# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001047304-25-000525
**Filing Date:** 2025-8
**Character Count:** 464672
**Document Hash:** 6defbcb9b64f4a5e68e047c683e7e15a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001047304-25-000525.hdr.sgml**: 20250829

**ACCESSION NUMBER**: 0001047304-25-000525

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20250630

**FILED AS OF DATE**: 20250829

**DATE AS OF CHANGE**: 20250829

**PERIOD START**: 20251231

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** PIMCO VARIABLE INSURANCE TRUST
- **CENTRAL INDEX KEY:** 0001047304

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

**FILING VALUES:**
- **FORM TYPE:** NPORT-P
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-08399
- **FILM NUMBER:** 251277433

**BUSINESS ADDRESS:**
- **STREET 1:** 650 NEWPORT CENTER DRIVE
- **CITY:** NEWPORT BEACH
- **STATE:** CA
- **ZIP:** 92660
- **BUSINESS PHONE:** 9497204721

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

## Series and Classes Contracts Data

### PIMCO International Bond Portfolio (U.S. Dollar-Hedged) (Series ID: S000009669)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000026495 | Administrative | VPVFHIV         |
| C000026496 | Institutional  | VPVFHDV         |
| C000139585 | Advisor        | PVITFBP         |

## 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 Variable Insurance Trust

- **b. Investment Company Act file number:** 811-08399

- **c. CIK number of Registrant:** 0001047304

- **d. LEI of Registrant:** 549300KNGHUU7TTJOR56

- **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 International Bond Portfolio (U.S. Dollar-Hedged)

- **b. EDGAR series identifier (if any):** S000009669

- **c. LEI of Series:** 549300P9300R3FCSTO42

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

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

- **b. Date as of which information is reported:** 2025-06-30

**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:** $1314520160.77

**Total Liabilities:** $786198370.10

**Net Assets:** $528321790.67

**Cash Not Reported:** $13545294.61

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** -6061.284800 | **1-Year:** 62518.481000 | **5-Year:** 191710.190000 | **10-Year:** 88214.084600 | **30-Year:** 7426.800600

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

- **3-Month:** 275.469100 | **1-Year:** 1421.855200 | **5-Year:** 7703.622600 | **10-Year:** 1465.045500 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000026495 | 0.92%                | -0.01%               | 0.92%                |
| Class ID C000139585 | 0.91%                | -0.02%               | 0.91%                |
| Class ID C000026496 | 0.93%                | -0.00%               | 0.93%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $-306126.37              | $10091997.28                               |
| Month 2  | $-433073.59              | $-1291327.35                               |
| Month 3  | $15586.75                | $9309130.73                                |

**Designated Index Information**

- **Index Name:** Bloomberg Global Aggregate ex-USD Total Return Hedged Index

- **Index Identifier:** LG38TRUH

### Schedule of Portfolio Investments

| Name                                                                          | Title                                                   | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                           | JPN 10Y BOND(OSE) SEP25 XOSE 20250912                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |        -55 | NC      | $-157246.10   | -0.03%            |  |  |  | No            |                  1 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2005-AR2                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2005 AR2 2A1        | CUSIP: 86359LJA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6009 | PA      | $5694.79      | 0.00%             | 2045-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/33 3.5                               | CUSIP: 91282CGM7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $675007.82    | 0.13%             | 2033-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| OFSI BSL X LTD                                                                | OFSI FUND LTD OFSBS 2021 10A AR 144A                    | CUSIP: 67115PAW5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2100000 | PA      | $2102489.91   | 0.40%             | 2034-04-20      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20250929                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-2410.37     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2004-W12                                                 | FANNIEMAE WHOLE LOAN FNW 2004 W12 1A1                   | CUSIP: 31394A6Y7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3221 | PA      | $3349.01      | 0.00%             | 2044-07-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $63.67        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                          | JYSKE REALKREDIT A/S COVERED 10/50 1                    | CUSIP: BKLH46II9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.24         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS USD R USSOFR/JPYMUTKCALM-41.4 GST                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $-309181.75   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                                 | THAILAND GOVERNMENT BOND SR UNSECURED 03/35 2.41        | CUSIP: ACI2TGV26<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   15560000 | PA      | $513159.05    | 0.10%             | 2035-03-17      | Fixed         | 2.41%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750QI27 PIMCO FXVAN PUT EUR CZK 24.70000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |     940000 | NC      | $6180.80      | 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      | $-27782.82    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $112.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2007-AR6                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR6 A1         | CUSIP: 86364RAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      15878 | PA      | $13406.83     | 0.00%             | 2047-08-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 05/28 2.4         | CUSIP: ACI2T2CQ5<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    2850000 | PA      | $3380290.18   | 0.64%             | 2028-05-31      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $46.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 09/46 0.5                   | CUSIP: ACI0PP6W6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  202000000 | PA      | $957937.71    | 0.18%             | 2046-09-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2016-3 CLASS AA PASS THROUGH TRUST                          | AMER AIRLINE 16 3 AA PTT PASS THRU CE 04/30 3           | CUSIP: 023771R91<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     179487 | PA      | $170035.55    | 0.03%             | 2030-04-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                                    | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A REGS 12/43 1 | CUSIP: 224939AA6<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |    1900000 | PA      | $569865.91    | 0.11%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20250908                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-1367.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-7318.89     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA MTGE SECS-2006-A                                              | BANC OF AMERICA MORTGAGE SECUR BOAMS 2006 A 2A1         | CUSIP: 05949CRS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14486 | PA      | $13408.19     | 0.00%             | 2036-02-25      | Floating      | 5.06%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                           | DOMINION RESOURCES                                      | CUSIP: 2574P0UM4<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249328.63    | 0.05%             | 2025-07-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO110626                              | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  535000000 | PA      | $283179.89    | 0.05%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 04/42 2.875                      | CUSIP: ACI1Z3VF1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     800000 | PA      | $587891.61    | 0.11%             | 2042-04-13      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   86600000 | PA      | $89294076.64  | 16.90%            | 2054-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R594 PIMCO FXVAN PUT EUR USD 1.09750000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     136000 | NC      | $9524.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 05/34 4.375                             | CUSIP: 91282CKQ3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     600000 | PA      | $609539.06    | 0.12%             | 2034-05-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| SANDSTONE PEAK LTD 2021-1A                                                    | SANDSTONE PEAK LTD. SAND 2021 1A A1R 144A               | CUSIP: 800130AN6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     800000 | PA      | $800501.60    | 0.15%             | 2034-10-15      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-WMC2                                                         | GSAMP TRUST GSAMP 2005 WMC2 M1                          | CUSIP: 362341VA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     825071 | PA      | $800584.39    | 0.15%             | 2035-11-25      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED REGS 01/32 2                       | CUSIP: ACI1J8690<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $95661.37     | 0.02%             | 2032-01-28      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2007-AR4                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2007 AR4 A3         | CUSIP: 86364MAC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      42524 | PA      | $37706.74     | 0.01%             | 2047-09-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $157.29       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                             | REPUBLIC OF SOUTH AFRICA SR UNSECURED 01/30 8           | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   26200000 | PA      | $1455301.50   | 0.28%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1136.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $5015.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-23134.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/37 3.75   | CUSIP: ACI2V6MH2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     200000 | PA      | $229735.71    | 0.04%             | 2037-03-05      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| SANDS CHINA LTD                                                               | SANDS CHINA LTD SR UNSECURED 08/28 5.65                 | CUSIP: 80007RAE5<br>LEI: 549300EVO6UZDGY05787 | Long             | DBT              | CORP              | KY        |     500000 | PA      | $504041.00    | 0.10%             | 2028-08-08      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 5.125  | CUSIP: 80413TBJ7<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    1400000 | PA      | $1423705.67   | 0.27%             | 2028-01-13      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-11                                                            | FANNIE MAE FNR 2004 11 A                                | CUSIP: 31393T7H3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        283 | PA      | $282.64       | 0.00%             | 2034-03-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.5000 03/22/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-47560.60    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG44 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $707274.30    | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 10/35 VAR          | CUSIP: 38141GB78<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1087161.93   | 0.21%             | 2035-10-23      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS 144A REGS 05/52 0.75             | CUSIP: ACI1JFLL0<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    2750000 | PA      | $1544075.38   | 0.29%             | 2052-05-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTGE INVEST 2006-AR5                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR5 1A1        | CUSIP: 86360JAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3930 | PA      | $2742.67      | 0.00%             | 2036-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U9GNA1 PIMCO SWAPTION 3.75 CALL USD 2025070          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-8849.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260615                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-62.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                        | CS AT1 CLAIMS US22546DAB29 CREDIT SUISSE GROUP AG       | CUSIP: 952NPKII9<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |     300000 | PA      | $36000.00     | 0.01%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                          | NEW S WALES TREASURY CRP LOCAL GOVT G REGS 03/34 1.75   | CUSIP: ACI1ZX259<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |    4900000 | PA      | $2549373.11   | 0.48%             | 2034-03-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 01/30 2.7         | CUSIP: ACI2S1GW1<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    3123000 | PA      | $3718543.84   | 0.70%             | 2030-01-31      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND REPUBLIC OF POLAND                   | CUSIP: 731011AX0<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     500000 | PA      | $507900.70    | 0.10%             | 2029-03-18      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-44437.47    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2990.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRISTOL-MYERS SQUIBB COMPANY                                                  | BRISTOL MYERS SQUIBB CO BRISTOL MYERS SQUIBB CO         | CUSIP: 110122EH7<br>LEI: HLYYNH7UQUORYSJQCN42 | Long             | DBT              | CORP              | US        |     600000 | PA      | $614731.96    | 0.12%             | 2034-02-22      | Fixed         | 5.20%                 | No            |                  2 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                               | QUEENSLAND TREASURY CORP LOCAL GOVT G 08/33 2           | CUSIP: BMXC0WII0<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    5700000 | PA      | $3089741.61   | 0.58%             | 2033-08-22      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6434.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-268.95      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290502                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $16097.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/50 1.5              | CUSIP: BH3VWJII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.16         | 0.00%             | 2050-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-4434.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.75000 03/19/25-10Y JPM                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $-7787.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/0.60000 12/18/24-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-74761.41    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080414 G2 06/30 FLOATING VAR               | CUSIP: 36225CN85<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        247 | PA      | $246.86       | 0.00%             | 2030-06-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3214.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JUBILEE CLO 2016-XVII BV 16-17A                                               | JUBILEE CDO BV JUBIL 2016 17A A2RR 144A                 | CUSIP: ACI1W2W24<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     486247 | PA      | $569895.76    | 0.11%             | 2031-04-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 09/44 1.8                   | CUSIP: ACI2RXB31<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  180000000 | PA      | $1148285.13   | 0.22%             | 2044-09-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-482.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 03/45 2.4                   | CUSIP: ACI2WJ7V9<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  217000000 | PA      | $1517033.51   | 0.29%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A3 144A                       | CUSIP: 552751AC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      74159 | PA      | $71949.38     | 0.01%             | 2065-04-25      | Variable      | 1.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $1647.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2216.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-43400.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-12                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 12 1A           | CUSIP: 12667AAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     223564 | PA      | $205054.33    | 0.04%             | 2036-12-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.0000 01/23/25-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-2952.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-62                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 62 2A1        | CUSIP: 12668ATT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      18321 | PA      | $15719.31     | 0.00%             | 2035-12-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-7802.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-37219.44    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $68782.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-681.66      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8385 FR 12/53 FIXED 6.5             | CUSIP: 3132DWJ61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     226154 | PA      | $233742.70    | 0.04%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT BONDS 12/53 1.75                    | CUSIP: 135087M68<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     910000 | PA      | $452341.60    | 0.09%             | 2053-12-01      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA7988 G2 04/52 FIXED 3                    | CUSIP: 36179W2V9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2096841 | PA      | $1856688.26   | 0.35%             | 2052-04-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2643.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.27000 03/12/40-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $152680.64    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 08/49 2.25                              | CUSIP: 912810SJ8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1300000 | PA      | $815902.35    | 0.15%             | 2049-08-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| ONSLOW BAY MORTGAGE LOAN TRUST 2022-INV2                                      | ONSLOW BAY FINANCIAL LLC OBX 2022 INV2 A1 144A          | CUSIP: 67114WAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1573487 | PA      | $1338945.72   | 0.25%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/32 0.125                             | CUSIP: 91282CDX6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1041426 | PA      | $944312.44    | 0.18%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| AURIUM CLO III DAC 3A                                                         | AURIUM CLO ACLO 3A AR 144A                              | CUSIP: ACI1FVVB0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     456988 | PA      | $538511.08    | 0.10%             | 2030-04-16      | Floating      | 2.92%                 | No            |                  2 | On Loan: No      |
| GACI FIRST INVESTMENT COMPANY                                                 | GACI FIRST INVESTMENT COMPANY GUAR REGS 01/34 5.25      | CUSIP: ACI2MLG86<br>LEI: 558600TU1PWGNLZ3XM88 | Long             | DBT              | CORP              | KY        |     600000 | PA      | $605861.25    | 0.11%             | 2034-01-29      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA ROMANIA                                         | CUSIP: ACI2P7GW1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     500000 | PA      | $555132.80    | 0.11%             | 2037-05-30      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $0.00         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.00000 05/18/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-23394.35    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1316.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MANHATTAN WEST 2020-1MW                                                       | MANHATTAN WEST OMW 2020 1MW A 144A                      | CUSIP: 563136AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $1324702.82   | 0.25%             | 2039-09-10      | Fixed         | 2.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $269436.04    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| PSP CAPITAL INC                                                               | PSP CAPITAL INC PSP CAPITAL INC                         | CUSIP: ACI2QY2T3<br>LEI: 549300B456N0WEIC5249 | Long             | DBT              | MUN               | CA        |    3300000 | PA      | $2196605.46   | 0.42%             | 2031-09-05      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-50.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT RRB BONDS 12/44 1.5                 | CUSIP: 135087ZH0<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     565408 | PA      | $408367.74    | 0.08%             | 2044-12-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CAIXABANK SA (AKA: LA CAIXA)                                                  | CAIXABANK SA 144A 09/27 VAR                             | CUSIP: 12803RAB0<br>LEI: 7CUNS533WID6K7DGFI87 | Long             | DBT              | CORP              | ES        |     800000 | PA      | $819476.51    | 0.16%             | 2027-09-13      | Floating      | 6.68%                 | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                          | JYSKE REALKREDIT A/S COVERED 07/50 1.5                  | CUSIP: BD9H2PII9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.15         | 0.00%             | 2050-07-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-328871.43   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD BRL BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-111465.63   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.80346 03/03/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $23507.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-1690.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS KRW 2.75000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |          1 | NC      | $68087.47     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| QATARENERGY                                                                   | QATAR ENERGY SR UNSECURED 144A 07/31 2.25               | CUSIP: 74730DAC7<br>LEI: 254900QTESJKJ3P87J26 | Long             | DBT              | CORP              | QA        |     300000 | PA      | $263154.00    | 0.05%             | 2031-07-12      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/4.00000 03/17/26-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $471615.48    | 0.09%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20250911                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-3598.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-1                                              | TOWD POINT MORTGAGE TRUST TPMT 2020 1 A1 144A           | CUSIP: 89178WAU2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     419618 | PA      | $403162.30    | 0.08%             | 2060-01-25      | Variable      | 2.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBSORA/2.75000 09/18/24-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $-502085.19   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-5233.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-43451.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.8500 12/19/24-8Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-432.57      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $222.18       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20250911                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-1566.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $2750.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 806506 FN 10/44 FLOATING VAR                  | CUSIP: 31406DAF3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       3148 | PA      | $3187.70      | 0.00%             | 2044-10-01      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250812                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $806.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 06/54 2.2                   | CUSIP: ACI2PXFN5<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  310000000 | PA      | $1894572.41   | 0.36%             | 2054-06-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 07/26 VAR                | CUSIP: 225401AY4<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     600000 | PA      | $600565.13    | 0.11%             | 2026-07-15      | Floating      | 6.37%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 09/43 1.5                   | CUSIP: ACI2KL3P4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  257000000 | PA      | $1582029.93   | 0.30%             | 2043-09-20      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.50000 06/20/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $87881.75     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MITSUBISHI UFJ FINANCIAL GROUP INC (MUFG)                                     | MITSUBISHI UFJ FIN GRP MITSUBISHI UFJ FIN GRP           | CUSIP: 606822DE1<br>LEI: 353800V2V8PUY9TK3E06 | Long             | DBT              | CORP              | JP        |    2000000 | PA      | $2052501.26   | 0.39%             | 2030-04-17      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 12/29 1.375                      | CUSIP: ACI1T3QY3<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     140000 | PA      | $144465.52    | 0.03%             | 2029-12-02      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20250911                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-940.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMONWEALTH BANK OF AUSTRALIA                                                | COMMONWEALTH BANK AUST COVERED 144A 01/30 4.971         | CUSIP: 202712BW4<br>LEI: MSFSBD3QN1GSN7Q6C537 | Long             | DBT              | CORP              | AU        |    4900000 | PA      | $5083109.67   | 0.96%             | 2030-01-22      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 05/55 4.75                              | CUSIP: 912810UK2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $298359.38    | 0.06%             | 2055-05-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM7441 FN 05/51 FIXED VAR                     | CUSIP: 3140XBHT0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68494 | PA      | $59344.63     | 0.01%             | 2051-05-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 07/25 0.00000                             | CUSIP: 912797PE1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      21000 | PA      | $20961.41     | 0.00%             | 2025-07-17      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL DA0866 FN 09/53 FIXED 5.5                     | CUSIP: 3140A06C8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     337386 | PA      | $338470.16    | 0.06%             | 2053-09-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.82700 05/06/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $14807.70     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-18204.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.62000 09/02/25-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-626689.02   | -0.12%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.25000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $40243.18     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND SR UNSECURED 10/33 4.875             | CUSIP: 731011AV4<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     400000 | PA      | $398185.44    | 0.08%             | 2033-10-04      | Fixed         | 4.88%                 | 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        |    4700000 | PA      | $1372400.00   | 0.26%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| METROPOLIS OF TOKYO JAPAN                                                     | TOKYO METROPOLITAN GOVT SR UNSECURED 144A 07/25 0.75    | CUSIP: 59173LAD2<br>LEI: 353800FABE4GGB1BMO18 | Long             | DBT              | NUSS              | JP        |    2100000 | PA      | $2096533.80   | 0.40%             | 2025-07-16      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 01/29 VAR                | CUSIP: 225401AF5<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     800000 | PA      | $787830.02    | 0.15%             | 2029-01-12      | Floating      | 3.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20250730                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $2405.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LOAN TRUST 2007-1XS                                   | MORGAN STANLEY MORTGAGE LOAN T MSM 2007 1XS 2A3         | CUSIP: 61752JAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     127937 | PA      | $27703.99     | 0.01%             | 2046-09-25      | Variable      | 6.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $3051.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-HY2                                            | TOWD POINT MORTGAGE TRUST TPMT 2019 HY2 A1 144A         | CUSIP: 89177HAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     177575 | PA      | $181888.44    | 0.03%             | 2058-05-25      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-860.84      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 03/19/25-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $12438.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20250707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $774.80       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                           | SAXON ASSET SECURITIES TRUST SAST 2007 4 A2 144A        | CUSIP: 80557CAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     258102 | PA      | $225339.07    | 0.04%             | 2037-12-25      | Floating      | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 2YR NOTE (CBT) SEP25 XCBT 20250930                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         50 | NC      | $47005.30     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE REMICS 2025-19                                                     | FANNIE MAE FNR 2025 19 FC                               | CUSIP: 3136BVBY3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1143947 | PA      | $1144362.26   | 0.22%             | 2055-03-25      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.00000 03/20/24-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-27479.63    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| WACHOVIA MORTGAGE LN TRUST LLC 2005-B                                         | WACHOVIA MORTGAGE LOAN TRUST, WMLT 2005 B 2A4           | CUSIP: 92977YBW0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11901 | PA      | $11685.98     | 0.00%             | 2035-10-20      | Floating      | 7.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-105711.26   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-191.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GALLATIN FUNDING LTD, GALLATIN CLO VII LLC 2017-1A                            | GALLATIN LOAN MANAGEMENT, LLC GALL 2017 1A A1R 144A     | CUSIP: 36361UAL4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1581720 | PA      | $1585633.83   | 0.30%             | 2031-07-15      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR3                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR3 A2         | CUSIP: 939336Z48<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9868 | PA      | $9925.16      | 0.00%             | 2035-03-25      | Floating      | 5.06%                 | 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      | $202650.00    | 0.04%             | 2032-07-02      | Fixed         | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.9314* 02/06/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1174.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $67616.23     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-2492.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-4953.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062671<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3100000 | PA      | $3201161.87   | 0.61%             | 2054-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $8615.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A                                     | REAL ESTATE ASSET LIQUIDITY TR REALT 2020 1A A2 144A    | CUSIP: 75585RRU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |    1000000 | PA      | $690912.43    | 0.13%             | 2055-02-12      | Fixed         | 2.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3487.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-5080.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $547.99       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1119.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS 144A REGS 05/56 3.75             | CUSIP: ACI2TVNT3<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |     300000 | PA      | $334182.24    | 0.06%             | 2056-05-25      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250808                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $239.46       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300516                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6504.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CZK BOUGHT USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $-28455.23    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-41555.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY MORTGAGE LN TR-2006-8AR                                        | MORGAN STANLEY MORTGAGE LOAN T MSM 2006 8AR 5A4         | CUSIP: 61749LAP6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8348 | PA      | $8175.91      | 0.00%             | 2036-06-25      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2004-63                                                            | FANNIE MAE FNR 2004 63 FA                               | CUSIP: 31394ANT9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        166 | PA      | $163.32       | 0.00%             | 2034-08-25      | Floating      | 4.59%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-21683.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250814                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $325.27       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $106289.49    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20250929                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-29754.09    | -0.01%            |  |  |  | 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        |     445645 | PA      | $525600.22    | 0.10%             | 2034-10-23      | Floating      | 3.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR EUR ESTRON/2.02754 12/10/24-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-11114.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-20123.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2007-1                                              | NOVASTAR HOME EQUITY LOAN NHEL 2007 1 A1A               | CUSIP: 669971AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     452662 | PA      | $294453.42    | 0.06%             | 2037-03-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1752.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                        | CVS CORPORATION                                         | CUSIP: 12665JUF4<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249487.25    | 0.05%             | 2025-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U9FTA7 PIMCO SWAPTION 4.05 PUT USD 20250630          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2000000 | NC      | $-0.20        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-278.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20250724                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $347.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR EUR ESTRON/1.92272 03/10/25-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-24676.79    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVST LN TR 2006-4                                           | STRUCTURED ASSET INVESTMENT LO SAIL 2006 4 A2           | CUSIP: 86360WAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     283813 | PA      | $208806.87    | 0.04%             | 2036-07-25      | Floating      | 4.69%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                    | ONTARIO (PROVINCE OF) SR UNSECURED 06/33 3.65           | CUSIP: 68333ZAY3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    8800000 | PA      | $6498401.12   | 1.23%             | 2033-06-02      | Fixed         | 3.65%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-308.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL 1G0173 FH 04/35 FLOATING VAR          | CUSIP: 3128NCFN9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       6882 | PA      | $7017.87      | 0.00%             | 2035-04-01      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                      | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/55 6.375      | CUSIP: 80414L3F0<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |     300000 | PA      | $300199.81    | 0.06%             | 2055-06-02      | Fixed         | 6.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-45447.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA7368 G2 05/51 FIXED 3                    | CUSIP: 36179WFH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     422253 | PA      | $374347.45    | 0.07%             | 2051-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20250827                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $3139.78      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U7LXA1 PIMCO SWAPTION 4.57 PUT USD 20250813          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   30900000 | NC      | $33.99        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250717                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $95.44        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                          | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1W77N5<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.24         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-WFH3                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 WFH3 M1        | CUSIP: 17313CAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     799093 | PA      | $797897.36    | 0.15%             | 2037-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-5                                                             | FANNIE MAE FNR 2006 5 3A2                               | CUSIP: 31394VL73<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1532 | PA      | $1569.06      | 0.00%             | 2035-05-25      | Floating      | 6.78%                 | No            |                  2 | On Loan: No      |
| BANQUE FEDERATIVE DU CREDIT MUTUEL (BFCM)                                     | BANQUE FED CRED MUTUEL 144A 01/27 5.088                 | CUSIP: 06675FBC0<br>LEI: VBHFXSYT7OG62HNT8T76 | Long             | DBT              | CORP              | FR        |     600000 | PA      | $606919.43    | 0.11%             | 2027-01-23      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $281.65       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF1                                            | STRUCTURED ASSET SECURITIES CO SASC 2006 RF1 1A 144A    | CUSIP: 86359DXP7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     153150 | PA      | $127572.37    | 0.02%             | 2036-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1001.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2023-NQM1                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2023 NQM1 A1A 144A   | CUSIP: 64831HAM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     466755 | PA      | $471755.35    | 0.09%             | 2063-10-25      | Fixed         | 6.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | TRS SOFRINDX/IBOXIG INDX 12/22/25 BPS                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-229498.17   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MYR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $669.15       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20250710                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $9963.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 01/36 VAR              | CUSIP: 46647PEW2<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1339538.59   | 0.25%             | 2036-01-24      | Floating      | 5.50%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                            | COOPERATIEVE RABOBANK UA COOPERATIEVE RABOBANK UA       | CUSIP: 74977RDT8<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |    1700000 | PA      | $1753721.41   | 0.33%             | 2030-03-05      | Floating      | 5.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-5497.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC GOLDMAN SACHS GROUP INC         | CUSIP: 38141GA87<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     800000 | PA      | $832933.96    | 0.16%             | 2030-04-25      | Floating      | 5.73%                 | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 05/32 VAR                | CUSIP: 225401AU2<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     500000 | PA      | $454012.79    | 0.09%             | 2032-05-14      | Floating      | 3.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CHF SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $14391.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-24258.24    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250717                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1063.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 3397                                                              | FREDDIE MAC FHR 3397 FC                                 | CUSIP: 31397PLU2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1938 | PA      | $1938.04      | 0.00%             | 2037-12-15      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-41085.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 12/18/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $44856.58     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS HEALTH CORPORATION                                                        | CVS CORPORATION 07/25 ZCP                               | CUSIP: 12665JUE7<br>LEI: 549300EJG376EN5NQE29 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249522.38    | 0.05%             | 2025-07-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| LOANCORE 2022-CRE7 ISSUER LTD                                                 | LOANCORE 2022 CRE7 ISSUER LTD. LNCR 2022 CRE7 A 144A    | CUSIP: 53946PAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1391439 | PA      | $1394988.55   | 0.26%             | 2037-01-17      | Floating      | 5.85%                 | No            |                  2 | On Loan: No      |
| SCULE 6A                                                                      | SCULPTOR EUROPEAN CLO SCULE 6A AR 144A                  | CUSIP: ACI1ZPWK0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1000000 | PA      | $1175447.50   | 0.22%             | 2034-10-15      | Floating      | 3.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R4N4 PIMCO FXVAN PUT EUR CZK 24.60000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1535117 | NC      | $7746.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF BRITISH COLUMBIA CANADA                                           | BRITISH COLUMBIA PROV OF UNSECURED 06/34 4.15           | CUSIP: 110709AK8<br>LEI: 54930058TO7MEKUHWL16 | Long             | DBT              | NUSS              | CA        |    3700000 | PA      | $2802824.41   | 0.53%             | 2034-06-18      | Fixed         | 4.15%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 01/49 1.75               | CUSIP: ACI14WP35<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1300000 | PA      | $955338.10    | 0.18%             | 2049-01-22      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                           | INTESA SANPAOLO SPA 144A 11/33 VAR                      | CUSIP: 46115HBV8<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |     700000 | PA      | $812883.55    | 0.15%             | 2033-11-21      | Floating      | 8.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/1.75000 06/15/22-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1163642.37   | 0.22%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-121                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 121 PE          | CUSIP: 38380TV37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5207 | PA      | $5107.47      | 0.00%             | 2046-07-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 02/34 3.75                    | CUSIP: ACI23CJP6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     600000 | PA      | $604550.19    | 0.11%             | 2034-02-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $4600.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | KSA SUKUK LTD SR UNSECURED 144A 10/28 5.268             | CUSIP: 48266XAF2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | KY        |     400000 | PA      | $410590.50    | 0.08%             | 2028-10-25      | Fixed         | 5.27%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.75000 03/19/25-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-65020.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGES 2007-1 A                                                | EUROHOME UK MORTGAGES PLC EHMU 2007 1 A REGS            | CUSIP: B1VBS4II2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      40134 | PA      | $54919.27     | 0.01%             | 2044-06-15      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-172757.62   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $107.57       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT HUF SOLD USD 20250822                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $3676.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 06/30 1.375                   | CUSIP: ACI1LSN29<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 1811520000 | PA      | $1265833.49   | 0.24%             | 2030-06-10      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-OPT4                                       | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT4 M6        | CUSIP: 17307GUW6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1119186 | PA      | $1073605.33   | 0.20%             | 2035-07-25      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $14777.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 06/28 2.625                   | CUSIP: ACI12HKN1<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 9018720000 | PA      | $6715629.33   | 1.27%             | 2028-06-10      | Fixed         | 2.62%                 | 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        |     954475 | PA      | $467622.07    | 0.09%             | 2037-08-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $147.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUT+5.89/0.0000 03/17/21-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-667661.01   | -0.13%            |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE GOVT                                                                | SINGAPORE GOVERNMENT BONDS 03/35 2.75                   | CUSIP: ACI2V7HS2<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |    2170000 | PA      | $1785840.06   | 0.34%             | 2035-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-231.60      | -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        |     307616 | PA      | $2995256.21   | 0.57%             |  |  |  | No            |                  1 | On Loan: No      |
| HAYFIN EMERALD CLO XIV DAC 14A                                                | HAYFIN EMERALD CLO HAYEM 14A A 144A                     | CUSIP: ACI2SSWQ7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2600000 | PA      | $3065676.78   | 0.58%             | 2039-01-22      | Floating      | 3.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $7527.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL STATE OF ISRAEL                         | CUSIP: 46514BRL3<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    1200000 | PA      | $1216694.30   | 0.23%             | 2034-03-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 11/48 3.375                             | CUSIP: 912810SE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2600000 | PA      | $2057554.69   | 0.39%             | 2048-11-15      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (5 YEAR ISSUE) BONDS 06/29 0.4                    | CUSIP: ACI2QPV94<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  300000000 | PA      | $2042533.25   | 0.39%             | 2029-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| CRESTLINE DENALI CLO XV 2017-1A                                               | CRESTLINE DENALI CLO XV, LTD. DEN15 2017 1A AR 144A     | CUSIP: 22616CAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |      28486 | PA      | $28520.76     | 0.01%             | 2030-04-20      | Floating      | 5.56%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F060683<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   39600000 | PA      | $40205979.79  | 7.61%             | 2054-08-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM3243 FN 02/50 FIXED VAR                     | CUSIP: 3140X6S93<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     222689 | PA      | $203018.86    | 0.04%             | 2050-02-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $2879.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 144A 08/37 6.9            | CUSIP: 715638AV4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3400000 | PA      | $978240.23    | 0.19%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| BAIN CAPITAL CREDIT CLO 2020-2 LTD                                            | BAIN CAPITAL CREDIT CLO, LIMIT BCC 2020 2A ARR 144A     | CUSIP: 05683EAW2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1600000 | PA      | $1603884.34   | 0.30%             | 2034-07-19      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $13.28        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.95913 02/12/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-6924.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-7                                               | BEAR STEARNS ALT A TRUST BALTA 2005 7 22A1              | CUSIP: 07386HVS7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10895 | PA      | $6256.66      | 0.00%             | 2035-09-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: BL6K5DII1<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |    4164614 | PA      | $534773.58    | 0.10%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250814                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $156.59       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $9875.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.8500 12/31/24-5Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $36705.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.90500 08/15/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9964.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $3691.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-25206.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $53.70        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI GOVT                                                                | ABU DHABI GOVT INT L ABU DHABI GOVT INT L               | CUSIP: 29135LAU4<br>LEI: 213800FER4348CINTA77 | Long             | DBT              | NUSS              | AE        |    1700000 | PA      | $1696451.28   | 0.32%             | 2054-04-30      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2022-INV1                                            | JP MORGAN MORTGAGE TRUST JPMMT 2022 INV1 A3 144A        | CUSIP: 465973AC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2485819 | PA      | $2125369.13   | 0.40%             | 2052-03-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2021-FL2                                     | STARWOOD COMMERCIAL MORTGAGE T STWD 2021 FL2 A 144A     | CUSIP: 78486BAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     782310 | PA      | $779929.08    | 0.15%             | 2038-04-18      | Floating      | 5.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR ULTRA FUT SEP25 XCBT 20250919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        238 | NC      | $567229.23    | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-321.55      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS SEK 2.47375 02/03/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SE        |          1 | NC      | $58791.03     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20250814                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $883.51       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RMAC SECURITIES PLC 2006-NS3X                                                 | RMAC SECURITIES PLC RMACS 2006 NS3X A2A REGS            | CUSIP: B1FJ01II9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     210142 | PA      | $282571.37    | 0.05%             | 2044-06-12      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 03/49 0.5                   | CUSIP: ACI1B32J1<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  428000000 | PA      | $1895171.70   | 0.36%             | 2049-03-20      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.25000 09/21/22-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-342990.04   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $4025.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $197.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR R 3.50000 03/19/25-5Y GST                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $74050.90     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MGTE PROD INC 2005-EFC7                                     | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 EFC7 A2        | CUSIP: 76112BR85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     611195 | PA      | $508997.71    | 0.10%             | 2035-12-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.90000 09/02/25-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-545231.38   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC                                          | CHARTER COMM OPETING LLC 2024 TERM LOAN B5              | CUSIP: 16117LCE7<br>LEI: 549300TPZNMN50BJ3745 | Long             | LON              | CORP              | US        |     548867 | PA      | $550343.03    | 0.10%             | 2031-12-15      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $1642.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR16                                                   | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR16 2A1       | CUSIP: 92925GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      60858 | PA      | $54184.87     | 0.01%             | 2036-12-25      | Floating      | 4.47%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB6030 FN 04/53 FIXED 4.5                     | CUSIP: 3140QRVY6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     225521 | PA      | $216163.95    | 0.04%             | 2053-04-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 12/44 2                     | CUSIP: ACI2T82B6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  545000000 | PA      | $3583666.89   | 0.68%             | 2044-12-20      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3750.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.96000 06/27/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10275.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA ROMANIA                                         | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     500000 | PA      | $580411.62    | 0.11%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR2                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR2 2A1A       | CUSIP: 92922FD21<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      16556 | PA      | $16477.84     | 0.00%             | 2045-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | REPUBLIC OF PERU SR UNSECURED 12/60 2.78                | CUSIP: 715638DQ2<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     700000 | PA      | $377811.00    | 0.07%             | 2060-12-01      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 01/30 5.4          | CUSIP: 36143L2R5<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1130142.40   | 0.21%             | 2030-01-13      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-1                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 1 1A1                  | CUSIP: 12669GRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8854 | PA      | $7752.09      | 0.00%             | 2035-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT HUF SOLD USD 20250822                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $173.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC 01/28 1                          | CUSIP: 853254CG3<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1360049.94   | 0.26%             | 2028-01-12      | Floating      | 2.61%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS  STRUC PROD INC 2007-R6                                          | BEAR STEARNS STRUCTURED PRODUC BSSP 2007 R6 2A1         | CUSIP: 07402FAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9859 | PA      | $7844.28      | 0.00%             | 2046-12-26      | Floating      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $2787.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS 144A REGS 02/30 2.75             | CUSIP: ACI2NSRJ4<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |   10400000 | PA      | $12378216.39  | 2.34%             | 2030-02-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-59076.61    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F032682<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3400000 | PA      | $-3060565.49  | -0.58%            | 2054-08-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $4246.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | AUST 3YR BOND FUT SEP25 XSFE 20250915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |        181 | NC      | $42071.32     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.10000 09/02/25-27Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-95369.66    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-22.26       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260521                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $20.02        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BF0463 FN 03/60 FIXED 3                       | CUSIP: 3140FXQR6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     436429 | PA      | $376375.22    | 0.07%             | 2060-03-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 12/35 VAR            | CUSIP: 95000U3N1<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1104667.39   | 0.21%             | 2035-12-03      | Floating      | 5.21%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-4                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 4 A6            | CUSIP: 12668WAF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      70159 | PA      | $65701.82     | 0.01%             | 2035-08-25      | Variable      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $2536.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H24                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H24 F           | CUSIP: 38376RJ72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     176728 | PA      | $177589.77    | 0.03%             | 2066-11-20      | Floating      | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY R 1.50000 03/18/26-5Y CBK                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $16024.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251204                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-19650.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KBC GROEP NV                                                                  | KBC GROUP NV SR UNSECURED 144A 01/29 VAR                | CUSIP: 48241FAB0<br>LEI: 213800X3Q9LSAKRUWY91 | Long             | DBT              | CORP              | BE        |     800000 | PA      | $826310.34    | 0.16%             | 2029-01-19      | Floating      | 5.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $222.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-3621.62     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS 144A REGS 10/27 2.75             | CUSIP: ACI02EIC7<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    5200000 | PA      | $6219673.66   | 1.18%             | 2027-10-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.47000 09/04/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $29665.36     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| GERMANY GOVT                                                                  | BUNDESREPUB. DEUTSCHLAND BONDS REGS 02/33 2.3           | CUSIP: ACI2C96L6<br>LEI: 529900AQBND3S6YJLY83 | Long             | DBT              | NUSS              | DE        |    1600000 | PA      | $1869247.48   | 0.35%             | 2033-02-15      | Fixed         | 2.30%                 | 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        |  204000000 | PA      | $1301474.81   | 0.25%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2006-RF4                                            | STRUCTURED ASSET SECURITIES CO SASC 2006 RF4 1A1 144A   | CUSIP: 863911AA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     295322 | PA      | $247101.82    | 0.05%             | 2036-10-25      | Floating      | 4.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $2731.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.2500 12/18/24-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-19293.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $2217.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F030678<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5500000 | PA      | $4759991.72   | 0.90%             | 2054-07-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260528                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-150.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                  | ALIMENTATION COUCHE TARD INC 07/25 ZCP                  | CUSIP: 01626UUW3<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $498047.90    | 0.09%             | 2025-07-30      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $97.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NEW SOUTH WALES TREASURY CORPORATION                                          | NEW S WALES TREASURY CRP LOCAL GOVT G 03/33 2           | CUSIP: ACI1KFVM5<br>LEI: TC7LRO17HPNPLTAV0H77 | Long             | DBT              | NUSS              | AU        |     800000 | PA      | $442273.47    | 0.08%             | 2033-03-08      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/2.96478 10/05/22-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $340531.67    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-293.11      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 12/32 4.25                    | CUSIP: ACI29DC42<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        |  872960000 | PA      | $712967.95    | 0.13%             | 2032-12-10      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $27404.08     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| AMMC CLO 24 LTD                                                               | AMERICAN MONEY MANAGEMENT CORP AMMC 2021 24A AR 144A    | CUSIP: 00177LAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1300474.38   | 0.25%             | 2035-01-20      | Floating      | 5.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/1.9000 12/18/19-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-147562.63   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT BONDS 12/33 3.25                    | CUSIP: 135087Q72<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    5300000 | PA      | $3913165.16   | 0.74%             | 2033-12-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.76527 03/04/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $59156.40     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BR1297 FN 02/51 FIXED 2.5                     | CUSIP: 3140KYNP5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     133474 | PA      | $111491.36    | 0.02%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND SR UNSECURED REGS 02/43 4.25         | CUSIP: ACI2CX2R4<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     300000 | PA      | $354569.03    | 0.07%             | 2043-02-14      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W1                                                 | ARGENT SECURITIES INC. ARSI 2005 W1 A1                  | CUSIP: 040104MX6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     846550 | PA      | $758661.69    | 0.14%             | 2035-05-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290507                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $16074.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U9GMA2 PIMCO SWAPTION 4.1 PUT USD 20250703           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1300000 | NC      | $-0.78        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F040685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     250000 | PA      | $232441.47    | 0.04%             | 2054-08-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CANADIAN IMPERIAL BANK OF COMMERCE (CIBC)                                     | CANADIAN IMPERIAL BANK COVERED 144A 01/30 4.876         | CUSIP: 13607PVU5<br>LEI: 2IGI19DL77OX0HC3ZE78 | Long             | DBT              | CORP              | CA        |    3700000 | PA      | $3824555.21   | 0.72%             | 2030-01-14      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED REGS 05/29 0.875   | CUSIP: ACI21KTC8<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     800000 | PA      | $877521.00    | 0.17%             | 2029-05-09      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-597.41      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.50000 06/18/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $54589.28     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF3          | CUSIP: 75970HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     635400 | PA      | $193941.70    | 0.04%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| NOMURA HOLDINGS INC                                                           | NOMURA HOLDINGS INC SR UNSECURED 01/27 2.329            | CUSIP: 65535HAZ2<br>LEI: 549300B3CEAHYG7K8164 | Long             | DBT              | CORP              | JP        |     500000 | PA      | $483763.50    | 0.09%             | 2027-01-22      | Fixed         | 2.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.93000 06/25/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3384.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                       | THORNBURG MORTGAGE SECURITIES TMST 2007 3 2A1           | CUSIP: 88522XAC5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3107 | PA      | $3029.95      | 0.00%             | 2047-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 07/66 3 | CUSIP: BYZK81II4<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     300000 | PA      | $309095.43    | 0.06%             | 2066-07-30      | Fixed         | 3.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250806                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $318.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND SR UNSECURED 04/53 5.5               | CUSIP: 731011AW2<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     300000 | PA      | $279899.42    | 0.05%             | 2053-04-04      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.86092 03/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1091.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT DKK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $2322.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.00000 06/20/24-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-20791.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $3457.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | PEMEX LCDS SP DUB                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $9493.32      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-5                                               | BEAR STEARNS ALT A TRUST BALTA 2006 5 2A2               | CUSIP: 073873AK7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      23094 | PA      | $10574.95     | 0.00%             | 2036-08-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA GOVERNMENT BONDS 04/31 2.632                   | CUSIP: ACI1S5B09<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    2700000 | PA      | $618284.92    | 0.12%             | 2031-04-15      | Fixed         | 2.63%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 04/28 VAR                   | CUSIP: 61747YFN0<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2000000 | PA      | $2011923.66   | 0.38%             | 2028-04-13      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R5C7 PIMCO FXVAN PUT EUR USD 1.11000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    3445000 | NC      | $9783.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-5378.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY R 1.50000 03/18/26-5Y BPS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $30170.83     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55          | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     200000 | PA      | $195305.73    | 0.04%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260602                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-12.27       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO6                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO6 A1         | CUSIP: 75114NAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     230739 | PA      | $49992.02     | 0.01%             | 2046-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-15916.33    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-OAT FUTURE   SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -139 | NC      | $20180.90     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2007-AMC1                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC1 A1 144A   | CUSIP: 17311BAS2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     351108 | PA      | $192446.95    | 0.04%             | 2036-12-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.45100 05/27/25-25Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-449354.41   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-1131.50     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.53200 08/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7329.12      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1436.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-9                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 9 1A3                  | CUSIP: 12669GZQ7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9238 | PA      | $8101.94      | 0.00%             | 2035-05-25      | Floating      | 4.89%                 | No            |                  2 | On Loan: No      |
| MAN GLG EURO CLO V DAC 5A                                                     | MAN GLG EURO CLO GLGE 5A A1R 144A                       | CUSIP: ACI1WBHS4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     434796 | PA      | $510790.97    | 0.10%             | 2031-12-15      | Floating      | 2.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL QG4720 FR 06/53 FIXED 5.5             | CUSIP: 3133C5G54<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     943549 | PA      | $944728.13    | 0.18%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20250818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $4023.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.0000 01/10/25-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-5904.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE GOVT                                                                | SINGAPORE GOVERNMENT BONDS 07/39 2.375                  | CUSIP: ACI1CY252<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |     479000 | PA      | $379032.21    | 0.07%             | 2039-07-01      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUND FUTURE  SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -208 | NC      | $231921.07    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| WASHINGTON MUTUAL ALTERNATIVE MORTGAGE PASS-THROUGH CERTIFICATES 2006-AR5     | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR5 3A        | CUSIP: 93935AAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13936 | PA      | $8542.78      | 0.00%             | 2046-07-25      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| CITIGROUP INC                                                                 | CITIGROUP INC SR UNSECURED REGS 06/38 6.8               | CUSIP: B3B27BII7<br>LEI: 6SHGI4ZSSLCXXQSBB395 | Long             | DBT              | CORP              | US        |     300000 | PA      | $459144.48    | 0.09%             | 2038-06-25      | Fixed         | 6.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-34575.19    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20251128                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-83076.18    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX ITRAXX MAIN43 5Y ICE                                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $-314261.81   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS LOAN FUND XI DAC 21-1                                            | CORDATUS CLO PLC CORDA 11A AR 144A                      | CUSIP: ACI1W60L8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     510730 | PA      | $601991.14    | 0.11%             | 2031-10-15      | Floating      | 2.93%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/50 1                | CUSIP: BKDSHHII6<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |         15 | PA      | $1.83         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| AUSTRALIA GOVT                                                                | AUSTRALIAN GOVERNMENT SR UNSECURED REGS 06/51 1.75      | CUSIP: BMZ8B6II2<br>LEI: 213800J6B7JSBDETCB42 | Long             | DBT              | NUSS              | AU        |      50000 | PA      | $17900.40     | 0.00%             | 2051-06-21      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BF0334 FN 01/59 FIXED 3.5                     | CUSIP: 3140FXLQ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     789166 | PA      | $706261.99    | 0.13%             | 2059-01-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-101.07      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/31 0.125                             | CUSIP: 91282CCM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2513238 | PA      | $2313684.94   | 0.44%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.65000 04/12/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-56616.92    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BJ8703 FN 05/49 FIXED 3.5                     | CUSIP: 3140HAU57<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     110881 | PA      | $102407.66    | 0.02%             | 2049-05-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U9EJA1 PIMCO SWAPTION 3.727 CALL USD 202506          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2600000 | NC      | $-9151.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2008-R2                                              | JP MORGAN MORTGAGE TRUST JPMMT 2008 R2 1A1 144A         | CUSIP: 46632TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25647 | PA      | $23941.61     | 0.00%             | 2037-07-27      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $3359.54      | 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        |    5300000 | PA      | $1632549.61   | 0.31%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.8468* 12/02/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12742.70    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-310.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-7745.14     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2003-AR1                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2003 AR1 A5         | CUSIP: 939336PB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2393 | PA      | $2367.39      | 0.00%             | 2033-03-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $970.63       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750QG94 PIMCO FXVAN PUT EUR CZK 24.65000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     528000 | NC      | $3764.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED WHOLESALE MORTGAGE LLC 2021-INV5                                       | UNITED WHOLESALE MORTGAGE LLC UWM 2021 INV5 A12 144A    | CUSIP: 90355DAV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     480780 | PA      | $409068.01    | 0.08%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.75000 09/18/24-10Y BPS                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $-21405.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $121182.41    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 10/50 0.625              | CUSIP: BMBL1FII0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1300000 | PA      | $656407.94    | 0.12%             | 2050-10-22      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $421.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20250708                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $116.21       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-45056.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U6F1A0 PIMCO SWAPTION 4.33 PUT USD 20250925          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KY        |   -2300000 | NC      | $-714.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.1800 11/25/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-85027.18    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-56                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 56 2A3        | CUSIP: 12668ALV5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3767 | PA      | $3370.69      | 0.00%             | 2035-11-25      | Floating      | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $358.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 09/31 5.125                   | CUSIP: ACI2R9YZ8<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     900000 | PA      | $1047857.78   | 0.20%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| MFA 2020-NQM2 TRUST                                                           | MFRA TRUST MFRA 2020 NQM2 A1 144A                       | CUSIP: 552751AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     203936 | PA      | $197998.68    | 0.04%             | 2065-04-25      | Variable      | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR FUT OPTN  AUG25C 112.5 EXP 07/25/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -8 | NC      | $-4250.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250808                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $302.49       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-5475.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250717                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $601.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT BONDS 03/30 2.75                    | CUSIP: 135087S47<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |     100000 | PA      | $73189.79     | 0.01%             | 2030-03-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2019-RPL3                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2019 RPL3 A1 144A    | CUSIP: 64830NAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     528400 | PA      | $507669.82    | 0.10%             | 2059-07-25      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-2749.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4500.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NZD BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-4554.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 01/31 VAR             | CUSIP: 06051GMP1<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1595540.67   | 0.30%             | 2031-01-24      | Floating      | 5.35%                 | No            |                  2 | On Loan: No      |
| TEXAS NATURAL GAS SECURITIZATION FINANCE CORP                                 | TEXAS NATURAL GAS SECURITIZTN TNGUTL 04/35 FIXED 5.102  | CUSIP: 88258MAA3<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     264801 | PA      | $270988.55    | 0.05%             | 2035-04-01      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $859.41       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 06/20/24-7Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-17834.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 2 2A1                  | CUSIP: 12669GPR6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2084 | PA      | $2060.05      | 0.00%             | 2035-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.78000 05/02/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $91136.07     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250812                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $478.31       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 07/51 1.25               | CUSIP: BLH381II0<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    2100000 | PA      | $1261064.24   | 0.24%             | 2051-07-31      | Fixed         | 1.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-236.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $3960.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250715                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-416.56      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARLYLE GLOBAL MARKET STRATEGIES CLO LTD 2016-3A                              | CARLYLE GLOBAL MARKET STRATEGI CGMS 2016 3A ARRR        | CUSIP: 14311UBA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1300000 | PA      | $1301499.19   | 0.25%             | 2034-07-20      | Floating      | 5.36%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.77147 03/12/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8070.76      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-5606.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2020-2                                              | TOWD POINT MORTGAGE TRUST TPMT 2020 2 A1A 144A          | CUSIP: 89176UAN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     578970 | PA      | $526459.62    | 0.10%             | 2060-04-25      | Variable      | 1.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $17800.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NZD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $4561.11      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $12509.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SEK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-4.28        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MRTG CAPITAL CERT 2006-7                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2006 7 6A3            | CUSIP: 22942KBD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     572807 | PA      | $398190.96    | 0.08%             | 2036-08-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20250812                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-4075.73     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED REGS 09/31 5.125                   | CUSIP: ACI2RB4B9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     200000 | PA      | $232857.28    | 0.04%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-14947.63    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-3839.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-LTV4                                            | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV4 A2 144A        | CUSIP: 46654DAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3766780 | PA      | $3211186.39   | 0.61%             | 2052-01-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-1119.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: ACI1WVDP0<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.17         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| CHILEAN GOVT                                                                  | REPUBLIC OF CHILE REPUBLIC OF CHILE                     | CUSIP: 168863EB0<br>LEI: 549300FLZTJM5YJF8D34 | Long             | DBT              | NUSS              | CL        |     600000 | PA      | $609450.00    | 0.12%             | 2029-01-22      | Fixed         | 4.85%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR1                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR1 1A2        | CUSIP: 86359LAQ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        886 | PA      | $842.34       | 0.00%             | 2034-03-19      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| AMRESCO RES SEC 1999-1                                                        | AMRESCO RESIDENTIAL SECURITIES AMRES 1999 1 A           | CUSIP: 03215PFN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        511 | PA      | $520.17       | 0.00%             | 2029-06-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.11518 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-101193.07   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 5YR NOTE (CBT) SEP25 XCBT 20250930                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        417 | NC      | $531953.92    | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080397 G2 04/30 FLOATING VAR               | CUSIP: 36225CNP7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         87 | PA      | $86.75        | 0.00%             | 2030-04-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.90500 08/15/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-184.52      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $25530.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN GOVT CPI LINKED BONDS 03/28 0.1                   | CUSIP: ACI12NZL6<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  717775920 | PA      | $5161327.49   | 0.98%             | 2028-03-10      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 03/19/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $763679.49    | 0.14%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.06350 11/17/22-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $371024.33    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $3948.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/52 1.5           | CUSIP: ACI1P1CP5<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         15 | PA      | $1.92         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/28 3           | CUSIP: 00774MAW5<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     600000 | PA      | $571791.23    | 0.11%             | 2028-10-29      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-46392.68    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2004-25                                                | COUNTRYWIDE HOME LOANS CWHL 2004 25 1A1                 | CUSIP: 12669GJY8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2365 | PA      | $2228.00      | 0.00%             | 2035-02-25      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KRW SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $664.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1795.84     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.75000 03/18/26-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $56038.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS USD R USSOFR/JPYMUTKCALM-41 CBK                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $34790.05     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20250918                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-45357.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-15032.50    | -0.00%            |  |  |  | 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        |    -547000 | NC      | $-14973.58    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | LONG GILT FUTURE  SEP25 IFLL 20250926                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        116 | NC      | $341180.37    | 0.06%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290508                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $11369.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CBRE SERVICES INC (AKA: CB RICHARD ELLIS SERVICES INC)                        | CBRE SVCS INC                                           | CUSIP: 12610BUA8<br>LEI: 549300CTE3HOMEUMM603 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249670.48    | 0.05%             | 2025-07-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/0.2500 09/14/22-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-65050.45    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $2008.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (40 YEAR ISSUE) BONDS 03/64 2.2                   | CUSIP: ACI2P7MX2<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  440000000 | PA      | $2456948.02   | 0.47%             | 2064-03-20      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U9LEA0 PIMCO SWAPTION 2.72 PUT EUR 20250716          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1600000 | NC      | $-2641.81     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2004-AR3                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2004 AR3 1A2        | CUSIP: 86359LBY4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        344 | PA      | $321.52       | 0.00%             | 2034-07-19      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $5751.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                       | FREDDIE MAC FHR 4579 SD                                 | CUSIP: 3137BPS83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80685 | PA      | $4143.94      | 0.00%             | 2038-01-15      | Floating      | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-11028.31    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CROWN CASTLE INTERNATIONAL CORP (CCI)                                         | CROWN CASTLE                                            | CUSIP: 22823PUN1<br>LEI: 54930012H97VSM0I2R19 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249235.70    | 0.05%             | 2025-07-22      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-3543.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THORNBURG MORTGAGE SECURITIES TR 2007-3                                       | THORNBURG MORTGAGE SECURITIES TMST 2007 3 3A1           | CUSIP: 88522XAE1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       3698 | PA      | $3274.65      | 0.00%             | 2047-06-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MORTGAGE PROD 2005-NC1                                      | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 NC1 AII        | CUSIP: 76112BR36<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     177488 | PA      | $160345.58    | 0.03%             | 2035-12-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| LLOYDS BANKING GROUP PLC                                                      | LLOYDS BANKING GROUP PLC SR UNSECURED 11/35 VAR         | CUSIP: 539439BA6<br>LEI: 549300PPXHEU2JF0AM85 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1424717.31   | 0.27%             | 2035-11-26      | Floating      | 5.59%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2022-INV1                                   | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2022 INV1 A3B 144A  | CUSIP: 17290FBA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1548447 | PA      | $1320053.68   | 0.25%             | 2051-11-27      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-70612.77    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RJ1661 FR 03/54 FIXED 6               | CUSIP: 3142GRZ37<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      73657 | PA      | $74979.32     | 0.01%             | 2054-03-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CHF BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-14425.59    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $10436.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1042.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.59900 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $19458.98     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/28 4                                 | CUSIP: 91282CGP0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $705414.07    | 0.13%             | 2028-02-29      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20250825                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $889.70       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY WELLS FARGO + COMPANY             | CUSIP: 95000U3J0<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1229410.52   | 0.23%             | 2030-01-23      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250708                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-374.69      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.12982 02/14/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-28620.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVAL CLO LTD 2018-1A                                                        | CARVAL CLO LTD CARVL 2018 1A AR 144A                    | CUSIP: 146865AJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     535441 | PA      | $536244.26    | 0.10%             | 2031-07-16      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED 10/53 1.5              | CUSIP: ACI1Z8QZ2<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |         10 | PA      | $1.10         | 0.00%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20251212                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1176.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.00000 01/13/25-8Y* LC                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-6294.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F042681<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -800000 | PA      | $-764949.68   | -0.14%            | 2054-08-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2881.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR P 3.75000 09/20/23-10Y GST                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $-69776.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $17934.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                          | EUROSAIL PLC ESAIL 2007 3X A3A REGS                     | CUSIP: ACI01JMT5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      94055 | PA      | $129075.67    | 0.02%             | 2045-06-13      | Floating      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20250710                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $6608.02      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $72410.81     | 0.01%             |  |  |  | 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        |      30915 | PA      | $28257.48     | 0.01%             | 2046-02-25      | Floating      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-125.90      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW ZEALAND GOVT                                                              | NEW ZEALAND GOVERNMENT UNSECURED 05/31 1.5              | CUSIP: ACI1FN6F7<br>LEI: 549300237GPHG2AI7C34 | Long             | DBT              | NUSS              | NZ        |     400000 | PA      | $211509.46    | 0.04%             | 2031-05-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MB0088 G2 12/54 FIXED 3.5                  | CUSIP: 3618N5C23<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    8799126 | PA      | $8017006.79   | 1.52%             | 2054-12-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $8.84         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-45935.43    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED 09/27 VAR                     | CUSIP: 06738ECJ2<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $2044823.30   | 0.39%             | 2027-09-13      | Floating      | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.88500 07/12/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-29125.79    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                              | TREASURY CORP VICTORIA LOCAL GOVT G 12/32 4.25          | CUSIP: ACI06FV19<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    1200000 | PA      | $781730.70    | 0.15%             | 2032-12-20      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H062685<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   12100000 | PA      | $12399265.91  | 2.35%             | 2054-08-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $-345.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $10.59        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GPMT LTD 2021-FL4                                                             | GPMT LTD. GPMT 2021 FL4 A 144A                          | CUSIP: 36262TAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1061080 | PA      | $1038325.02   | 0.20%             | 2036-12-15      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| TERWIN MORTGAGE TRUST SERIES TMTS 2003-6HE                                    | TERWIN MORTGAGE TRUST TMTS 2003 6HE A1                  | CUSIP: 881561CE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13894 | PA      | $12516.01     | 0.00%             | 2033-11-25      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20250911                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-800.27      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL MA7828 G2 01/52 FIXED 3                    | CUSIP: 36179WVV7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     991423 | PA      | $878187.35    | 0.17%             | 2052-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 07/33 4.875  | CUSIP: 000000000<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     700000 | PA      | $703441.84    | 0.13%             | 2033-07-18      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-340.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20250912                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-5133.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA4346 FN 10/49 FIXED 3                       | CUSIP: 3140QBZL5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     874313 | PA      | $759065.63    | 0.14%             | 2049-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                                  | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/35 5      | CUSIP: 00402AAB7<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |     200000 | PA      | $199894.22    | 0.04%             | 2035-05-06      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R5R4 PIMCO FXVAN CALL USD SEK 10.20000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |    1103000 | NC      | $5747.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| OBX 2023-NQM9 TRUST                                                           | ONSLOW BAY FINANCIAL LLC OBX 2023 NQM9 A1 144A          | CUSIP: 673921AA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     881355 | PA      | $896620.05    | 0.17%             | 2063-10-25      | Fixed         | 7.16%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ADJUSTABLE RATE MTG LN 2004-4                                      | STRUCTURED ADJUSTABLE RATE MOR SARM 2004 4 3A2          | CUSIP: 86359BNU1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         67 | PA      | $66.65        | 0.00%             | 2034-04-25      | Floating      | 6.17%                 | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                           | BANCA MONTE DEI PASCHI S COVERED REGS 10/27 0.875       | CUSIP: ACI1FY8R5<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |     900000 | PA      | $1044344.56   | 0.20%             | 2027-10-08      | Fixed         | 0.88%                 | 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        |       1702 | PA      | $1630.20      | 0.00%             | 2034-11-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 03/28 2.125                   | CUSIP: ACI23CKY5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     400000 | PA      | $454401.53    | 0.09%             | 2028-03-07      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/53 1.5               | CUSIP: BMXQXJII2<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |    2352194 | PA      | $302050.10    | 0.06%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2005-W4                                                 | ARGENT SECURITIES INC. ARSI 2005 W4 A2D                 | CUSIP: 040104PT2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1142606 | PA      | $923536.16    | 0.17%             | 2036-02-25      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                              | TREASURY CORP VICTORIA LOCAL GOVT G 09/35 2             | CUSIP: BMF7LTII5<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    1200000 | PA      | $603110.19    | 0.11%             | 2035-09-17      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| PACIFICORP                                                                    | PACIFICORP PACIFICORP                                   | CUSIP: 695114DC9<br>LEI: SGY07Y7FNYBNLM6Z1M11 | Long             | DBT              | CORP              | US        |     600000 | PA      | $618307.76    | 0.12%             | 2031-02-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20250826                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $7881.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                            | COOPERATIEVE RABOBANK UA 144A 01/33 VAR                 | CUSIP: 74977RDU5<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | DBT              | CORP              | NL        |     900000 | PA      | $937342.78    | 0.18%             | 2033-01-21      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND REPUBLIC OF POLAND                   | CUSIP: 731011AY8<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     900000 | PA      | $905528.03    | 0.17%             | 2034-09-18      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS KRW 2.50000 09/17/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | KR        |          1 | NC      | $-21947.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HKD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HK        |          1 | NC      | $853.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 08/33 VAR                | CUSIP: 225401AZ1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1500000 | PA      | $1632094.80   | 0.31%             | 2033-08-12      | Floating      | 6.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-8128.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSEET MTGE INV INC 2002-AR3                                       | STRUCTURED ASSET MORTGAGE INVE SAMI 2002 AR3 A1         | CUSIP: 86358HNX3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        166 | PA      | $160.76       | 0.00%             | 2032-09-19      | Floating      | 5.09%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQ LN TRUST 2002-3                                           | RENAISSANCE HOME EQUITY LOAN T RAMC 2002 3 M2           | CUSIP: 75970NAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      87666 | PA      | $74584.40     | 0.01%             | 2032-12-25      | Floating      | 6.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-102.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.25000 09/17/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-138564.41   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                          | JYSKE REALKREDIT A/S COVERED 10/53 1.5                  | CUSIP: ACI1X8QV3<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |    1724865 | PA      | $221414.57    | 0.04%             | 2053-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF10                                         | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF10 A1         | CUSIP: 32028HAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     395973 | PA      | $388311.14    | 0.07%             | 2036-07-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20250710                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $873.17       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED REGS 07/31 2.124                   | CUSIP: ACI1D66B5<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     100000 | PA      | $98133.89     | 0.02%             | 2031-07-16      | Fixed         | 2.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $20237.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CAD SOLD USD 20250908                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $49356.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD RON BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-1573.94     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250808                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $134.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $225639.61    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QS6                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QS6 1A1        | CUSIP: 74922EAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     302166 | PA      | $247531.24    | 0.05%             | 2036-06-25      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| PROVINCE OF ONTARIO CANADA                                                    | ONTARIO (PROVINCE OF) SR UNSECURED REGS 01/27 3.5       | CUSIP: ACI0S0LD3<br>LEI: C7PVKCRGLG18EBQGZV36 | Long             | DBT              | NUSS              | CA        |    1000000 | PA      | $655234.45    | 0.12%             | 2027-01-27      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2225.22     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $12476.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $660.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8439 FR 06/54 FIXED 6               | CUSIP: 3132DWLU5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     193237 | PA      | $196581.14    | 0.04%             | 2054-06-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $30.78        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                                   | STATE OF ISRAEL SR UNSECURED 01/33 4.5                  | CUSIP: 46514BRA7<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |     400000 | PA      | $382696.86    | 0.07%             | 2033-01-17      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR5                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR5 A12A       | CUSIP: 93362YAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      13142 | PA      | $12257.43     | 0.00%             | 2046-06-25      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20250717                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5741.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR FUT OPTN  AUG25P 110.2 EXP 07/25/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -24 | NC      | $-3000.00     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| DELTA AIR LINES INC / SKYMILES IP LTD                                         | DELTA AIR LINES/SKYMILES SR SECURED 144A 10/28 4.75     | CUSIP: 830867AB3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     800000 | PA      | $802231.39    | 0.15%             | 2028-10-20      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $35144.37     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 12/48 0.7                   | CUSIP: BJB9V0II4<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  498000000 | PA      | $2341729.11   | 0.44%             | 2048-12-20      | Fixed         | 0.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-222667.67   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $626.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260505                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-285.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                      | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/50 4.55       | CUSIP: 716743AR0<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     200000 | PA      | $169605.19    | 0.03%             | 2050-04-21      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 06/18/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $124735.52    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA INVESTMNT ISSUE BONDS 10/32 4.193              | CUSIP: ACI24V7D3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |    2860000 | PA      | $712707.88    | 0.13%             | 2032-10-07      | Fixed         | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ILS BOUGHT USD 20250709                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1236.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-10310.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.80611 03/03/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12538.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FANNIEMAE WHOLE LOAN 2003-W6                                                  | FANNIEMAE WHOLE LOAN FNW 2003 W6 F                      | CUSIP: 31393BX75<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5103 | PA      | $5082.79      | 0.00%             | 2042-09-25      | Floating      | 4.77%                 | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 01/56 5.375              | CUSIP: ACI2X9NM2<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     500000 | PA      | $697107.00    | 0.13%             | 2056-01-31      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080409 G2 05/30 FLOATING VAR               | CUSIP: 36225CN36<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        146 | PA      | $145.89       | 0.00%             | 2030-05-20      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-2598.12     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADIAN NATURAL RESOURCES LIMITED                                            | CANADIAN NATURAL RESOU 08/25 ZCP                        | CUSIP: 13638WV66<br>LEI: 549300T15RIMIKZC5Q38 | Long             | DBT              | CORP              | CA        |     250000 | PA      | $248779.00    | 0.05%             | 2025-08-06      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-194.12      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-131.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET INVESTMENT LOAN TRUST 2006-1                                 | STRUCTURED ASSET INVESTMENT LO SAIL 2006 1 A4           | CUSIP: 86358EA97<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     574716 | PA      | $541252.10    | 0.10%             | 2036-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2           | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     600000 | PA      | $585781.06    | 0.11%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| PREFERRED TERM SECS XVII LTD                                                  | PREFERRED TERM SECS XVII SECURED 144A 06/35 VAR         | CUSIP: 74042EAA2<br>LEI: N/A                  | Long             | DBT              | CORP              | KY        |     257817 | PA      | $246215.42    | 0.05%             | 2035-06-23      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-11712.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20250724                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-13695.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| REAL ESTATE ASSET LIQUIDITY TRUST 2020-1A                                     | REAL ESTATE ASSET LIQUIDITY TR REALT 2020 1A A1 144A    | CUSIP: 75585RRT4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | CA        |     238715 | PA      | $170915.58    | 0.03%             | 2055-02-12      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.00000 06/18/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $21523.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD RON BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $-1301.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3.5 JUMBOS                            | CUSIP: 21H032670<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11600000 | PA      | $10547507.41  | 2.00%             | 2054-07-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U9EIA2 PIMCO SWAPTION 4.127 PUT USD 2025063          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2600000 | NC      | $-0.26        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PNC FINANCIAL SERVICES GROUP INC                                              | PNC FINANCIAL SERVICES SR UNSECURED 01/36 VAR           | CUSIP: 693475CC7<br>LEI: CFGNEKW0P8842LEUIA51 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1649711.97   | 0.31%             | 2036-01-29      | Floating      | 5.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CZK 1.91250 01/30/19-10Y CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CZ        |          1 | NC      | $-41935.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR            | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     202389 | PA      | $160792.65    | 0.03%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/50 1                 | CUSIP: BKDSHLII7<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.19         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20250724                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $3867.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $92.05        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TBW MTGE BACKED PASS THRU CERT 2006-4                                         | TBW MORTGAGE BACKED PASS THROU TBW 2006 4 A6            | CUSIP: 872224AG5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     189270 | PA      | $4384.75      | 0.00%             | 2036-09-25      | Variable      | 6.47%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD AUD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-3786.06     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OA1                                      | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OA1 2A1       | CUSIP: 126694A32<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      25842 | PA      | $23837.28     | 0.00%             | 2046-03-20      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20250903                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $109990.99    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MXN BOUGHT USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-20.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-5879.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-15654.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHARTER COMMUNICATIONS OPERATING LLC/CHARTER COMMUNICATIONS OPERATING CAPITAL | CHARTER COMM OPT LLC/CAP SR SECURED 06/62 3.95          | CUSIP: 161175CG7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     900000 | PA      | $580347.44    | 0.11%             | 2062-06-30      | Fixed         | 3.95%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED REGS 10/30 3.25   | CUSIP: ACI1LTCD5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     200000 | PA      | $187658.88    | 0.04%             | 2030-10-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| NORDEA KREDIT REALKREDITAKTIESELSKAB                                          | NORDEA KREDIT REALKREDIT COVERED REGS 10/50 1           | CUSIP: BK99HJII9<br>LEI: 52990080NNXXLC14OC65 | Long             | DBT              | CORP              | DK        |          3 | PA      | $0.42         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 12/54 2.3                   | CUSIP: ACI2T3R46<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  845000000 | PA      | $5274846.71   | 1.00%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BUXL 30Y BND SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |         15 | NC      | $-39761.02    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL BILLS 11/25 0.00000                    | CUSIP: ACI2S28H1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  100000000 | PA      | $59824.45     | 0.01%             | 2025-11-04      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT GBP SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $12032.81     | 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        |   54300000 | PA      | $2864071.00   | 0.54%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| MANSARD MORTGAGES PLC 2007-2X                                                 | MANSARD MORTGAGES PLC MANSD 2007 2X A1 REGS             | CUSIP: B29VVWII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      33658 | PA      | $45869.33     | 0.01%             | 2049-12-15      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 03/30 5.25                    | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     400000 | PA      | $481673.44    | 0.09%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| NORTHWOODS CAPITAL XII-B LTD 2018-12BA                                        | NORTHWOODS CAPITAL LTD WOODS 2018 12BA AR 144A          | CUSIP: 66858CAN7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     870020 | PA      | $869031.69    | 0.16%             | 2031-06-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-26                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 1A           | CUSIP: 12668HAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     242643 | PA      | $231491.84    | 0.04%             | 2037-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $261.48       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | AUST 10Y BOND FUT SEP25 XSFE 20250915                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |       -469 | NC      | $-321746.56   | -0.06%            |  |  |  | No            |                  1 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 01/41 3 | CUSIP: ACI2V6FB3<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    1300000 | PA      | $1499392.18   | 0.28%             | 2041-01-31      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-GR3                                  | GS MORTGAGE BACKED SECURITIES GSMBS 2021 GR3 A2 144A    | CUSIP: 36263TAB8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     374908 | PA      | $306105.52    | 0.06%             | 2052-04-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2346.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 800171 FN 12/34 FLOATING VAR                  | CUSIP: 31405U6G9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |        575 | PA      | $579.67       | 0.00%             | 2034-12-01      | Floating      | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.83603 12/02/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-19623.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LN TR 2006-3                                            | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 3 A4           | CUSIP: 83612HAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     897650 | PA      | $850048.91    | 0.16%             | 2036-11-25      | Floating      | 4.93%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 841068 FN 11/34 FLOATING VAR                  | CUSIP: 31407UMR5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       4530 | PA      | $4717.18      | 0.00%             | 2034-11-01      | Floating      | 6.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250721                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $238.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/0.4500 12/15/21-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-258174.62   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| EXTENDED STAY AMERICA TRUST 2021-ESH                                          | EXTENDED STAY AMERICA TRUST ESA 2021 ESH A 144A         | CUSIP: 30227FAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1372364 | PA      | $1373573.19   | 0.26%             | 2038-07-15      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.75000 07/17/24-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2718.32     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/1.7500 12/16/16-30Y CME                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-104220.65   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-10.44       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260617                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $18.40        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/35 3 | CUSIP: ACI2XHL53<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    2000000 | PA      | $2350011.54   | 0.44%             | 2035-10-31      | Fixed         | 3.20%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2006-QO3                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2006 QO3 A1         | CUSIP: 761118WP9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     369377 | PA      | $93916.57     | 0.02%             | 2046-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 09/26 5                       | CUSIP: ACI28TF11<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     700000 | PA      | $847917.15    | 0.16%             | 2026-09-27      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS SGD SIBSORA/2.50000 09/17/25-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | SG        |          1 | NC      | $-50577.91    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-46105.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2007-1                                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 1 1A            | CUSIP: 23245CAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     164395 | PA      | $153325.50    | 0.03%             | 2037-07-25      | Floating      | 4.57%                 | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL3                                   | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL3 A1 144A  | CUSIP: 161927AC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1058180 | PA      | $948842.98    | 0.18%             | 2063-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 06/18/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $35045.80     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.58600 08/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12293.54     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM1796 FN 10/34 FIXED VAR                     | CUSIP: 3140X47J9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      60083 | PA      | $58017.99     | 0.01%             | 2034-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CCS USD R USSOFR/JPYMUTKCALM -46.95 CBK                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |          1 | NC      | $-75972.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U7N4A9 PIMCO SWAPTION 4.75 PUT USD 20250820          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   28000000 | NC      | $14.00        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SINGAPORE GOVT                                                                | SINGAPORE GOVERNMENT SR UNSECURED REGS 06/54 3.25       | CUSIP: ACI2P78N0<br>LEI: 549300ZSV6VOGFH1ER70 | Long             | DBT              | NUSS              | SG        |    2981000 | PA      | $2790892.62   | 0.53%             | 2054-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| REGATTA XVI FUNDING LTD 2019-2A                                               | REGATTA XVI FUNDING LTD. REG16 2019 2A A1R 144A         | CUSIP: 75888TAL9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1557722 | PA      | $1558140.30   | 0.29%             | 2033-01-15      | Floating      | 5.46%                 | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-3                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 3 AF6          | CUSIP: 75971EAJ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     967199 | PA      | $321011.64    | 0.06%             | 2036-11-25      | Variable      | 5.73%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 01/36 VAR          | CUSIP: 38141GC44<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |     500000 | PA      | $512939.64    | 0.10%             | 2036-01-28      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-27087.86    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-186.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $24250.78     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250721                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2.99         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 09/02/25-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-27568.05    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.0000 01/08/25-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-3542.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.77259 03/04/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $29509.27     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 3.75000 03/19/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $158125.28    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 06/29 VAR                | CUSIP: 404280BT5<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $801278.88    | 0.15%             | 2029-06-19      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 01/28 0.00000     | CUSIP: ACI1WLC57<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    4150000 | PA      | $4636982.11   | 0.88%             | 2028-01-31      | Fixed         | 0.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/48 3                                 | CUSIP: 912810SA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1000000 | PA      | $743320.31    | 0.14%             | 2048-02-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.00000 03/19/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $371274.42    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CAPITAL CLO 2021-20A LTD                                            | ANCHORAGE CAPITAL CLO LTD ANCHC 2021 20A A1R 144A       | CUSIP: 03330YAJ9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1800000 | PA      | $1795573.98   | 0.34%             | 2035-01-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                                     | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/39 7       | CUSIP: ACI2PNWZ1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3200000 | PA      | $963748.76    | 0.18%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| AIR CANADA 2017-1 CLASS AA PASS THROUGH TRUST                                 | AIR CANADA 2017 1AA PTT PASS THRU CE 144A 07/31 3.3     | CUSIP: 00908PAA5<br>LEI: N/A                  | Long             | DBT              | CORP              | CA        |      66720 | PA      | $62517.01     | 0.01%             | 2031-07-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| BBAM EUROPEAN CLO I DAC 1A                                                    | BBAM EUROPEAN CLO BBAME 1A AR 144A                      | CUSIP: ACI2M3430<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2000000 | PA      | $2349755.69   | 0.44%             | 2034-07-22      | Floating      | 3.11%                 | No            |                  2 | On Loan: No      |
| GOLDEN STATE TOBACCO SECURITIZATION                                           | GOLDEN ST TOBACCO SECURITIZATI GLDGEN 06/26 FIXED 2.158 | CUSIP: 38122NC59<br>LEI: N/A                  | Long             | DBT              | MUN               | US        |     600000 | PA      | $587000.76    | 0.11%             | 2026-06-01      | Fixed         | 2.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $5886.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-483.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT ILS SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1236.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.50000 03/19/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-192429.47   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20250729                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4831.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AERCAP IRELAND CAPITAL DAC / AERCAP GLOBAL AVIATION TRUST                     | AERCAP IRELAND CAP/GLOBA COMPANY GUAR 10/26 2.45        | CUSIP: 00774MAV7<br>LEI: N/A                  | Long             | DBT              | CORP              | IE        |     600000 | PA      | $584744.52    | 0.11%             | 2026-10-29      | Fixed         | 2.45%                 | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET MTG INV INC 2006-AR3                                         | STRUCTURED ASSET MORTGAGE INVE SAMI 2006 AR3 12A1       | CUSIP: 86360KAE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      32834 | PA      | $26913.70     | 0.01%             | 2036-05-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.85092 12/02/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-57406.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.82761 12/30/22-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-52269.59    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LN TR 2005-81                                         | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 81 A1         | CUSIP: 12668BBN2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19455 | PA      | $16458.07     | 0.00%             | 2037-02-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 07/27 VAR      | CUSIP: 853254CT5<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1421612.37   | 0.27%             | 2027-07-06      | Floating      | 6.19%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2022-B                                       | SMB PRIVATE EDUCATION LOAN TRU SMB 2022 B A1B 144A      | CUSIP: 83206NAB3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     745965 | PA      | $752027.66    | 0.14%             | 2055-02-16      | Floating      | 5.75%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2006-AR1                                              | GSR MORTGAGE LOAN TRUST GSR 2006 AR1 2A1                | CUSIP: 3623414A4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      11137 | PA      | $10498.38     | 0.00%             | 2036-01-25      | Floating      | 4.73%                 | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                          | GLENCORE FUNDING LLC GLENCORE FUNDING LLC               | CUSIP: 378272BS6<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1333345.47   | 0.25%             | 2029-04-04      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/71 1 | CUSIP: BLH1ZLII0<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    1600000 | PA      | $872663.53    | 0.17%             | 2071-10-31      | Fixed         | 1.45%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                   | REPUBLIC OF SERBIA REPUBLIC OF SERBIA                   | CUSIP: 817477AJ1<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     700000 | PA      | $707674.83    | 0.13%             | 2034-06-12      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 04/29 3.875                             | CUSIP: 912810FH6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     975595 | PA      | $1065331.08   | 0.20%             | 2029-04-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| SANTANDER HOLDINGS USA INC                                                    | SANTANDER HOLDINGS USA SANTANDER HOLDINGS USA           | CUSIP: 80282KBK1<br>LEI: 549300SMVCQN2P0O6I58 | Long             | DBT              | CORP              | US        |     600000 | PA      | $606861.06    | 0.11%             | 2027-05-31      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $57086.45     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1421.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 07/53 1.5                | CUSIP: ACI215R58<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1100000 | PA      | $685637.14    | 0.13%             | 2053-07-31      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $3737.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $33939.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/0.75000 03/19/25-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $37161.34     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20250707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-40505.08    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TRY BOUGHT USD 20251217                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-1316.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260504                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-201.16      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F052680<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -11700000 | PA      | $-11689553.77 | -2.21%            | 2054-08-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II POOL 080187 G2 04/28 FLOATING VAR               | CUSIP: 36225CF50<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |         48 | PA      | $47.97        | 0.00%             | 2028-04-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.25000 09/17/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2009994.37  | -0.38%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HUF BOUGHT USD 20251001                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-2316.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250709                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2293.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250725                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1223.68      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $24119.95     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20270610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-790.45      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U7MCA2 PIMCO SWAPTION 4.57 PUT USD 20250813          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |     700000 | NC      | $0.77         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB6989 FN 06/53 FIXED 5.5                     | CUSIP: 3140QSXT3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     845169 | PA      | $846769.36    | 0.16%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20290503                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $16086.11     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.2500 06/21/23-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $8239.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1026.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 07/30 1.75                       | CUSIP: ACI1Z3TC1<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     300000 | PA      | $303900.67    | 0.06%             | 2030-07-13      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2002 AR2                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2002 AR2 A          | CUSIP: 929227LE4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        782 | PA      | $754.98       | 0.00%             | 2034-02-27      | Floating      | 4.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-29189.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-18458.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO120626                              | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  534000000 | PA      | $282502.19    | 0.05%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| REALKREDIT DANMARK A/S                                                        | REALKREDIT DANMARK COVERED REGS 10/53 1                 | CUSIP: BL63VKII4<br>LEI: 549300NLOMBOWE943Y30 | Long             | DBT              | CORP              | DK        |          2 | PA      | $0.22         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300514                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6510.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.8800 12/04/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-4149.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                      | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/61 3.404      | CUSIP: 71675CAE8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     400000 | PA      | $261232.51    | 0.05%             | 2061-04-28      | Fixed         | 3.40%                 | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                       | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 2A3         | CUSIP: 43710BAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     375921 | PA      | $254549.37    | 0.05%             | 2037-04-25      | Floating      | 4.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $330.60       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F062671<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5100000 | PA      | $-5266427.59  | -1.00%            | 2054-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-41098.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL MA5445 FN 08/54 FIXED 6                       | CUSIP: 31418FBP1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     260503 | PA      | $265011.35    | 0.05%             | 2054-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MORTGAGE LOAN TR 2006-AR4                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2006 AR4 A1A        | CUSIP: 45661EAV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     194828 | PA      | $176733.34    | 0.03%             | 2046-05-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2006-A1                                              | JP MORGAN MORTGAGE TRUST JPMMT 2006 A1 3A2              | CUSIP: 466247F57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       8669 | PA      | $5775.34      | 0.00%             | 2036-02-25      | Floating      | 5.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 06/18/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $50442.70     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT MXN SOLD USD 20250818                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3435.39      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                              | DEUTSCHE BANK NY 09/31 VAR                              | CUSIP: 251526CD9<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |    1000000 | PA      | $935743.08    | 0.18%             | 2031-09-18      | Floating      | 3.55%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-OPT1                                       | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 OPT1 2A2       | CUSIP: 83612TAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      51908 | PA      | $34175.33     | 0.01%             | 2037-06-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| MF1 2022-FL8 LTD                                                              | MF1 MULTIFAMILY HOUSING MORTGA MF1 2022 FL8 A 144A      | CUSIP: 55284JAA7<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1310721 | PA      | $1311885.58   | 0.25%             | 2037-02-19      | Floating      | 5.67%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RB5012 FR 10/39 FIXED 3.5             | CUSIP: 3133KYR92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     124861 | PA      | $119944.43    | 0.02%             | 2039-10-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-2                                               | BEAR STEARNS ALT A TRUST BALTA 2006 2 23A1              | CUSIP: 07386HF71<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      46502 | PA      | $37901.13     | 0.01%             | 2036-03-25      | Floating      | 4.05%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 04/38 VAR             | CUSIP: 06051GGM5<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     600000 | PA      | $546582.24    | 0.10%             | 2038-04-24      | Floating      | 4.24%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 02/55 4.625                             | CUSIP: 912810UG1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5700000 | PA      | $5550375.00   | 1.05%             | 2055-02-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                                 | THAILAND GOVERNMENT BOND SR UNSECURED 11/29 2.5         | CUSIP: ACI2Q20Z1<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |  147710000 | PA      | $4751759.06   | 0.90%             | 2029-11-17      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20260105                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $19744.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AIR LEASE CORPORATION                                                         | AIR LEASE CORP DISC COML PAPER 07/25 ZCP                | CUSIP: 00913WUF0<br>LEI: 5493004NW4M4P8TMMK63 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249504.20    | 0.05%             | 2025-07-15      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $903.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/46 4             | CUSIP: 694308HR1<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $71696.39     | 0.01%             | 2046-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| INDYMAC INDX MTGE LOAN TRUST 2005-AR12                                        | INDYMAC INDX MORTGAGE LOAN TRU INDX 2005 AR12 2A1A      | CUSIP: 45660LMG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       7271 | PA      | $6700.54      | 0.00%             | 2035-07-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 07/32 0.625                             | CUSIP: 91282CEZ0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     331197 | PA      | $309063.58    | 0.06%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-22232.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR CHF SRFXON3/0.28250 02/14/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $18403.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-72452.74    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR EUR ESTRON/1.79544 03/10/25-5Y* LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-12801.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20250728                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $980.39       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-SCHATZ FUT   SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        180 | NC      | $-39965.27    | -0.01%            |  |  |  | No            |                  1 | On Loan: No      |
| QUEENSLAND TREASURY CORPORATION                                               | QUEENSLAND TREASURY CORP LOCAL GOVT G 144A REGS 07/34 1 | CUSIP: ACI1KDG39<br>LEI: 98INKCEEHOU5YJS0HQ88 | Long             | DBT              | CORP              | AU        |    1600000 | PA      | $818215.12    | 0.15%             | 2034-07-20      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| HAYFIN EMERALD CLO 12A                                                        | HAYFIN EMERALD CLO HAYEM 12A A                          | CUSIP: ACI2L68W6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1200000 | PA      | $1415470.40   | 0.27%             | 2037-01-25      | Floating      | 3.90%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 10/25 0.125                             | CUSIP: 91282CAQ4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     123622 | PA      | $123195.91    | 0.02%             | 2025-10-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.25000 06/18/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $1611.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $104.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                            | PROVINCE OF QUEBEC SR UNSECURED 09/34 4.45              | CUSIP: 74814ZFT5<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    1100000 | PA      | $850243.96    | 0.16%             | 2034-09-01      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-7                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 7 1A2          | CUSIP: 17307GA57<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      71287 | PA      | $64047.21     | 0.01%             | 2035-09-25      | Floating      | 4.84%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                                  | NIGERIA OMO BILL OMO260629                              | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 1380052000 | PA      | $723634.24    | 0.14%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1983.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN CHASE & CO                                                          | JPMORGAN CHASE + CO SR UNSECURED 01/30 VAR              | CUSIP: 46647PEB8<br>LEI: 8I5DZWZKVSZI1NUHU748 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1731685.20   | 0.33%             | 2030-01-23      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $310.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EUR SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1420242.61   | 0.27%             |  |  |  | No            |                  2 | On Loan: No      |
| GROSVENOR PLACE CLO 2024-2 DAC 24-2A                                          | GROSVENOR PLACE CLO GROSV 2024 2A A 144A                | CUSIP: ACI2RYX19<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1300000 | PA      | $1530361.61   | 0.29%             | 2039-01-15      | Floating      | 3.85%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                              | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25     | CUSIP: BKVDQPII1<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    2700000 | PA      | $1490613.67   | 0.28%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| LONG BEACH MTGE LOAN TRUST 2004-4                                             | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2004 4 1A1         | CUSIP: 542514HN7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      10933 | PA      | $10787.33     | 0.00%             | 2034-10-25      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE2                                           | HSI ASSET SECURITIZATION CORPO HASC 2007 HE2 2A3        | CUSIP: 40430RAD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     567097 | PA      | $282458.44    | 0.05%             | 2037-04-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2021-INV1                                 | GS MORTGAGE BACKED SECURITIES GSMBS 2021 INV1 A2 144A   | CUSIP: 36263KAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     304446 | PA      | $248487.75    | 0.05%             | 2051-12-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| NATWEST MARKETS PLC                                                           | NATWEST MARKETS PLC SR UNSECURED REGS 11/25 0.125       | CUSIP: ACI21P9Z8<br>LEI: RR3QWICWWIPCS8A4S074 | Long             | DBT              | CORP              | GB        |     800000 | PA      | $935381.63    | 0.18%             | 2025-11-12      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-165457.30   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-235.96      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CANADA GOVT                                                                   | CANADIAN GOVERNMENT BONDS 03/29 4                       | CUSIP: 135087Q98<br>LEI: 4BFD7AQU0A75QLAHK410 | Long             | DBT              | NUSS              | CA        |    1600000 | PA      | $1226134.44   | 0.23%             | 2029-03-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOANS 2005-2                                                 | COUNTRYWIDE HOME LOANS CWHL 2005 2 1A1                  | CUSIP: 12669GPN5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       5182 | PA      | $4822.20      | 0.00%             | 2035-03-25      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $95.83        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRATTON MORTGAGE FUNDING 2024-1 PLC 24-1A                                    | STRATTON MORTGAGE FUNDING PLC STRA 2024 1A A 144A       | CUSIP: ACI2MKRM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2818601 | PA      | $3877318.82   | 0.73%             | 2060-06-20      | Floating      | 5.37%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 05/27 2 | CUSIP: ACI2M9V60<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |     800000 | PA      | $951416.60    | 0.18%             | 2027-05-31      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2006-KS9                                           | RESIDENTIAL ASSET SECURITIES C RASC 2006 KS9 AI4        | CUSIP: 75406YAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1418538 | PA      | $1269643.46   | 0.24%             | 2036-11-25      | Floating      | 4.68%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-BC5                                       | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC5 1A          | CUSIP: 12666SAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     916848 | PA      | $838348.66    | 0.16%             | 2037-03-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-45427.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SEK BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SE        |          1 | NC      | $6.20         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-23.98       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ABU DHABI DEVELOPMENTAL HOLDING COMPANY PJSC                                  | ABU DHABI DEVELOPMENT HO SR UNSECURED 144A 05/30 4.5    | CUSIP: 00402AAA9<br>LEI: 254900G082ZFKTCR2Q75 | Long             | DBT              | CORP              | AE        |     200000 | PA      | $199768.70    | 0.04%             | 2030-05-06      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | ISRAEL GOVT EM SP CBK                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $35436.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX ITRAXX MAIN43 10Y ICE                               | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $-46749.70    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                                   | UNITED MEXICAN STATES SR UNSECURED 01/38 6.625          | CUSIP: 91087BBF6<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     200000 | PA      | $203300.00    | 0.04%             | 2038-01-29      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4247.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE 44 CLO LTD                                                            | VENTURE CDO LTD VENTR 2021 44A A1NR 144A                | CUSIP: 92332KAQ4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     600000 | PA      | $599311.96    | 0.11%             | 2034-10-20      | Floating      | 5.41%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                       | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/25 4.25    | CUSIP: 07274NAJ2<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |     300000 | PA      | $299192.05    | 0.06%             | 2025-12-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| BEAR STEARNS ADJ RATE MTGE TR 2003-5                                          | BEAR STEARNS ADJUSTABLE RATE M BSARM 2003 5 1A2         | CUSIP: 07384MWG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        389 | PA      | $375.96       | 0.00%             | 2033-08-25      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RA4542 FR 02/51 FIXED 2.5             | CUSIP: 3133KLBK2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     402689 | PA      | $334586.35    | 0.06%             | 2051-02-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.25000 12/20/23-2Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $49471.86     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                        | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P A 144A     | CUSIP: 61772WAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1700000 | PA      | $1636342.48   | 0.31%             | 2038-12-15      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 2.5 JUMBOS                            | CUSIP: 21H022689<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2500000 | PA      | $2124379.70   | 0.40%             | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| BPCE SA                                                                       | BPCE SA BPCE SA                                         | CUSIP: 05571AAV7<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    1400000 | PA      | $1441777.67   | 0.27%             | 2030-01-18      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $783.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-10213.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.2500 03/15/23-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-71855.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $4469.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.34250 01/10/25-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $33362.00     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $378.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| HSBC HOLDINGS PLC                                                             | HSBC HOLDINGS PLC SR UNSECURED 03/28 VAR                | CUSIP: 404280BK4<br>LEI: MLU0ZO3ML4LN2LL2TL39 | Long             | DBT              | CORP              | GB        |    1000000 | PA      | $992113.59    | 0.19%             | 2028-03-13      | Floating      | 4.04%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-12107.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 01/44 3.25               | CUSIP: B84Z9VII5<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |     900000 | PA      | $958893.26    | 0.18%             | 2044-01-22      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                                  | HUNGARY SR UNSECURED 144A 09/30 5.375                   | CUSIP: 445545AV8<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     400000 | PA      | $404148.84    | 0.08%             | 2030-09-26      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 04/29 VAR             | CUSIP: 06051GLG2<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1328759.82   | 0.25%             | 2029-04-25      | Floating      | 5.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $151.66       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750QFP9 PIMCO FXVAN PUT EUR CZK 24.75000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     561000 | NC      | $4124.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.83993 12/02/24-7Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-55695.14    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PLN SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $17691.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-2                                          | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 2 A3          | CUSIP: 61752UAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     559619 | PA      | $290409.86    | 0.05%             | 2037-04-25      | Floating      | 4.66%                 | No            |                  2 | On Loan: No      |
| BDS 2021-FL10 LTD                                                             | BDS LTD BDS 2021 FL10 A 144A                            | CUSIP: 07335YAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     820149 | PA      | $821259.03    | 0.16%             | 2036-12-16      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| SARANAC CLO LTD 2018-6A                                                       | SARANAC CLO LTD SRANC 2018 6A A1R 144A                  | CUSIP: 80317LAJ2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |     548196 | PA      | $547569.30    | 0.10%             | 2031-08-13      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 10/51 3.53                  | CUSIP: ACI217GZ0<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |   28000000 | PA      | $5176699.55   | 0.98%             | 2051-10-18      | Fixed         | 3.53%                 | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2001-HE17                                       | CREDIT SUISSE FIRST BOSTON MOR CSFB 2001 HE17 A1        | CUSIP: 22540A7A0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        239 | PA      | $234.54       | 0.00%             | 2032-01-25      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20251215                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-1299.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 3.00000 03/15/28-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-136482.67   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-2225.67     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-15713.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 04/33 2                          | CUSIP: ACI1X0BQ7<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     500000 | PA      | $452144.58    | 0.09%             | 2033-04-14      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-343.36      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.85961 12/02/24-9Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-21991.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MELLON RESIDENTIAL FUND CORP 2000-TBC3                                        | MELLON RESIDENTIAL FUNDING COR MRFC 2000 TBC3 A1        | CUSIP: 585525EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        669 | PA      | $649.91       | 0.00%             | 2030-12-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.86166 12/02/24-4Y* LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-53303.69    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (2 YEAR ISSUE) BONDS 01/26 0.1                    | CUSIP: ACI2M7VN7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  530000000 | PA      | $3673545.36   | 0.70%             | 2026-01-01      | Fixed         | 0.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.7500 03/19/25-10Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $11293.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CB7197 FN 07/53 FIXED 5.5                     | CUSIP: 3140QS7K1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    6182890 | PA      | $6194597.65   | 1.17%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US ULTRA BOND CBT SEP25 XCBT 20250919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -34 | NC      | $-167396.45   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-1                                         | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 1 1A1         | CUSIP: 68400DAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     269344 | PA      | $173404.21    | 0.03%             | 2037-01-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-13906.29    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR NOTE (CBT)SEP25 XCBT 20250919                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         63 | NC      | $120497.71    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $916.42       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.97500 03/21/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-16556.55    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL RA6652 FR 01/52 FIXED 2.5             | CUSIP: 3133KNL92<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1639776 | PA      | $1364048.49   | 0.26%             | 2052-01-01      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-20427.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.50000 03/19/25-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $106571.44    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20250725                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $3353.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TREASURY BILL 09/25 0.00000                             | CUSIP: 912797PW1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     284000 | PA      | $281595.37    | 0.05%             | 2025-09-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC SR UNSECURED REGS 08/30 VAR                | CUSIP: ACI2HT3X4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1760396.45   | 0.33%             | 2030-08-08      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CZK SOLD USD 20251218                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CZ        |          1 | NC      | $27327.41     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2004-15                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2004 15 MV5          | CUSIP: 126673UR1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     165357 | PA      | $162763.09    | 0.03%             | 2035-04-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY R 1.50000 03/18/26-5Y SCX                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $3505.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-42812.96    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $3577.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300509                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6520.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DRYDEN XXVII-R EURO CLO BV 2017-27A                                           | DRYDEN LEVERAGED LOAN CDO DRYD 2017 27A AR 144A         | CUSIP: ACI1W43B2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     679076 | PA      | $799618.58    | 0.15%             | 2033-04-15      | Floating      | 2.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT HUF SOLD USD 20250822                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $1413.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS NZD 4.75000 06/19/24-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | NZ        |          1 | NC      | $110609.77    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.50000 03/19/25-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $332147.13    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-250320.73   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-2A DAC                               | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 2A AR 144A    | CUSIP: ACI2QLH16<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |     943184 | PA      | $1111865.27   | 0.21%             | 2033-01-15      | Floating      | 3.26%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL FM3972 FN 07/50 FIXED VAR                     | CUSIP: 3140X7MW6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     446221 | PA      | $407518.12    | 0.08%             | 2050-07-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $877.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U9FUA5 PIMCO SWAPTION 3.7 CALL USD 20250630          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -2000000 | NC      | $-2509.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2005-21CB                                  | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2005 21CB A3       | CUSIP: 12667GKC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       2945 | PA      | $2194.94      | 0.00%             | 2035-06-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNH SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $654.67       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-18095.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FANNIE MAE 2006-48                                                            | FANNIE MAE FNR 2006 48 TF                               | CUSIP: 31395NLE5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       5818 | PA      | $5764.23      | 0.00%             | 2036-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 4579                                                       | FREDDIE MAC FHR 4579 FD                                 | CUSIP: 3137BPPH6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80685 | PA      | $79618.85     | 0.02%             | 2038-01-15      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS MYR R 3.50000 03/19/25-5Y BPS                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MY        |          1 | NC      | $8261.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/53 1             | CUSIP: ACI1N9610<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         13 | PA      | $1.54         | 0.00%             | 2053-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| DEUTSCHE ALT-A SECURITIES MORTGAGE LOAN TRUST SERIES 2007-3                   | DEUTSCHE ALT A SECURITIES INC DBALT 2007 3 2A1          | CUSIP: 25151KAC3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     432148 | PA      | $330929.69    | 0.06%             | 2047-10-25      | Floating      | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG44 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-48752.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-7756.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PROVINCE OF QUEBEC                                                            | PROVINCE OF QUEBEC SR UNSECURED 09/33 3.6               | CUSIP: 74814ZFS7<br>LEI: 549300WN65YFEQH74Y36 | Long             | DBT              | NUSS              | CA        |    9900000 | PA      | $7266408.07   | 1.38%             | 2033-09-01      | Fixed         | 3.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20250825                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $837.03       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORTGAGE FINANCE CORP 2007-A2                                           | CHASE MORTGAGE FINANCE CORPORA CHASE 2007 A2 7A1        | CUSIP: 16163LAQ5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      19103 | PA      | $15633.97     | 0.00%             | 2037-07-25      | Variable      | 4.94%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 06/40 0.4                   | CUSIP: ACI1PD3L8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  300000000 | PA      | $1649817.71   | 0.31%             | 2040-06-20      | Fixed         | 0.40%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 15 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020471<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -10800000 | PA      | $-9871464.82  | -1.87%            | 2039-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SOUTH KOREA GOVT                                                              | KOREA TREASURY BOND BONDS 12/28 2.375                   | CUSIP: BGGL77II0<br>LEI: 549300O0QCVSQGPGDT58 | Long             | DBT              | NUSS              | KR        | 5299000000 | PA      | $3912882.19   | 0.74%             | 2028-12-10      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| TREASURY CORPORATION OF VICTORIA                                              | TREASURY CORP VICTORIA LOCAL GOVT G REGS 09/33 2.25     | CUSIP: BNDC0SII9<br>LEI: 549300ZJM7BQW1P9UV75 | Long             | DBT              | MUN               | AU        |    2300000 | PA      | $1269782.01   | 0.24%             | 2033-09-15      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.64300 08/28/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13367.18     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE6                                                          | GSAMP TRUST GSAMP 2005 HE6 M3                           | CUSIP: 362341G60<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1000000 | PA      | $846657.70    | 0.16%             | 2035-11-25      | Floating      | 5.15%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/30 4.75   | CUSIP: 80413TBF5<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    4800000 | PA      | $4849606.32   | 0.92%             | 2030-01-16      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1347.86      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON TLB BORROWER 1 (US) LLC                                                | AVOLON TLB BORROWER 1 US LLC 2023 TERM LOAN B6          | CUSIP: 05400KAJ9<br>LEI: 635400O84AGITYFZQB55 | Long             | LON              | CORP              | US        |    1155352 | PA      | $1157489.28   | 0.22%             | 2030-06-24      | Floating      | 6.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-508.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 07/28 VAR            | CUSIP: 95000U3A9<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |    1600000 | PA      | $1613771.09   | 0.31%             | 2028-07-25      | Floating      | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260630                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $42.46        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250731                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1077.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-2330.69     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEW RESIDENTIAL MORTGAGE LOAN TRUST 2020-RPL1                                 | NEW RESIDENTIAL MORTGAGE LOAN NRZT 2020 RPL1 A1 144A    | CUSIP: 64828XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     466467 | PA      | $447270.89    | 0.08%             | 2059-11-25      | Variable      | 2.75%                 | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                                 | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/25 3.375       | CUSIP: 345397B28<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     400000 | PA      | $397374.12    | 0.08%             | 2025-11-13      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.00000 06/18/25-5Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $20212.13     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT RON SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | RO        |          1 | NC      | $5159.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KRW BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-2431.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED 10/29 VAR          | CUSIP: 38141GA46<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1485293.96   | 0.28%             | 2029-10-24      | Floating      | 6.48%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2004-14                                               | GSR MORTGAGE LOAN TRUST GSR 2004 14 1A1                 | CUSIP: 36242DPB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       4147 | PA      | $3874.78      | 0.00%             | 2034-12-25      | Floating      | 4.76%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 4.25000 03/15/23-10Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $262295.47    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 12/40 4.25               | CUSIP: B64605II9<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    1200000 | PA      | $1526935.50   | 0.29%             | 2040-12-07      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| ONE NEW YORK PLAZA TRUST 2020-1NYP                                            | ONE NEW YORK PLAZA TRUST 2020 ONYP 2020 1NYP A 144A     | CUSIP: 68249DAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1600000 | PA      | $1556331.36   | 0.29%             | 2036-01-15      | Floating      | 5.38%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 6.5 JUMBOS                            | CUSIP: 21H062677<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $308052.63    | 0.06%             | 2054-07-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-197.64      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PETRONAS CAPITAL LIMITED                                                      | PETRONAS CAPITAL LTD COMPANY GUAR 144A 04/60 4.8        | CUSIP: 716743AS8<br>LEI: 549300G7YFX3540OYR85 | Long             | DBT              | CORP              | MY        |     200000 | PA      | $172257.40    | 0.03%             | 2060-04-21      | Fixed         | 4.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $2431.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BLACKSTONE HOLDINGS FINANCE CO LLC                                            | BLACKSTONE HOLDINGS FINA COMPANY GUAR 144A 06/34 3.5    | CUSIP: ACI25ZFG7<br>LEI: 549300D2L6J4NC1QVZ22 | Long             | DBT              | CORP              | US        |     600000 | PA      | $711389.24    | 0.13%             | 2034-06-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.40000 03/14/24-9Y* LC                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-96274.86    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| AMRIZE FINANCE US LLC                                                         | HOLCIM FIN US LLC 07/25 ZCP                             | CUSIP: 43475FUG5<br>LEI: 529900FB2F1WKLFNGY62 | Long             | DBT              | CORP              | US        |     500000 | PA      | $498976.40    | 0.09%             | 2025-07-16      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 10/33 3 | CUSIP: ACI2GLWB8<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    6300000 | PA      | $7725650.58   | 1.46%             | 2033-10-31      | Fixed         | 3.55%                 | No            |                  2 | On Loan: No      |
| KREF 2022-FL3 LTD                                                             | KREF 2022 FL3 LTD KREF 2022 FL3 A 144A                  | CUSIP: 48275EAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1305835 | PA      | $1308247.25   | 0.25%             | 2039-02-17      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $8.55         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2.5 SINGLE FAMILY MORTGAGE               | CUSIP: 01F022683<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -5400000 | PA      | $-4478972.65  | -0.85%            | 2054-08-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-646.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $100.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | TRS SOFRINDX/IBOXIG INDX 09/22/25 JPM                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-196992.33   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG43 5Y ICE                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $214555.98    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA GOVERNMENT BONDS 04/28 3.519                   | CUSIP: ACI2FJPF3<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |   30997000 | PA      | $7440436.54   | 1.41%             | 2028-04-20      | Fixed         | 3.52%                 | No            |                  2 | On Loan: No      |
| FHLMC STRUCTURED PASS THRU SEC T-62                                           | FHLMC STRUCTURED PASS THROUGH FSPC T 62 1A1             | CUSIP: 31395HHV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11918 | PA      | $10921.85     | 0.00%             | 2044-10-25      | Floating      | 5.60%                 | 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        |    1981951 | PA      | $1977904.26   | 0.37%             | 2054-11-25      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| ALIMENTATION COUCHE-TARD INC                                                  | ALIMENTATION COUCHE TARD INC 07/25 ZCP                  | CUSIP: 01626UUV5<br>LEI: 549300OSW32RVX8CCZ87 | Long             | DBT              | CORP              | CA        |     250000 | PA      | $249056.20    | 0.05%             | 2025-07-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-3228122.30  | -0.61%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/3.3000 01/18/24-9Y* LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-173686.98   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF NEW ZEALAND                                                           | BANK OF NEW ZEALAND COVERED REGS 12/28 3.7075           | CUSIP: ACI2GWZD7<br>LEI: N7LGVZM7X4UQ66T7LT74 | Long             | DBT              | CORP              | NZ        |    1572000 | PA      | $1923609.02   | 0.36%             | 2028-12-20      | Fixed         | 3.71%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 09/29 6.625                   | CUSIP: ACI28T967<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     300000 | PA      | $381186.01    | 0.07%             | 2029-09-27      | Fixed         | 6.62%                 | No            |                  2 | On Loan: No      |
| AMORTIZING RESIDENTIAL COLLAT 2001-BC6                                        | AMORTIZING RESIDENTIAL COLLATE ARC 2001 BC6 A           | CUSIP: 86358RMY0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        275 | PA      | $272.07       | 0.00%             | 2031-10-25      | Floating      | 5.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R5K9 PIMCO FXVAN PUT EUR HUF 399.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     674701 | NC      | $4070.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250714                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $376.95       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD HUF BOUGHT USD 20250827                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | HU        |          1 | NC      | $-4174.53     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY MORGAN STANLEY                           | CUSIP: 61747YFQ3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1246684.03   | 0.24%             | 2030-04-18      | Floating      | 5.66%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-2420.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KZT BOUGHT USD 20250911                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-1156.98     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2005-AR4                                                    | WAMU MORTGAGE PASS THROUGH CER WAMU 2005 AR4 A5         | CUSIP: 92922FG77<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       6523 | PA      | $6339.97      | 0.00%             | 2035-04-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-WF1                                          | NOMURA HOME EQUITY LOAN INC NHELI 2006 WF1 M2           | CUSIP: 65536RAF3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     103980 | PA      | $104054.25    | 0.02%             | 2036-03-25      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.75000 03/19/25-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $3557.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD NOK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-490.26      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-36384.87    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GA GLOBAL FUNDING TRUST                                                       | GA GLOBAL FUNDING TRUST SECURED 144A 01/27 2.25         | CUSIP: 36143L2G9<br>LEI: 54930029I8ROQ4OROZ88 | Long             | DBT              | CORP              | US        |     400000 | PA      | $386343.75    | 0.07%             | 2027-01-06      | Fixed         | 2.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.65000 05/11/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-37492.98    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CIFC FUNDING LTD 2017-4A                                                      | CIFC FUNDING LTD CIFC 2017 4A A1R 144A                  | CUSIP: 12551JAL0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |     554431 | PA      | $554576.79    | 0.10%             | 2030-10-24      | Floating      | 5.49%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                             | NATWEST GROUP PLC NATWEST GROUP PLC                     | CUSIP: 639057AN8<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2000000 | PA      | $2077868.84   | 0.39%             | 2035-03-01      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-11395.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/0.85000 09/20/23-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-15664.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $271.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AKTIENGESELLSCHAFT                                              | DEUTSCHE BANK AG REGS 11/30 VAR                         | CUSIP: ACI1SQBN3<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     500000 | PA      | $552744.21    | 0.10%             | 2030-11-19      | Floating      | 1.75%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-1                                        | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 1 1A6A           | CUSIP: 126378AL2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     142646 | PA      | $31638.28     | 0.01%             | 2037-02-25      | Fixed         | 5.86%                 | No            |                  2 | On Loan: No      |
| ORGANON & CO / ORGANON FOREIGN DEBT CO-ISSUER BV                              | ORGANON + CO/ORG SR SECURED REGS 04/28 2.875            | CUSIP: ACI1X1236<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     200000 | PA      | $230162.72    | 0.04%             | 2028-04-30      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/28 4.75   | CUSIP: 80413TBC2<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |    1600000 | PA      | $1613514.82   | 0.31%             | 2028-01-18      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: ACI1CY5Z3<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          3 | PA      | $0.39         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BY6161 FN 07/53 FIXED 5.5                     | CUSIP: 3140NNZ32<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2595391 | PA      | $2597631.76   | 0.49%             | 2053-07-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.94000 08/22/25-1Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-17624.39    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG UBS GROUP AG                               | CUSIP: 902613BL1<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |     700000 | PA      | $727024.28    | 0.14%             | 2030-09-13      | Floating      | 5.62%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 11/54 4.5                               | CUSIP: 912810UE6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   12300000 | PA      | $11725359.38  | 2.22%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.00500 09/29/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-8353.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY 03/27 1                                  | CUSIP: ACI2NCY93<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1534419.48   | 0.29%             | 2027-03-19      | Floating      | 2.66%                 | No            |                  2 | On Loan: No      |
| CASSA DEPOSITI E PRESTITI SOCIETA PER AZIONI                                  | CASSA DEPOSITI E PRESTIT SR UNSECURED 144A 05/26 5.75   | CUSIP: 147918AB2<br>LEI: 81560029E2CE4D14F425 | Long             | DBT              | MUN               | IT        |     900000 | PA      | $909240.68    | 0.17%             | 2026-05-05      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| STANDARD CHARTERED PLC                                                        | STANDARD CHARTERED PLC SR UNSECURED 144A 07/34 VAR      | CUSIP: 853254CU2<br>LEI: U4LOSYZ7YG4W3S5F2G91 | Long             | DBT              | CORP              | GB        |    1400000 | PA      | $1491795.33   | 0.28%             | 2034-07-06      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CAN 5YR BOND FUT  SEP25 XMOD 20250918                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |         45 | NC      | $24293.92     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| FAIRFAX FINANCIAL HOLDINGS LIMITED                                            | FAIRFAX FINL HLDGS LTD SR UNSECURED REGS 03/28 2.75     | CUSIP: ACI11PCM5<br>LEI: GLS7OQD0WOEDI8YAP031 | Long             | DBT              | CORP              | CA        |     500000 | PA      | $585937.39    | 0.11%             | 2028-03-29      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $5368.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT BRL SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $28615.81     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                         | FED HM LN PC POOL SD8331 FR 06/53 FIXED 5.5             | CUSIP: 3132DWHG1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     860003 | PA      | $861742.11    | 0.16%             | 2053-06-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| SERBIA GOVT                                                                   | REPUBLIC OF SERBIA SR UNSECURED 144A 09/36 2.05         | CUSIP: ACI20JFB9<br>LEI: 254900W94OCY91V32O78 | Long             | DBT              | NUSS              | RS        |     500000 | PA      | $448263.23    | 0.08%             | 2036-09-23      | Fixed         | 2.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.28200 03/12/40-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $52503.29     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CVC CORDATUS OPPORTUNITY LOAN FUND DAC 1A                                     | CVC CORDATUS OPPORTUNITY LOAN COLFR 1A AR 144A          | CUSIP: ACI2VQ1V0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1079238 | PA      | $1267579.16   | 0.24%             | 2033-08-15      | Floating      | 2.98%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | CAN 10YR BOND FUT SEP25 XMOD 20250918                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |        109 | NC      | $84230.53     | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 03/32 3.375  | CUSIP: ACI2V6L67<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     600000 | PA      | $704480.45    | 0.13%             | 2032-03-05      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250715                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $217.93       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MDGH GMTN (RSC) LTD                                                           | MDGH GMTN RSC LTD COMPANY GUAR 144A 04/33 5.5           | CUSIP: 55285GAB0<br>LEI: 213800WRY6FRL9IXLT77 | Long             | DBT              | MUN               | AE        |     400000 | PA      | $416548.00    | 0.08%             | 2033-04-28      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H11                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H11 F           | CUSIP: 38375UXM7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     580800 | PA      | $582361.09    | 0.11%             | 2066-05-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.25000 09/17/25-30Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $412648.87    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/52 1.5           | CUSIP: ACI1NN643<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |          1 | PA      | $0.13         | 0.00%             | 2052-10-01      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20250707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $20272.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250729                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $1099.75      | 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      | $-21377.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND BONDS 02/30 4.875                    | CUSIP: 857524AF9<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     400000 | PA      | $408300.38    | 0.08%             | 2030-02-12      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) JAPAN (30 YEAR ISSUE)             | CUSIP: ACI2NMK96<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  414000000 | PA      | $2308832.33   | 0.44%             | 2054-03-20      | Fixed         | 1.80%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $608.24       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 11/49 2.375                             | CUSIP: 912810SK5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     700000 | PA      | $450433.59    | 0.09%             | 2049-11-15      | Fixed         | 2.38%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-24                                         | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 24 1A           | CUSIP: 23243HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     200296 | PA      | $180178.07    | 0.03%             | 2047-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TRUST INC 2005-6                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 6 A1           | CUSIP: 17307GXP8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |        631 | PA      | $635.97       | 0.00%             | 2035-09-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R5B9 PIMCO FXVAN PUT EUR USD 1.10000000            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | US        |     136000 | NC      | $10019.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT AGRICOLE SA                                                            | CREDIT AGRICOLE SA 144A 01/36 VAR                       | CUSIP: 22535WAN7<br>LEI: 969500TJ5KRTCJQWXH05 | Long             | DBT              | CORP              | FR        |    1800000 | PA      | $1866806.39   | 0.35%             | 2036-01-09      | Floating      | 5.86%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT AUD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $221785.74    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 03/19/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $160423.93    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-9862.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLENCORE FUNDING LLC                                                          | GLENCORE FUNDING LLC COMPANY GUAR 144A 04/30 5.186      | CUSIP: 378272BZ0<br>LEI: 213800STG1QDNBY87K49 | Long             | DBT              | CORP              | US        |     800000 | PA      | $815999.71    | 0.15%             | 2030-04-01      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-41877.01    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| NYKREDIT REALKREDIT A/S                                                       | NYKREDIT REALKREDIT AS COVERED REGS 10/50 1             | CUSIP: BK9CXBII1<br>LEI: LIU16F6VZJSD6UKHD557 | Long             | DBT              | CORP              | DK        |         15 | PA      | $1.83         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260610                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-40.64       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED KINGDOM GOVT                                                           | UNITED KINGDOM GILT BONDS REGS 07/54 4.375              | CUSIP: ACI2MLPN3<br>LEI: ECTRVYYCEF89VWYS6K36 | Long             | DBT              | NUSS              | GB        |    2700000 | PA      | $3212457.34   | 0.61%             | 2054-07-31      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| DOMINION ENERGY INC                                                           | DOMINION RESOURCES                                      | CUSIP: 2574P0UJ1<br>LEI: ILUL7B6Z54MRYCF6H308 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249425.85    | 0.05%             | 2025-07-18      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750QM06 PIMCO CDSOPT PUT USD 0.9 20250716             | CUSIP: OP0043SX7<br>LEI: N/A                  | N/A              | DCR              |  | US        |   -1500000 | NC      | $-101.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHINA GOVT                                                                    | CHINA GOVERNMENT BOND BONDS 01/55 1.92                  | CUSIP: ACI2T8432<br>LEI: 300300CHN201808MOF68 | Long             | DBT              | NUSS              | CN        |    9800000 | PA      | $1368247.92   | 0.26%             | 2055-01-15      | Fixed         | 1.92%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 08/44 4.125                             | CUSIP: 912810UD8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3875000 | PA      | $3551225.58   | 0.67%             | 2044-08-15      | Fixed         | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 0.70000 04/11/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-30693.16    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| CS FIRST BOSTON MTGE SEC CORP 2003-8                                          | CREDIT SUISSE FIRST BOSTON MOR CSFB 2003 8 5A1          | CUSIP: 22541NX20<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |         74 | PA      | $76.24        | 0.00%             | 2033-04-25      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 1A           | CUSIP: 12667TAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     584601 | PA      | $550310.75    | 0.10%             | 2047-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| POLAND GOVT                                                                   | REPUBLIC OF POLAND BONDS 02/35 5.375                    | CUSIP: 857524AH5<br>LEI: 259400R9L8QEP0TPXS31 | Long             | DBT              | NUSS              | PL        |     300000 | PA      | $306176.70    | 0.06%             | 2035-02-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20250825                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $1434.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-194351.12   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-986.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250811                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-9226.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD THB BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $8455.71      | 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        |     854727 | PA      | $642514.05    | 0.12%             | 2036-07-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT THB SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $426.64       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MTGE LOAN TR INC 2006-8                                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2006 8 A3 144A      | CUSIP: 17310CAC6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     927345 | PA      | $409828.84    | 0.08%             | 2035-10-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-R1                                            | VERUS SECURITIZATION TRUST VERUS 2024 R1 A1 144A        | CUSIP: 924926AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1330719 | PA      | $1331068.82   | 0.25%             | 2069-09-25      | Fixed         | 5.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1880.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-15478.30    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TORONTO-DOMINION BANK                                                         | TORONTO DOMINION BANK TORONTO DOMINION BANK             | CUSIP: 891160TE3<br>LEI: PT3QB789TSUIDF371261 | Long             | DBT              | CORP              | CA        |    2100000 | PA      | $2134774.61   | 0.40%             | 2027-07-16      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20250718                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $12199.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.25000 09/21/22-20Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-211756.36   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 06/19/24-20Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-499357.49   | -0.09%            |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC REMICS 5511                                                       | FREDDIE MAC FHR 5511 FB                                 | CUSIP: 3137HKKK9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3316743 | PA      | $3332319.89   | 0.63%             | 2055-03-25      | Floating      | 5.71%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (20 YEAR ISSUE) BONDS 09/35 1.2                   | CUSIP: ACI0GYYD8<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  920000000 | PA      | $6218792.40   | 1.18%             | 2035-09-20      | Fixed         | 1.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BTP FUTURE   SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        398 | NC      | $188509.47    | 0.04%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-1418828.29  | -0.27%            |  |  |  | No            |                  2 | On Loan: No      |
| AUTONOMOUS COMMUNITY OF CATALONIA (AKA: GENERALITAT DE CATALUNYA)             | GENERALITAT DE CATALUNYA SR UNSECURED 04/35 4.22        | CUSIP: B081RMII3<br>LEI: 95980020140005848404 | Long             | DBT              | NUSS              | ES        |     200000 | PA      | $242462.29    | 0.05%             | 2035-04-26      | Fixed         | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-121333.39   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20250707                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $510.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-15969.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $301.09       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 3.00000 03/19/25-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $420645.91    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC CO                                                   | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 08/27 2.1           | CUSIP: 694308JF5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |     100000 | PA      | $94739.43     | 0.02%             | 2027-08-01      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA SR UNSECURED 144A 09/34 6.25                    | CUSIP: ACI2TMX47<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     200000 | PA      | $237971.95    | 0.05%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2017-133                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2017 133 EC          | CUSIP: 38380HCH3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2801 | PA      | $2680.82      | 0.00%             | 2047-05-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20250808                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-2495.34     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| THAILAND GOVT                                                                 | THAILAND GOVERNMENT BOND SR UNSECURED 06/32 3.775       | CUSIP: B75489II5<br>LEI: 254900PHJ6MSKT6C7026 | Long             | DBT              | NUSS              | TH        |   38570000 | PA      | $1364252.89   | 0.26%             | 2032-06-25      | Fixed         | 3.77%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.00000 09/17/25-2Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-911.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | CDX IG43 10Y ICE                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-50300.24    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT JPY SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $194247.38    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.00000 03/19/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1102446.60   | 0.21%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP BOA                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-29948.88    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS INR MIBOR/6.00000 09/17/25-5Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | IN        |          1 | NC      | $-10641.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-7524.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JYSKE REALKREDIT A/S                                                          | JYSKE REALKREDIT A/S COVERED REGS 10/50 1               | CUSIP: ACI1CPNN9<br>LEI: 529900R9HQNZRT2OXB26 | Long             | DBT              | CORP              | DK        |          7 | PA      | $0.90         | 0.00%             | 2050-10-01      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOUTH KOREA GOVT AS BP JPM                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-33352.15    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/33 1.125                             | CUSIP: 91282CGK1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4307320 | PA      | $4117866.71   | 0.78%             | 2033-01-15      | Fixed         | 1.12%                 | 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        |    2241000 | PA      | $687874.71    | 0.13%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KWD SOLD USD 20260518                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-4.26        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD DKK BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | DK        |          1 | NC      | $-17943.86    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R3Y1 PIMCO FXVAN PUT EUR CZK 24.55000000           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |    1389000 | NC      | $5906.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MALAYSIA GOVT                                                                 | MALAYSIA GOVERNMENT BONDS 07/32 3.582                   | CUSIP: ACI22Y4J9<br>LEI: 254900GSIL471JOBYY43 | Long             | DBT              | NUSS              | MY        |     530000 | PA      | $127648.15    | 0.02%             | 2032-07-15      | Fixed         | 3.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250715                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $100.92       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREDDIE MAC 2610                                                              | FREDDIE MAC FHR 2610 FD                                 | CUSIP: 31393QX80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1211 | PA      | $1206.12      | 0.00%             | 2032-12-15      | Floating      | 4.92%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS CNY 1.50000 03/18/26-4Y* LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CN        |          1 | NC      | $90798.45     | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-44697.10    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | TSY INFL IX N/B 01/28 0.5                               | CUSIP: 9128283R9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    7802340 | PA      | $7658471.72   | 1.45%             | 2028-01-15      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| EXPORT DEVELOPMENT CANADA (EDC)                                               | EXPORT DEVELOPMNT CANADA EXPORT DEVELOPMNT CANADA       | CUSIP: ACI2N3ML9<br>LEI: Z6MHCSLXHKYG4B6PHW02 | Long             | DBT              | CORP              | CA        |   84800000 | PA      | $1005823.06   | 0.19%             | 2029-03-11      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS 144A REGS 05/72 0.5              | CUSIP: ACI1V7HH8<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    1000000 | PA      | $323889.31    | 0.06%             | 2072-05-25      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE HOME LOAN MORTGAGE PASS THROUGH TRUST 2004-J9                     | COUNTRYWIDE HOME LOANS CWHL 2004 J9 2A5                 | CUSIP: 12669GFK2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     150267 | PA      | $152017.76    | 0.03%             | 2035-01-25      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $105679.92    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| ABN AMRO BANK NV                                                              | ABN AMRO BANK NV 144A 12/35 VAR                         | CUSIP: 00084DBF6<br>LEI: BFXS5XCH7N0Y05NIXW11 | Long             | DBT              | CORP              | NL        |     900000 | PA      | $917424.95    | 0.17%             | 2035-12-03      | Floating      | 5.51%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-26400.09    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R6I3 PIMCO FXVAN PUT EUR HUF 395.00000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KY        |     810000 | NC      | $3376.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST 2021-INV8                                            | JP MORGAN MORTGAGE TRUST JPMMT 2021 INV8 A2 144A        | CUSIP: 46654RAG7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3253653 | PA      | $2781873.59   | 0.53%             | 2052-05-25      | Variable      | 3.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-22                                        | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 22 1A           | CUSIP: 12666BAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     190853 | PA      | $173683.33    | 0.03%             | 2035-06-25      | Floating      | 4.71%                 | No            |                  2 | On Loan: No      |
| WEST VIRGINIA UNITED HEALTH SYSTEM OBLIGATED GROUP                            | WEST VA HEALTH SYS OBL SECURED 06/50 3.129              | CUSIP: 956708AB7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     800000 | PA      | $504518.15    | 0.10%             | 2050-06-01      | Fixed         | 3.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD TWD BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-44335.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ITALY GOVT                                                                    | ITALY GOV T INT BOND SR UNSECURED REGS 08/28 6          | CUSIP: 551287II8<br>LEI: 815600DE60799F5A9309 | Long             | DBT              | NUSS              | IT        |     400000 | PA      | $571159.53    | 0.11%             | 2028-08-04      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| THE BANK OF NOVA SCOTIA                                                       | BANK OF NOVA SCOTIA COVERED REGS 09/29 0.01             | CUSIP: ACI20BTZ8<br>LEI: L3I9ZG2KFGXZ61BMYR72 | Long             | DBT              | CORP              | CA        |    1200000 | PA      | $1272905.90   | 0.24%             | 2029-09-14      | Fixed         | 0.01%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL 713701 FN 08/33 FIXED 4.5                     | CUSIP: 31401N3J6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      95098 | PA      | $94203.45     | 0.02%             | 2033-08-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL CA6106 FN 06/50 FIXED 4                       | CUSIP: 3140QDYC2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     347885 | PA      | $326928.76    | 0.06%             | 2050-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY MORGAN STANLEY                           | CUSIP: 61747YFH3<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     500000 | PA      | $529696.63    | 0.10%             | 2029-11-01      | Floating      | 6.41%                 | No            |                  2 | On Loan: No      |
| BARCLAYS PLC                                                                  | BARCLAYS PLC BARCLAYS PLC                               | CUSIP: 06738ECR4<br>LEI: 213800LBQA1Y9L22JB70 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $206989.06    | 0.04%             | 2030-03-12      | Floating      | 5.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20250804                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4914.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | EURO-BOBL FUTURE  SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -244 | NC      | $126998.58    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | IRS EUR 2.21300 03/12/40-15Y LCH                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $357727.32    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT KZT SOLD USD 20250912                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KZ        |          1 | NC      | $-869.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2019-4                                              | TOWD POINT MORTGAGE TRUST TPMT 2019 4 A1 144A           | CUSIP: 89178BAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1613005 | PA      | $1549931.02   | 0.29%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| SAUDI ARABIA GOVT                                                             | SAUDI INTERNATIONAL BOND SR UNSECURED 144A 01/31 5.375  | CUSIP: 80413TBK4<br>LEI: 635400FMICXSM3SI3H65 | Long             | DBT              | NUSS              | SA        |     800000 | PA      | $830246.46    | 0.16%             | 2031-01-13      | Fixed         | 5.38%                 | 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      | $17298.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2005-9                                               | BEAR STEARNS ALT A TRUST BALTA 2005 9 24A1              | CUSIP: 07386HYE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |       9609 | PA      | $7403.37      | 0.00%             | 2035-11-25      | Floating      | 4.91%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016-H14                             | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H14 FA          | CUSIP: 38376RVV5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     294790 | PA      | $295559.11    | 0.06%             | 2066-06-20      | Floating      | 5.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                          | FNMA POOL BM3910 FN 11/30 FIXED VAR                     | CUSIP: 3140J8KY8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      80499 | PA      | $79863.46     | 0.02%             | 2030-11-01      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR FUT OPTN  AUG25C 112.7 EXP 07/25/2025           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -24 | NC      | $-10500.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300515                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6504.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SPAIN GOVT                                                                    | BONOS Y OBLIG DEL ESTADO SR UNSECURED 144A REGS 04/35 3 | CUSIP: ACI2TFSN6<br>LEI: 9598007A56S18711AH60 | Long             | DBT              | NUSS              | ES        |    4010000 | PA      | $4717158.03   | 0.89%             | 2035-04-30      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | OIS CAD CAONREPO/2.7500 12/18/18-30Y LCH                | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CA        |          1 | NC      | $-36578.17    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS AUD 3.50000 03/18/26-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-10436.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANK OF AMERICA CORPORATION                                                   | BANK OF AMERICA CORP SR UNSECURED 07/31 VAR             | CUSIP: 06051GJF7<br>LEI: 9DJT3UXIJIZJI4WXO774 | Long             | DBT              | CORP              | US        |     100000 | PA      | $87890.77     | 0.02%             | 2031-07-23      | Floating      | 1.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U6EFA8 PIMCO SWAPTION 4.35 PUT USD 20250925          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1900000 | NC      | $-545.30      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROCKFORD TOWER EUROPE CLO 2018-1A DAC                                         | ROCKFORD TOWER EUROPE CLO RFTE 2018 1A AR               | CUSIP: ACI2NJ0V6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1100000 | PA      | $1296414.32   | 0.25%             | 2037-04-24      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                                 | BOEING CO/THE SR UNSECURED 05/27 6.259                  | CUSIP: 097023DP7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     600000 | PA      | $617536.16    | 0.12%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| GSR MORTGAGE LOAN TRUST 2005-AR2                                              | GSR MORTGAGE LOAN TRUST GSR 2005 AR2 3A1                | CUSIP: 36242DH89<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      26766 | PA      | $27147.55     | 0.01%             | 2035-04-25      | Floating      | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-270272.73   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                                    | JAPAN (30 YEAR ISSUE) BONDS 06/46 0.3                   | CUSIP: ACI0MYW19<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  620000000 | PA      | $2818146.59   | 0.53%             | 2046-06-20      | Fixed         | 0.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TWD SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $37511.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F020679<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |  -47950000 | PA      | $-37969511.98 | -7.19%            | 2054-07-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/0.0500 12/15/21-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-181754.55   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 09/18/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-89353.81    | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.75000 06/20/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-151576.21   | -0.03%            |  |  |  | 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        |      10376 | PA      | $9786.97      | 0.00%             | 2034-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-752.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT BASED ASSET SRVC & SEC 2006-CB3                                        | CREDIT BASED ASSET SERVICING A CBASS 2006 CB3 AV4       | CUSIP: 12489WQX5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     267633 | PA      | $244255.61    | 0.05%             | 2036-03-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250805                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-107004.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS 144A REGS 06/49 3                | CUSIP: ACI2MHL63<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    2300000 | PA      | $2341853.06   | 0.44%             | 2049-06-25      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                                  | ROMANIA UNSECURED 144A 12/40 2.625                      | CUSIP: ACI1T3QG2<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     400000 | PA      | $293733.77    | 0.06%             | 2040-12-02      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD SGD BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-53014.37    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                                | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1              | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |       4536 | PA      | $3792.10      | 0.00%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | IRS EUR 1.00000 05/13/22-5Y LCH                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-48544.85    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT IDR SOLD USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $1218.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 06/18/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $5052.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-18.42       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FRANCE GOVT                                                                   | FRANCE (GOVT OF) BONDS REGS 02/28 0.75                  | CUSIP: ACI25TX22<br>LEI: 969500KCGF3SUYJHPV70 | Long             | DBT              | NUSS              | FR        |    5700000 | PA      | $6478243.25   | 1.23%             | 2028-02-25      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20250825                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $11566.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD KWD BOUGHT USD 20300513                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $6510.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                                   | NATIONWIDE BLDG SOCIETY SR UNSECURED 144A 02/28 VAR     | CUSIP: 63861VAF4<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    1200000 | PA      | $1172046.58   | 0.22%             | 2028-02-16      | Floating      | 2.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | US 10YR FUT OPTN  AUG25P 109 EXP 07/25/2025             | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         -8 | NC      | $-250.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                                | MORGAN STANLEY SR UNSECURED 10/30 VAR                   | CUSIP: 61747YFU4<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     400000 | PA      | $400840.30    | 0.08%             | 2030-10-18      | Floating      | 4.65%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC 2007-3X                                                   | NEWGATE FUNDING PLC NGATE 2007 3X A3 REGS               | CUSIP: B2NDQFII2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     133307 | PA      | $179403.60    | 0.03%             | 2050-12-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20250722                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $4979.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.9544* 02/05/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2420.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                            | US TREASURY N/B 08/48 3                                 | CUSIP: 912810SD1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500000 | PA      | $369941.41    | 0.07%             | 2048-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/4.06500 06/26/25-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-18399.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1868.23      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD MYR BOUGHT USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MY        |          1 | NC      | $-10636.07    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.99801 02/13/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-17803.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | 31750R396 PIMCO FXVAN CALL USD TRY 53.50000000          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | LU        |    -871000 | NC      | $-23615.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| HUNGARY GOVT                                                                  | HUNGARY SR UNSECURED 144A 09/32 6.25                    | CUSIP: 445545AS5<br>LEI: 5299003F3UFKGCCMAP43 | Long             | DBT              | NUSS              | HU        |     900000 | PA      | $940926.06    | 0.18%             | 2032-09-22      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT EGP SOLD USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | EG        |          1 | NC      | $1148.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR CHF SRFXON3/0.29400 02/10/22-5Y LCH                 | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | CH        |          1 | NC      | $62075.09     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                                  | UBS GROUP AG SR UNSECURED 144A 04/31 VAR                | CUSIP: 225401AP3<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    1200000 | PA      | $1175349.48   | 0.22%             | 2031-04-01      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT INR SOLD USD 20250820                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4046.37      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT SGD SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $321.25       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD EUR BOUGHT USD 20250711                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-5591.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                          | GNMA II TBA 30 YR 3 JUMBOS                              | CUSIP: 21H030682<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   14100000 | PA      | $12470567.48  | 2.36%             | 2054-08-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20250731                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4066.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                                 | JONES LANG LASALLE FIN BV 4/A2 07/25 ZCP                | CUSIP: 48002AUE2<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |     250000 | PA      | $249552.18    | 0.05%             | 2025-07-14      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-HE8                                         | MORGAN STANLEY CAPITAL INC MSAC 2006 HE8 A1             | CUSIP: 61750SAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      83389 | PA      | $73907.66     | 0.01%             | 2036-10-25      | Floating      | 4.56%                 | No            |                  2 | On Loan: No      |
| NEWGATE FUNDING PLC-2007-1X                                                   | NEWGATE FUNDING PLC NGATE 2007 1X A3 REGS               | CUSIP: 994BNLII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     115015 | PA      | $155625.85    | 0.03%             | 2050-12-01      | Floating      | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | 317U9LFA9 PIMCO SWAPTION 2.46 CALL EUR 2025071          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |   -1600000 | NC      | $-1787.47     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-11731.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CNH BOUGHT USD 20250716                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-11014.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD CAD BOUGHT USD 20250908                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-49848.90    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2007-2                                        | RENAISSANCE HOME EQUITY LOAN T RAMC 2007 2 AF2          | CUSIP: 75970QAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1052817 | PA      | $261630.22    | 0.05%             | 2037-06-25      | Variable      | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250806                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $541.55       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD JPY BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-2457.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT TRY SOLD USD 20250709                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $15661.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY HOME EQUITY LN 2007-1                                          | MORGAN STANLEY HOME EQUITY LOA MSHEL 2007 1 A2          | CUSIP: 61751QAB1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     705064 | PA      | $337276.05    | 0.06%             | 2036-12-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.25000 12/20/23-30Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $264189.75    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| DOCTORS CO/THE                                                                | DOCTORS CO INTERINSURANC SUBORDINATED 144A 01/32 4.5    | CUSIP: 256141AB8<br>LEI: MKYKR1GWDRIJRLI1S211 | Long             | DBT              | CORP              | US        |     200000 | PA      | $178152.81    | 0.03%             | 2032-01-18      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT CNY SOLD USD 20250729                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $840.35       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO & COMPANY                                                         | WELLS FARGO + COMPANY SR UNSECURED 10/29 VAR            | CUSIP: 95000U3G6<br>LEI: PBLD0EJDB5FWOLXP3B76 | Long             | DBT              | CORP              | US        |     900000 | PA      | $951355.12    | 0.18%             | 2029-10-23      | Floating      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR JPY MUTK/1.00000 03/19/25-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-169544.13   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD ZAR BOUGHT USD 20250723                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-11731.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JONES LANG LASALLE FINANCE BV                                                 | JONES LANG LASALLE FIN BV 4/A2 07/25 ZCP                | CUSIP: 48002AU93<br>LEI: 7245008JNMAJF7J71W93 | Long             | DBT              | CORP              | NL        |     250000 | PA      | $249713.05    | 0.05%             | 2025-07-09      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS INC 2007-QO2                                       | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QO2 A1         | CUSIP: 75116AAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      20092 | PA      | $6134.87      | 0.00%             | 2047-02-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| GOLDMAN SACHS GROUP INC                                                       | GOLDMAN SACHS GROUP INC SR UNSECURED REGS 01/33 VAR     | CUSIP: ACI2T8KF7<br>LEI: 784F5XWPLTWKTBV3E584 | Long             | DBT              | CORP              | US        |    1200000 | PA      | $1426085.25   | 0.27%             | 2033-01-23      | Floating      | 3.50%                 | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2022-PJ4                                  | GS MORTGAGE BACKED SECURITIES GSMBS 2022 PJ4 A4 144A    | CUSIP: 36264RAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2609002 | PA      | $2129455.13   | 0.40%             | 2052-09-25      | Variable      | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | BOUGHT PEN SOLD USD 20250917                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $557.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.86500 05/15/25-5Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11648.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD PEN BOUGHT USD 20250730                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-12044.71    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.96415 02/12/25-30Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3999.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SOLD GBP BOUGHT USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-27007.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                          | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F050684<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   50400000 | PA      | $49367280.82  | 9.34%             | 2054-08-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR USD SOFR/3.59500 08/19/24-10Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6439.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ACCREDIT LOANS 2007-QH8                                           | RESIDENTIAL ACCREDIT LOANS, IN RALI 2007 QH8 A          | CUSIP: 74924EAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     134342 | PA      | $108094.64    | 0.02%             | 2037-10-25      | Variable      | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                           | RFR GBP SONIO/3.00000 06/17/25-2Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-260894.18   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                           | SHORT EURO-BTP FU SEP25 XEUR 20250908                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |       -203 | NC      | $40122.55     | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                           | BOUGHT NOK SOLD USD 20250702                            | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NO        |          1 | NC      | $-53.67       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2025-08-19

**Name of Applicant:** PIMCO Variable Insurance Trust

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer