE ICE                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | GB        |         1 | NC      | $2432.00      | 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      | $0.13         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                               | SOLD NZD BOUGHT USD 20251002                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |         1 | NC      | $343.62       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                       | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |   1137285 | PA      | $11076022.61  | 6.10%             |  |  |  | No            |                  1 | 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