# EDGAR Filing Document

**Accession Number:** 0001047304
**File Stem:** 0001099263-26-003052
**Filing Date:** 2026-3
**Character Count:** 514143
**Document Hash:** fb8a305ae2da702905f50c118bc07a4f
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001099263-26-003052.hdr.sgml**: 20260302

**ACCESSION NUMBER**: 0001099263-26-003052

**CONFORMED SUBMISSION TYPE**: NPORT-P

**PUBLIC DOCUMENT COUNT**: 1

**CONFORMED PERIOD OF REPORT**: 20251231

**FILED AS OF DATE**: 20260302

**DATE AS OF CHANGE**: 20260302

**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:** 26705866

**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 Income Portfolio (Series ID: S000052997)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000166584 | Administrative Class | PIINCAM         |
| C000166585 | Advisor Class        | PIINCAV         |
| C000166586 | Institutional Class  | PIINCIS         |

## 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 Income Portfolio

- **b. EDGAR series identifier (if any):** S000052997

- **c. LEI of Series:** 549300MOZXYNRRLD4N87

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

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

- **b. Date as of which information is reported:** 2025-12-31

**Item A.4. Final filing**

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

### Fund Information

**Total Assets:** $2298164456.62

**Total Liabilities:** $1301099905.93

**Net Assets:** $997064550.69

**Cash Not Reported:** $17489276.40

**Currency Risk Metrics (dv01):**

- 

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

- **3-Month:** 59808.066600 | **1-Year:** 134537.305000 | **5-Year:** 242256.866200 | **10-Year:** 37004.263100 | **30-Year:** -10669.145100

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

- **3-Month:** 18225.082500 | **1-Year:** 22460.988500 | **5-Year:** 59748.294600 | **10-Year:** 18379.697100 | **30-Year:** 0.000000

**Monthly Return Information**

| Class               | Month 1 Return (%)   | Month 2 Return (%)   | Month 3 Return (%)   |
|:---|:---|:---|:---|
| Class ID C000166584 | 1.45%                | 0.67%                | 0.44%                |
| Class ID C000166585 | 1.44%                | 0.66%                | 0.43%                |
| Class ID C000166586 | 1.46%                | 0.68%                | 0.45%                |

**Monthly Gains & Losses**

| Period   | Net Realized Gain/Loss   | Net Unrealized Appreciation/Depreciation   |
|:---|:---|:---|
| Month 1  | $3137995.73              | $1919539.71                                |
| Month 2  | $-2145284.75             | $6099971.26                                |
| Month 3  | $1116934.33              | $-1847448.78                               |

### Schedule of Portfolio Investments

| Name                                                                    | Title                                                     | Identifiers                                   | Payoff Profile   | Asset Category   | Issuer Category   | Country   |    Balance | Units   | Value (USD)   | % of Net Assets   | Maturity Date   | Coupon Type   | Annualized Rate (%)   | Restricted?   |   Fair Value Level | Lending Status   |
|:---|:---|:---|:---|:---|:---|:---|---:|:---|:---|:---|:---|:---|:---|:---|---:|:---|
| N/A                                                                     | RFR USD SOFR/4.15000 04/22/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12941.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 02/33 13.25                    | CUSIP: ACI2C9W52<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 6021800000 | PA      | $1615640.26   | 0.16%             | 2033-02-09      | Fixed         | 13.25%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-22563.75    | -0.00%            |  |  |  | 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      | $15451.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                            | RUSSIAN FEDERATION SR UNSECURED REGS 03/35 5.1            | CUSIP: X5424XCG1<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     400000 | PA      | $0.00         | 0.00%             | 2035-03-28      | Fixed         | 5.10%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | SOLD KWD BOUGHT USD 20300509                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $15742.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.5* 8/16/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-24886.94    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0149 G2 01/55 FIXED 6.5                    | CUSIP: 3618N5EX3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     524131 | PA      | $542673.25    | 0.05%             | 2055-01-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| AMSURG (AMBULATORY TOPCO LLC)                                           | AMSURG EQUITY EQTYAS910                                   | CUSIP: 902RDL901<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      22386 | NS      | $1005438.38   | 0.10%             |  |  |  | Yes           |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G08783 FG 10/47 FIXED 3                 | CUSIP: 3128MJ2R0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       8168 | PA      | $7405.25      | 0.00%             | 2047-10-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.43500 11/01/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10823.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260227                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $8030.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-21636.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CIM TRUST 2023-R4                                                       | CIM TRUST CIM 2023 R4 A1 144A                             | CUSIP: 12569UAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3279883 | PA      | $3280222.21   | 0.33%             | 2062-05-25      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 8/17/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $63908.46     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.64750 01/08/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3264.76      | 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      | $7675.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.25000 03/20/24-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-29557.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.37500 10/15/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-13583.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ELLINGTON FINANCIAL MORTGAGE TRUST 2022-4                               | ELLINGTON FINANCIAL MORTGAGE T EFMT 2022 4 A1 144A        | CUSIP: 268432AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3456538 | PA      | $3462689.47   | 0.35%             | 2067-09-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | PEMEX LCDS SP DUB                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2225.47      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| CENTERBRIDGE CREDIT FUNDING 1 LTD                                       | CENTERBRIDGE CREDIT FUNDING LT CBCF 2021 1A A 144A        | CUSIP: 15186PAA6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    6450000 | PA      | $6274612.63   | 0.63%             | 2039-07-25      | Fixed         | 3.16%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM8                | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM8 A1 144A     | CUSIP: 61779QAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5132906 | PA      | $5139543.71   | 0.52%             | 2070-09-25      | Variable      | 4.96%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-5735.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                   | MERCURY AGGREGATOR L P TRANCHE 1 TERM LOAN                | CUSIP: BA000FDV1<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     109492 | PA      | $5757.30      | 0.00%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RB5182 FR 09/42 FIXED 4                 | CUSIP: 3133KYXK0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     239971 | PA      | $236155.45    | 0.02%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.10000 01/21/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7821.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM44 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-3134.21     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260303                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-8851.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $13682.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.86000 02/21/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7273.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.38000 08/04/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $30331.52     | 0.00%             |  |  |  | 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        |     290000 | PA      | $297673.57    | 0.03%             | 2027-05-01      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                         | REPUBLIC OF VENEZUELA SR UNSECURED 09/27 9.25             | CUSIP: 922646AS3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     143000 | PA      | $47726.25     | 0.00%             | 2027-09-15      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.64500 08/07/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3317.79      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260209                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-52791.65    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $11049.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/54 4.25                                | CUSIP: 912810UC0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $1447093.74   | 0.15%             | 2054-08-15      | Fixed         | 4.25%                 | 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        |    1847914 | PA      | $1842054.55   | 0.18%             | 2035-11-25      | Floating      | 4.49%                 | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                            | RUSSIAN FEDERATION SR UNSECURED REGS 04/42 5.625          | CUSIP: X74344DS2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     800000 | PA      | $560000.00    | 0.06%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260316                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-75988.04    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.56900 08/14/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6251.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-41472.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260319                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $6127.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEX BONOS DESARR FIX RT SR UNSECURED 05/29 8.5            | CUSIP: 929FKUII9<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   10100000 | PA      | $566273.05    | 0.06%             | 2029-05-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.2* 9/12/23-26Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $302888.63    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP GST                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-309.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE GOVERNMENT BOND BONDS 09/28 VAR                   | CUSIP: ACI2R3GV0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |    2500000 | PA      | $58172.96     | 0.01%             | 2028-09-06      | Fixed         | 41.72%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.20000 05/06/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $25447.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.87 03/22/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-17594.85    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN HOME MTGE INV TRUST 2006-2                                     | AMERICAN HOME MORTGAGE INVESTM AHM 2006 2 3A4             | CUSIP: 02660YAW2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6155350 | PA      | $838526.73    | 0.08%             | 2036-06-25      | Variable      | 7.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP GST                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-559.74      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.87400 03/05/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3998.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.2* 9/17/23-7Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2539493.43   | 0.25%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QF5251 FR 01/53 FIXED 5.5               | CUSIP: 3133BSZQ8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     106324 | PA      | $108262.65    | 0.01%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5167 FN 10/53 FIXED 6.5                       | CUSIP: 31418EW55<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1064712 | PA      | $1107966.19   | 0.11%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.25000 06/15/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $296697.03    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                     | NISSAN MOTOR CO SR UNSECURED 144A 07/35 8.125             | CUSIP: 654922AD5<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |    1200000 | PA      | $1276226.82   | 0.13%             | 2035-07-17      | Fixed         | 8.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ISRAEL GOVT EM SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $4760.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-9536.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $107.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                       | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/27 5.375    | CUSIP: P7807HAC9<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     385000 | PA      | $90282.50     | 0.01%             | 2027-04-12      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.00 9/16/23-7Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $90437.31     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST INVESTORS AUTO OWNER TRUST 2023-1A                                | FIRST INVESTORS AUTO OWNER TRU FIAOT 2023 1A A 144A       | CUSIP: 320986AA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     471339 | PA      | $474910.65    | 0.05%             | 2028-10-16      | Fixed         | 6.44%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 5YR NOTE (CBT) MAR26 XCBT 20260331                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1134 | NC      | $-378638.83   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL V83950 FG 02/48 FIXED 3                 | CUSIP: 3132L9L78<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      11699 | PA      | $10572.64     | 0.00%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-3914.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY44 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $64643.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA SR UNSECURED 144A 03/30 5.25                      | CUSIP: ACI2TMXJ4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1600000 | PA      | $1967754.86   | 0.20%             | 2030-03-10      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3A                                                    | EUROSAIL PLC ESAIL 2007 3A A3C 144A                       | CUSIP: 29880YAJ8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      87665 | PA      | $118201.54    | 0.01%             | 2045-06-13      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA9961 G2 10/54 FIXED 3.5                    | CUSIP: 36180AB69<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2951436 | PA      | $2690279.48   | 0.27%             | 2054-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-10145.11    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                     | COMMONSPIRIT HEALTH SR UNSECURED 09/30 4.352              | CUSIP: 20268JAY9<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     250000 | PA      | $249028.40    | 0.02%             | 2030-09-01      | Fixed         | 4.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $1837.99      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $634.54       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GOLDEN BAR SECURITISATION SRL 2023-2 23-2                               | GOLDEN BAR SECURITISATION GOLDB 2023 2 A REGS             | CUSIP: ACI2KTMD3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | IT        |    2376946 | PA      | $2810996.32   | 0.28%             | 2043-09-22      | Floating      | 3.08%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.07800 04/29/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10691.05     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| AVON FINANCE 4A                                                         | AVON FINANCE AVON 4A A 144A                               | CUSIP: ACI2JTXR2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3136374 | PA      | $4233384.88   | 0.42%             | 2049-12-28      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 9.87397 08/03/23-01/02/26 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-32785.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.3* 7/20/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $94110.60     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/51 0.125                               | CUSIP: 912810SV1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2001008 | PA      | $1082224.93   | 0.11%             | 2051-02-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  DEC25 XCME 20260317                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -11 | NC      | $42161.72     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.00000 06/15/22-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $312105.09    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 4.25 11/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-55513.48    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5217 FN 12/53 FIXED 6.5                       | CUSIP: 31418EYP9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     902460 | PA      | $938120.43    | 0.09%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA SR UNSECURED 07/41 VAR              | CUSIP: 040114HV5<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    5070763 | PA      | $3519109.52   | 0.35%             | 2041-07-09      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 6.5 JUMBOS                              | CUSIP: 21H062610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1500000 | PA      | $1550742.20   | 0.16%             | 2055-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT BRL SOLD USD 20260203                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-32829.96    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 07/30 4.55            | CUSIP: 694308JM0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1259000 | PA      | $1254118.29   | 0.13%             | 2030-07-01      | Fixed         | 4.55%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 01/26 3.15            | CUSIP: 694308JP3<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    2072000 | PA      | $2072000.00   | 0.21%             | 2026-01-01      | Fixed         | 3.15%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F040610<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1800000 | PA      | $1707586.09   | 0.17%             | 2056-01-14      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD SGD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-130110.65   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-10339.93    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GRIFONAS FINANCE NO.1 PLC GRIF-1                                        | GRIFONAS FINANCE PLC GRIF 1 A REGS                        | CUSIP: B1DFQWII3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |     358232 | PA      | $413769.20    | 0.04%             | 2039-08-28      | Floating      | 2.34%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-3                                        | TOWD POINT MORTGAGE TRUST TPMT 2024 3 A1A 144A            | CUSIP: 89183FAP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5274574 | PA      | $5329627.83   | 0.53%             | 2065-07-25      | Variable      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.86000 11/14/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6221.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 2 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F020612<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |   -3200000 | PA      | $-2587487.26  | -0.26%            | 2055-01-15      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| SFO COMMERCIAL MORTGAGE TRUST 2021-555                                  | SFO COMMERICAL MORTGAGE TRUST SFO 2021 555 E 144A         | CUSIP: 78432WAJ2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2400000 | PA      | $2383951.44   | 0.24%             | 2038-05-15      | Floating      | 6.76%                 | No            |                  2 | On Loan: No      |
| XBP GLOBAL HOLDINGS INC                                                 | XBP GLOBAL HOLDINGS INC COMMON STOCK                      | CUSIP: 98400V200<br>LEI: 984500BE0P94C4CD8C71 | Long             | EC               | CORP              | US        |        247 | NS      | $1682.07      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 06/22/23-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1152.64     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.36000 10/07/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1848.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.42100 08/04/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $10835.25     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $6929.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-2                                          | FREMONT HOME LOAN TRUST FHLT 2005 2 M4                    | CUSIP: 35729PLP3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3103864 | PA      | $2927883.60   | 0.29%             | 2035-06-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.00000 06/21/23-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $401733.58    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.08000 04/17/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10731.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.41000 11/05/24-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-41198.53    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEHMAN XS TRUST 2005-6                                                  | LEHMAN XS TRUST LXS 2005 6 3A3A                           | CUSIP: 525221DJ3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6655869 | PA      | $3039862.64   | 0.30%             | 2035-11-25      | Variable      | 6.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260223                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $23148.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.39500 10/17/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12790.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260309                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $8942.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.2* 9/11/23-26Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $748557.19    | 0.08%             |  |  |  | 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      | $-213.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                            | RUSSIAN FEDERATION SR UNSECURED 144A 06/47 5.25           | CUSIP: X5424XBP2<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |     200000 | PA      | $0.00         | 0.00%             | 2047-06-23      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $24521.53     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.88000 07/10/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10378.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.12 SP SAL                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $60660.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.8* 7/26/23-29Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-41562.45    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                         | IHEARTMEDIA INC   CLASS B COMMON STOCK                    | CUSIP: 45174J608<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      24427 | NS      | $89422.36     | 0.01%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $-1090.99     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SANTANDER BANK AUTO CREDIT-LINKED NOTES SERIES 2024-B                   | SANTANDER BANK AUTO CREDIT LIN SBCLN 2024 B B 144A        | CUSIP: 80280BAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1777064 | PA      | $1790223.90   | 0.18%             | 2033-01-18      | Fixed         | 4.96%                 | No            |                  2 | On Loan: No      |
| MITCHELLS & BUTLERS FINANCE PLC                                         | MITCHELLS + BUTLERS FINA SECURED REGS 12/30 6.013         | CUSIP: 337792II8<br>LEI: 213800E7QA1U8BF34219 | Long             | DBT              | CORP              | GB        |       6067 | PA      | $8268.15      | 0.00%             | 2030-12-15      | Fixed         | 6.01%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.00000 09/17/25-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-173307.42   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.44600 10/23/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10804.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $27185.65     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/0.7* 9/16/23-8Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-982417.96   | -0.10%            |  |  |  | No            |                  2 | On Loan: No      |
| JANE STREET GROUP / JSG FINANCE INC                                     | JANE STREET GRP/JSG FIN SR SECURED 144A 05/33 6.75        | CUSIP: 47077WAE8<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1300000 | PA      | $1357793.26   | 0.14%             | 2033-05-01      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.00000 06/21/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $60630.82     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 05/54 4.625                               | CUSIP: 912810UA4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    5800000 | PA      | $5587484.40   | 0.56%             | 2054-05-15      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.40000 02/23/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-8406.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | NEW WINDSTREAM WARRANTS                                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DE               |  | US        |        393 | NC      | $2645.01      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | SOUTH AFRICA EM SP MYC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1471.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.38500 06/08/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $23472.40     | 0.00%             |  |  |  | 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      | $-65.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260309                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-2.76        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.13 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $79506.69     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.50 9/18/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $65112.16     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2004-WMC1                                 | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2004 WMC1 M1          | CUSIP: 83611MBV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4177137 | PA      | $3907809.06   | 0.39%             | 2035-01-25      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| CRNCL-2019-11A                                                          | CAIRN CLO BV CRNCL 2019 11A AR 144A                       | CUSIP: ACI34RX33<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4700000 | PA      | $5529127.99   | 0.55%             | 2040-01-15      | Floating      | 3.19%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA SR UNSECURED 07/30 VAR              | CUSIP: 040114HS2<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     454258 | PA      | $388163.80    | 0.04%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| AFFIRM MASTER TRUST 2025-3A                                             | AFFIRM MASTER TRUST AFRMT 2025 3A A 144A                  | CUSIP: 00833BAN8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5100000 | PA      | $5121146.64   | 0.51%             | 2034-10-16      | Fixed         | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | AT&T INC SNR S* ICE                                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2845.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA SR UNSECURED 144A 06/33 5.375                     | CUSIP: ACI30VFW4<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1200000 | PA      | $1425526.99   | 0.14%             | 2033-06-07      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.89000 03/03/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2404.01     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-8233.57     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.85400 12/29/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5256.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOYA CLO LTD 2019 3A                                                    | VOYA CLO LTD VOYA 2019 3A AR 144A                         | CUSIP: 92918FAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2091917 | PA      | $2093550.88   | 0.21%             | 2032-10-17      | Floating      | 5.22%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-8 LLC                                                         | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 8 A1 144A        | CUSIP: 74448KAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3367055 | PA      | $3372586.71   | 0.34%             | 2029-12-25      | Fixed         | 5.90%                 | No            |                  2 | On Loan: No      |
| ENEL FINANCE INTERNATIONAL NV                                           | ENEL FINANCE INTL NV COMPANY GUAR 144A 09/30 4.375        | CUSIP: 29278GBG2<br>LEI: 0YQH6LCEF474UTUV4B96 | Long             | DBT              | CORP              | NL        |    2500000 | PA      | $2491379.60   | 0.25%             | 2030-09-30      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QF6139 FR 01/53 FIXED 5.5               | CUSIP: 3133BTZC7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     172872 | PA      | $175573.42    | 0.02%             | 2053-01-01      | Fixed         | 5.50%                 | 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      | $-53.19       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VIBRANT CLO XII LTD 2021-12A                                            | VIBRANT CLO LTD VIBR 2021 12A A1A2 144A                   | CUSIP: 92558WBE1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5100000 | PA      | $5101051.98   | 0.51%             | 2034-04-20      | Floating      | 5.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-533.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $6726.52      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                        | WESTMORELAND MINING HOLDINGS L COMMON                     | CUSIP: 935ZXN908<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        237 | NS      | $133.54       | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                     | ISRAEL GOVT EM SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $7153.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-85964.89    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA4894 FN 01/53 FIXED 6                         | CUSIP: 31418ENL0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2851599 | PA      | $2934381.28   | 0.29%             | 2053-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G08778 FG 09/47 FIXED 3                 | CUSIP: 3128MJ2L3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      12718 | PA      | $11504.09     | 0.00%             | 2047-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.51400 09/04/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $16623.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90000 04/15/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2520.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/0.50 9/16/23-5Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-238743.84   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G08799 FG 02/48 FIXED 3                 | CUSIP: 3128MJ3H1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     678644 | PA      | $612554.48    | 0.06%             | 2048-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I TRUST 2019-PLND                                | MORGAN STANLEY CAPITAL I TRUST MSC 2019 PLND A 144A       | CUSIP: 61691XAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1400000 | PA      | $199500.00    | 0.02%             | 2036-05-15      | Floating      | 4.87%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $17854.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEXICAN UDIBONOS BONDS 12/26 3                            | CUSIP: ACI24R197<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |     173326 | PA      | $9577.65      | 0.00%             | 2026-12-03      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2024-6                                       | VERUS SECURITIZATION TRUST VERUS 2024 6 A1 144A           | CUSIP: 92540JAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4842572 | PA      | $4886791.02   | 0.49%             | 2069-07-25      | Variable      | 5.80%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2007-4                                   | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2007 4 1A1           | CUSIP: 68403FAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1012782 | PA      | $730279.37    | 0.07%             | 2037-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-11651.60    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR NOTE (CBT)MAR26 XCBT 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       1821 | NC      | $-659935.93   | -0.07%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT COP SOLD USD 20260102                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-530.97      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260224                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $34840.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT ISSUER TRUST 2025-1A                          | GREENSKY HOME IMPROVEMENT ISSU GSKY 2025 1A A3 144A       | CUSIP: 39571NAC0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4400000 | PA      | $4508698.48   | 0.45%             | 2060-03-25      | Fixed         | 5.32%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F052623<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   13000000 | PA      | $13170601.86  | 1.32%             | 2056-02-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/20/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10940.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $2068.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAPITAL CERTIFICATES 2015-12R                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2015 12R 2A2 144A       | CUSIP: 12651DAG3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5404054 | PA      | $4993955.86   | 0.50%             | 2037-11-30      | Floating      | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-494.34      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20260707                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-79.52       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KWD BOUGHT USD 20300812                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $1721.93      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $2683.97      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.13796 07/28/23-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-30292.40    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BX4399 FN 11/52 FIXED 6                         | CUSIP: 3140N83H9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     490319 | PA      | $507374.83    | 0.05%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY40 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $6714.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.87200 04/06/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-134620.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 01/27 4.271         | CUSIP: 345397A45<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    1970000 | PA      | $1960502.98   | 0.20%             | 2027-01-09      | Fixed         | 4.27%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                              | ENVISION HEALTHCARE CORPORTION 2023 LAST OUT TERM LOAN    | CUSIP: 949ABFII9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |    4577676 | PA      | $4715005.81   | 0.47%             | 2028-09-15      | Fixed         | 11.86%                | No            |                  3 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC3                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 NC3 A2D              | CUSIP: 61744CZD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     596325 | PA      | $584230.38    | 0.06%             | 2036-03-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $76.98        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.8* 7/18/23-26Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $118989.28    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BK0909 FN 07/48 FIXED 4                         | CUSIP: 3140HEAK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     532876 | PA      | $515164.51    | 0.05%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| WASHINGTON MUTUAL 2006-AR1                                              | WAMU MORTGAGE PASS THROUGH CER WAMU 2006 AR1 1A1A         | CUSIP: 92925CCC4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10490722 | PA      | $9525115.88   | 0.96%             | 2046-01-25      | Floating      | 5.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1586.41     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR CO LTD                                                     | NISSAN MOTOR CO SR UNSECURED 144A 09/30 4.81              | CUSIP: 654744AD3<br>LEI: 353800DRBDH1LUTNAY26 | Long             | DBT              | CORP              | JP        |     100000 | PA      | $94340.07     | 0.01%             | 2030-09-17      | Fixed         | 4.81%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TRUST 2007-22                              | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2007 22 2A16         | CUSIP: 02151BBG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8478407 | PA      | $2969162.80   | 0.30%             | 2037-09-25      | Fixed         | 6.50%                 | 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      | $-15426.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.23000 10/23/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7951.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                       | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 05/35 9.75     | CUSIP: P7807HAQ8<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     100000 | PA      | $26000.00     | 0.00%             | 2035-05-17      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.37000 07/12/23-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-41121.76    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-1792.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AG TRUST 2024-NLP                                                       | AG TRUST AG 2024 NLP A 144A                               | CUSIP: 00792MAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1710596 | PA      | $1722075.59   | 0.17%             | 2041-08-15      | Floating      | 5.77%                 | No            |                  2 | On Loan: No      |
| AMERIQUEST MTGE SEC INC 2004-R8                                         | AMERIQUEST MORTGAGE SECURITIES AMSI 2004 R8 M3            | CUSIP: 03072SUB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1815321 | PA      | $1722919.24   | 0.17%             | 2034-09-25      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP BRC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $258.04       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GSAA HOME EQUITY TRUST 2005-8                                           | GSAA HOME EQUITY TRUST GSAA 2005 8 M2                     | CUSIP: 362341CV9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4831000 | PA      | $4129624.79   | 0.41%             | 2035-06-25      | Floating      | 4.63%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTIFICATES 2007-BC1                          | COUNTRYWIDE ASSET BACKED CERTI CWL 2007 BC1 1A            | CUSIP: 12668TAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     777905 | PA      | $751168.37    | 0.08%             | 2037-05-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| KKR CLO 33 LTD 33A                                                      | KKR FINANCIAL CLO LTD KKR 33A AR 144A                     | CUSIP: 48254QAF1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5400000 | PA      | $5401318.46   | 0.54%             | 2034-07-20      | Floating      | 4.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $25665.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (30 YEAR ISSUE) BONDS 03/55 2.4                     | CUSIP: ACI2W94G7<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   25000000 | PA      | $131122.32    | 0.01%             | 2055-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| HYUNDAI CAPITAL AMERICA                                                 | HYUNDAI CAPITAL AMERICA SR UNSECURED 144A 09/27 4.3       | CUSIP: 44891ADF1<br>LEI: 549300RIPPWJB5Z0FK07 | Long             | DBT              | CORP              | US        |    3900000 | PA      | $3913766.84   | 0.39%             | 2027-09-24      | Fixed         | 4.30%                 | No            |                  2 | On Loan: No      |
| BAYER US FINANCE II LLC                                                 | BAYER US FINANCE II LLC COMPANY GUAR 144A 12/28 4.375     | CUSIP: 07274NAL7<br>LEI: 529900XWNEXYNJ3X6T40 | Long             | DBT              | CORP              | US        |    3100000 | PA      | $3103968.84   | 0.31%             | 2028-12-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.6* 7/24/23-9Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-59433.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $445.79       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $20262.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.00000 06/21/23-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $132236.31    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| SYNIVERSE HOLDINGS LLC                                                  | SYNIVERSE HOLDINGS, LLC 2022 TERM LOAN                    | CUSIP: 87168TAB7<br>LEI: 549300CYZBHMZC8VLL59 | Long             | LON              | CORP              | US        |     909546 | PA      | $880881.38    | 0.09%             | 2027-05-13      | Floating      | 10.67%                | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                             | ILLINOIS ST ILS 02/35 FIXED 6.63                          | CUSIP: 452152BM2<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |      30769 | PA      | $32528.76     | 0.00%             | 2035-02-01      | Fixed         | 6.63%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.7* 7/12/23-9Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-45664.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260311                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $14805.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/27 0.375                               | CUSIP: 912828V49<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     227800 | PA      | $225006.57    | 0.02%             | 2027-01-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5070 FN 07/53 FIXED 4.5                       | CUSIP: 31418ET42<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     430843 | PA      | $422063.03    | 0.04%             | 2053-07-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $2993.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.8* 7/24/23-29Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-42427.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260309                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5016.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                       | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 04/37 5.5      | CUSIP: P7807HAB1<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |     382000 | PA      | $89388.00     | 0.01%             | 2037-04-12      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RA3831 FR 07/50 FIXED 4                 | CUSIP: 3133KKHG7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10406 | PA      | $9966.21      | 0.00%             | 2050-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| NUMERICABLE US LLC                                                      | ALTICE FRANCE SA 2025 EXT TERM LOAN B14                   | CUSIP: BA000QF60<br>LEI: N/A                  | Long             | LON              | CORP              | FR        |     534011 | PA      | $534566.18    | 0.05%             | 2031-05-31      | Floating      | 10.86%                | No            |                  2 | On Loan: No      |
| COUNTRY GARDEN HOLDINGS COMPANY LIMITED                                 | COUNTRY GARDEN HLDGS SR SECURED REGS 07/26 2.7            | CUSIP: ACI1TXND6<br>LEI: 549300MGHLPT1EFHGF84 | Long             | DBT              | CORP              | KY        |     560000 | PA      | $53412.89     | 0.01%             | 2026-07-12      | Fixed         | 2.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-10.18       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.245 03/25/22-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-5042.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.61100 08/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10031.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ISRAEL GOVT EM SP MYC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $3218.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2007-A                                 | INDYMAC RESIDENTIAL ASSET BACK INABS 2007 A 1A            | CUSIP: 43710BAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1356715 | PA      | $1071326.78   | 0.11%             | 2037-04-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $1312.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 06/21/23-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $202116.14    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.58000 08/29/24-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $6636.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.46500 10/30/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-22109.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 11/27 3.815         | CUSIP: 345397YT4<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |    2963000 | PA      | $2919262.74   | 0.29%             | 2027-11-02      | Fixed         | 3.81%                 | 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        |   95000000 | PA      | $561460.67    | 0.06%             | 2045-03-20      | Fixed         | 2.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.10500 04/24/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $20179.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-8937.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                         | REPUBLIC OF VENEZUELA SR UNSECURED REGS 05/28 9.25        | CUSIP: P17625AB3<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      83000 | PA      | $26477.00     | 0.00%             | 2028-05-07      | Fixed         | 9.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-11311.52    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4529.75      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-786297.56   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | MORGAN STANLEY SR UNSECURED 02/29 VAR                     | CUSIP: 61747YFA8<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |    2029000 | PA      | $2071473.81   | 0.21%             | 2029-02-01      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO SR UNSECURED 02/26 2.196                        | CUSIP: 097023DG7<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |     290000 | PA      | $289459.75    | 0.03%             | 2026-02-04      | Fixed         | 2.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-5160.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COMMERCIAL MORTGAGE PASS THROUGH CERTIFICATES 2016-667M                 | COMM MORTGAGE TRUST COMM 2016 667M A 144A                 | CUSIP: 12636GAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4100000 | PA      | $3920214.59   | 0.39%             | 2036-10-10      | Fixed         | 3.14%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA SR UNSECURED 01/38 VAR              | CUSIP: 040114HU7<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      81568 | PA      | $63541.47     | 0.01%             | 2038-01-09      | Variable      | 5.00%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                       | NATWEST GROUP PLC SR UNSECURED 05/30 VAR                  | CUSIP: 780097BL4<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     400000 | PA      | $401755.33    | 0.04%             | 2030-05-08      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2020-10A LTD                                   | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 10A AV 144A      | CUSIP: 03332AAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4170118 | PA      | $4105003.77   | 0.41%             | 2038-04-25      | Fixed         | 3.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 05/07/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4441.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-23                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 23 2A4            | CUSIP: 12666CAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     828920 | PA      | $807363.86    | 0.08%             | 2037-05-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $1759.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.16509 04/01/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-61378.94    | -0.01%            |  |  |  | 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        |    3340838 | PA      | $3096444.11   | 0.31%             | 2031-07-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-0.55        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-48195.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV44 5Y 35-100% SP JPM                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $212118.04    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 2.5 JUMBOS                              | CUSIP: 21H022614<br>LEI: N/A                  | Short            | ABS-MBS          | USGSE             | US        |    -300000 | PA      | $-258820.31   | -0.03%            | 2055-01-15      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| GSAMP TRUST 2005-HE5                                                    | GSAMP TRUST GSAMP 2005 HE5 M4                             | CUSIP: 362341ZE2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1291452 | PA      | $1275248.03   | 0.13%             | 2035-11-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.01300 01/15/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $16602.22     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/34 1.75                                | CUSIP: 91282CJY8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4660700 | PA      | $4636052.45   | 0.46%             | 2034-01-15      | Fixed         | 1.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-46070.22    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA7987 G2 04/52 FIXED 2.5                    | CUSIP: 36179W2U1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     366406 | PA      | $316447.34    | 0.03%             | 2052-04-20      | Fixed         | 2.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.9 SP GST                                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $37.08        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.04072 08/02/23-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-68495.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $369.06       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90000 04/10/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5036.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 8 LTD 2019-8A                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 8A A 144A        | CUSIP: 03331XAA9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4084079 | PA      | $4075311.59   | 0.41%             | 2037-07-25      | Fixed         | 4.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $24875.67     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.06000 07/02/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10221.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.2* 09/28/23-5Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-46638.80    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ISRAEL GOVT EM SP BRC                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1586.89      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-5932.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10537.17     | 0.00%             |  |  |  | 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      | $317162.82    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.67000 01/08/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2547.85      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FM7475 FN 10/50 FIXED VAR                       | CUSIP: 3140XBJV3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1200065 | PA      | $1189299.47   | 0.12%             | 2050-10-01      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 07/32 4                                   | CUSIP: 91282CNR8<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19300000 | PA      | $19404416.09  | 1.95%             | 2032-07-31      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.46300 10/23/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10147.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.25 06/20/18-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $42172.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.30000 12/02/24-4Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7687.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 7/21/23-28Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-187190.96   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F060634<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1030000 | PA      | $1057167.18   | 0.11%             | 2055-03-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.51500 11/06/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-50305.56    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/35 4.25                                | CUSIP: 91282CNT4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     955000 | PA      | $962013.28    | 0.10%             | 2035-08-15      | Fixed         | 4.25%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BX2438 FN 11/52 FIXED 6                         | CUSIP: 3140N6V82<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     111356 | PA      | $114809.70    | 0.01%             | 2052-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-796.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-574.32      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-2546.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST 2023-RPL1                             | CHASE MORTGAGE FINANCE CORPORA CHASE 2023 RPL1 A1 144A    | CUSIP: 16159LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4036025 | PA      | $3738540.62   | 0.37%             | 2062-06-25      | Variable      | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-25133.74    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2051.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260406                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $1873.60      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.20000 10/18/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $11298.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-10795.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 01/35 11.75                    | CUSIP: ACI2Z7LJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 6563900000 | PA      | $1618429.96   | 0.16%             | 2035-01-24      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $24318.56     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.50 7/05/23-8Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-75812.50    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                   | GLP CAPITAL LP / FIN II COMPANY GUAR 01/31 4              | CUSIP: 361841AQ2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1485000 | PA      | $1427414.08   | 0.14%             | 2031-01-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260129                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $165276.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.90000 04/04/22-6Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-50948.49    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.05750 01/07/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $10348.28     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 4.5 JUMBOS                              | CUSIP: 21H042612<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     900000 | PA      | $876796.88    | 0.09%             | 2056-01-22      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEX BONOS DESARR FIX RT BONDS 03/29 8.5                   | CUSIP: ACI2JBZ32<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   42600000 | PA      | $2388722.70   | 0.24%             | 2029-03-01      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ISRAEL GOVT EM SP CBK                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $21277.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ESSENT GROUP LTD                                                        | ESSENT GROUP LTD SR UNSECURED 07/29 6.25                  | CUSIP: 29669JAA7<br>LEI: 254900QUO860OUT6ZF83 | Long             | DBT              | CORP              | BM        |     500000 | PA      | $522228.38    | 0.05%             | 2029-07-01      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-9755.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EUROSAIL PLC 2007-3X                                                    | EUROSAIL PLC ESAIL 2007 3X A3C REGS                       | CUSIP: B23DWGII5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |      47786 | PA      | $64431.12     | 0.01%             | 2045-06-13      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.09000 04/30/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $35989.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 05/22/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $585181.19    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.50000 03/20/24-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-34902.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0094 G2 12/54 FIXED 6.5                    | CUSIP: 3618N5C80<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     430298 | PA      | $445398.50    | 0.04%             | 2054-12-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD8445 FR 07/54 FIXED 5                 | CUSIP: 3132DWL27<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      48242 | PA      | $48172.68     | 0.00%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA BONDS 07/35 VAR                     | CUSIP: ACI1QL1M9<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     726000 | PA      | $530242.88    | 0.05%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-HE1                                     | HSI ASSET SECURITIZATION CORPO HASC 2007 HE1 1A1          | CUSIP: 40430FAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2215490 | PA      | $1717462.11   | 0.17%             | 2037-01-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 01/28 0.75                                | CUSIP: 91282CBJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $1512968.75   | 0.15%             | 2028-01-31      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.41500 08/04/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $7716.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2025-1 DAC 25-1A                    | PALMER SQUARE EUROPEAN LOAN FU PSTET 2025 1A B 144A       | CUSIP: ACI2TS586<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4200000 | PA      | $4939977.67   | 0.50%             | 2034-10-15      | Floating      | 3.56%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.45500 11/01/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-18737.12    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEX BONOS DESARR FIX RT BONDS 05/33 7.5                   | CUSIP: ACI2BPJ03<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |    2200000 | PA      | $113696.29    | 0.01%             | 2033-05-26      | Fixed         | 7.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-49.88       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.52000 04/09/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $5841.41      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.55100 09/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $11965.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDICORP CAPITAL SOCIEDAD TITULIZADORA SA                              | CREDICORP CAPITAL SOCIED LOCAL GOVT G 144A 03/45 9.7      | CUSIP: 224939AB4<br>LEI: N/A                  | Long             | DBT              | CORP              | PE        |     700000 | PA      | $220761.06    | 0.02%             | 2045-03-05      | Fixed         | 9.70%                 | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY TRUST INC                                             | STARWOOD PROPERTY TRUST COMPANY GUAR 144A 10/28 5.25      | CUSIP: 85571BBF1<br>LEI: BUGSFQZERKRBFWIG5267 | Long             | DBT              | CORP              | US        |    5100000 | PA      | $5156390.70   | 0.52%             | 2028-10-15      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.71000 03/05/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1083.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.80000 08/22/23-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2853.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BAYER US FINANCE LLC                                                    | BAYER US FINANCE LLC COMPANY GUAR 144A 11/33 6.5          | CUSIP: 07274EAL7<br>LEI: 54930093Q75GSEM74I71 | Long             | DBT              | CORP              | US        |    1840000 | PA      | $1992625.48   | 0.20%             | 2033-11-21      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.01000 01/07/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $10000.59     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TESLA SUSTAINABLE ENERGY TRUST 2024-1A                                  | TESLA SUSTAINABLE ENERGY TRUST TSET 2024 1A A2 144A       | CUSIP: 88164AAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3090694 | PA      | $3105674.77   | 0.31%             | 2050-06-21      | Fixed         | 5.08%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                            | NIGERIA OMO BILL OMO260626                                | CUSIP: 958ZIAII6<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 2508911000 | PA      | $1576684.23   | 0.16%             | 2026-06-26      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.36832 09/03/24-25Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $34192.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $5092.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.00 9/10/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $50303.75     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| RENAISSANCE HOME EQUITY LOAN TR 2006-4                                  | RENAISSANCE HOME EQUITY LOAN T RAMC 2006 4 AF2            | CUSIP: 75970HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4629343 | PA      | $1394603.08   | 0.14%             | 2037-01-25      | Variable      | 5.29%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $766.52       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 07/12/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2170.45      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-13250.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE LUX 3                                                     | LUXCO3 SHARES COMMON STOCK                                | CUSIP: 929YHW907<br>LEI: N/A                  | Long             | EC               | CORP              | FR        |      10053 | NS      | $177352.73    | 0.02%             |  |  |  | Yes           |                  3 | On Loan: No      |
| CSMC 2021-RPL3 TRUST                                                    | CREDIT SUISSE MORTGAGE TRUST CSMC 2021 RPL3 M1 144A       | CUSIP: 12661GAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3182675 | PA      | $2639009.18   | 0.26%             | 2060-01-25      | Fixed         | 3.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.41000 08/07/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $4617.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LN ASSET 2004-FFH2                                   | FIRST FRANKLIN MTG LOAN ASSET FFML 2004 FFH2 M3           | CUSIP: 32027NJA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2323491 | PA      | $2302907.58   | 0.23%             | 2034-06-25      | Floating      | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-140.72      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                            | NIGERIA OMO BILL OMO260629                                | CUSIP: 958ZIBII4<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        | 2710834000 | PA      | $1700828.42   | 0.17%             | 2026-06-29      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-68.89       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE HOME LENDING MORTGAGE TRUST SERIES 2024-RPL3                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2024 RPL3 A1A 144A   | CUSIP: 161917AB5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6689953 | PA      | $5988354.01   | 0.60%             | 2064-09-25      | Variable      | 3.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-13370.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                            | RUSSIAN FEDERATION SR UNSECURED REGS 06/47 5.25           | CUSIP: X5424XBQ0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    1400000 | PA      | $0.01         | 0.00%             | 2047-06-23      | Fixed         | 5.25%                 | No            |                  3 | On Loan: No      |
| MERRILL LYNCH MORTGAGE INV 2007-HE3                                     | MERRILL LYNCH MORTGAGE INVESTO MLMI 2007 HE3 A1           | CUSIP: 590238AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4278786 | PA      | $1649632.32   | 0.17%             | 2047-04-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA SR UNSECURED 144A 09/34 6.25                      | CUSIP: ACI2TMX47<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1900000 | PA      | $2346243.30   | 0.24%             | 2034-09-10      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PANAMA INFRASTRUCTURE RECEIVABLE PURCHASER PLC                          | PANAMA INFRASTRUCTURE SR SECURED 144A 04/32 0.00000       | CUSIP: 69828QAD9<br>LEI: 213800QSH7EDGMUDJW25 | Long             | DBT              | CORP              | GB        |    2525000 | PA      | $1949792.38   | 0.20%             | 2032-04-05      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| MFA 2023-NQM2 TRUST                                                     | MFRA TRUST MFRA 2023 NQM2 A1 144A                         | CUSIP: 55285WAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3186145 | PA      | $3166328.01   | 0.32%             | 2068-03-25      | Fixed         | 4.40%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE GOVERNMENT BOND BONDS 08/26 VAR                   | CUSIP: ACI2P59J2<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     200000 | PA      | $4704.67      | 0.00%             | 2026-08-19      | Floating      | 42.56%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL Q40843 FG 06/46 FIXED 3                 | CUSIP: 3132WD5D2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      19950 | PA      | $18192.00     | 0.00%             | 2046-06-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2023-3 DAC 23-3A                    | PALMER SQUARE EUROPEAN LOAN FU PSTET 2023 3A AR 144A      | CUSIP: ACI2S2BG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    1452408 | PA      | $1706330.78   | 0.17%             | 2033-05-15      | Floating      | 3.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.00 9/10/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $49643.99     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOUTH AFRICA EM SP GST                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $735.78       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.72500 02/07/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-346.20      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.50000 09/20/23-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-20034.17    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| JOINT STOCK COMPANY DEVELOPMENT BANK OF KAZAKHSTAN                      | DEVELOPMENT BANK OF KAZA SR UNSECURED 144A 10/28 18.4     | CUSIP: 48129VAF3<br>LEI: 213800LCDPGJ1BI7KX98 | Long             | DBT              | CORP              | KZ        |  562000000 | PA      | $1151446.51   | 0.12%             | 2028-10-16      | Fixed         | 18.40%                | No            |                  2 | On Loan: No      |
| BEAR STEARNS ASSET BACKED SECURITIES TRUST 2004-HE11                    | BEAR STEARNS ASSET BACKED SECU BSABS 2004 HE11 M3         | CUSIP: 073879PA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5397109 | PA      | $5469695.21   | 0.55%             | 2034-12-25      | Floating      | 5.72%                 | No            |                  2 | On Loan: No      |
| MAGNETITE CLO LTD 2020-25A                                              | MAGNETITE CLO LTD MAGNE 2020 25A A 144A                   | CUSIP: 55955GAA1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1061105 | PA      | $1062223.66   | 0.11%             | 2032-01-25      | Floating      | 5.32%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-35781.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RB5205 FR 12/42 FIXED 4                 | CUSIP: 3133KYYA1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       2586 | PA      | $2545.03      | 0.00%             | 2042-12-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.08500 03/31/26-28Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $52628.17     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 03/26 0.00000                               | CUSIP: 912797SY4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |       2000 | PA      | $1987.08      | 0.00%             | 2026-03-10      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BN5298 FN 02/34 FIXED 3                         | CUSIP: 3140JM3G5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     101325 | PA      | $98847.11     | 0.01%             | 2034-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.09000 01/22/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15132.19     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-58304.26    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                          | EPR PROPERTIES COMPANY GUAR 12/26 4.75                    | CUSIP: 26884UAC3<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |       5000 | PA      | $5015.64      | 0.00%             | 2026-12-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| AMSURG LLC                                                              | ENVISION HEALTHCARE CORPORTION 2023 1ST LIEN FIRST OUT TL | CUSIP: 949ABEII2<br>LEI: N/A                  | Long             | LON              | CORP              | US        |     675550 | PA      | $675549.83    | 0.07%             | 2026-11-03      | Floating      | 11.86%                | No            |                  3 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $7894.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1581.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 1 LTD 2015-1A                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2015 1A ARV 144A      | CUSIP: 033296AG9<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    4134382 | PA      | $4103820.76   | 0.41%             | 2037-07-28      | Fixed         | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | JPN 10Y BOND(OSE) MAR26 XOSE 20260313                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |         -1 | NC      | $5519.95      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-111.04      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1A 144A        | CUSIP: 831943AA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3923889 | PA      | $3996812.51   | 0.40%             | 2056-03-15      | Fixed         | 5.24%                 | No            |                  2 | On Loan: No      |
| GLS AUTO SELECT RECEIVABLES TRUST 2023-2A                               | GLS AUTO SELECT RECEIVABLES TR GSAR 2023 2A A2 144A       | CUSIP: 36269EAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     353942 | PA      | $355583.06    | 0.04%             | 2028-06-15      | Fixed         | 6.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.42600 08/01/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $8674.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL DA3452 FN 11/53 FIXED 6                         | CUSIP: 3140A3ZS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     674425 | PA      | $695646.93    | 0.07%             | 2053-11-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1795.60     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.73500 08/07/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $908.68       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.00000 06/15/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $134608.58    | 0.01%             |  |  |  | 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        |     500000 | PA      | $161777.39    | 0.02%             | 2043-12-15      | Fixed         | 10.10%                | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-16                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 16 MV3            | CUSIP: 126670PK8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    9800000 | PA      | $9778982.92   | 0.98%             | 2036-05-25      | Floating      | 4.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $12202.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 08/32 6.15                | CUSIP: ACI0WBN59<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     627000 | PA      | $201305.60    | 0.02%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| CARVANA CO                                                              | CARVANA CO SR SECURED 144A 06/30 9                        | CUSIP: 146869AN2<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    1020904 | PA      | $1071331.55   | 0.11%             | 2030-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA8345 G2 10/52 FIXED 3.5                    | CUSIP: 36179XHW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     172354 | PA      | $158533.51    | 0.02%             | 2052-10-20      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| CROSSROADS ASSET TRUST 2025-A                                           | CROSSROADS ASSET TRUST XROAD 2025 A A2 144A               | CUSIP: 22767VAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4512819 | PA      | $4548273.10   | 0.46%             | 2032-02-20      | Fixed         | 4.91%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2023-CCDC        | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2023 CCDC A 144A     | CUSIP: 465981AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2740879.96   | 0.27%             | 2040-10-05      | Fixed         | 7.24%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED REGS 08/34 5.4              | CUSIP: P78024AG4<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     500000 | PA      | $148449.91    | 0.01%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | 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        |    1194516 | PA      | $676700.16    | 0.07%             | 2036-12-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BY6919 FN 08/53 FIXED 6                         | CUSIP: 3140NPVM9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26107 | PA      | $26852.34     | 0.00%             | 2053-08-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260227                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $7846.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                             | LETRA TESOURO NACIONAL BILLS 04/26 0.00000                | CUSIP: ACI2MFC91<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   80300000 | PA      | $14175394.50  | 1.42%             | 2026-04-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| THAMES WATER SUPER SENIOR ISSUER PLC                                    | THAMES WATER SUPER SEN SR SECURED 144A 10/27 9.75         | CUSIP: ACI2VXTH6<br>LEI: 635400LBEYCV7F4FC741 | Long             | DBT              | CORP              | GB        |     161514 | PA      | $250906.86    | 0.03%             | 2027-10-10      | Fixed         | 9.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $0.85         | 0.00%             |  |  |  | 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        |    9000000 | PA      | $8491640.58   | 0.85%             | 2054-11-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RQ0016 FR 06/55 FIXED 7                 | CUSIP: 3142J6AS2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      67639 | PA      | $71183.24     | 0.01%             | 2055-06-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 6.5 JUMBOS                              | CUSIP: 21H062628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   15600000 | PA      | $16110046.99  | 1.62%             | 2055-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (30 YEAR ISSUE) BONDS 09/55 3.2                     | CUSIP: ACI30Y3M3<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |  575800000 | PA      | $3564637.23   | 0.36%             | 2055-09-20      | Fixed         | 3.20%                 | 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      | $-150428.92   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                       | NATWEST GROUP PLC SR UNSECURED 01/30 VAR                  | CUSIP: 78009PEH0<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |     200000 | PA      | $204506.49    | 0.02%             | 2030-01-27      | Floating      | 5.08%                 | 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        |    1366000 | PA      | $425406.32    | 0.04%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $23278.29     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260306                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $876.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BEIGNET INVESTOR LLC                                                    | BEIGNET INVESTOR LLC SR SECURED 144A 05/49 6.581          | CUSIP: 076912AA2<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |   21030000 | PA      | $22237303.70  | 2.23%             | 2049-05-30      | Fixed         | 6.58%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/20/23-7Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-641.33      | -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        |    1000000 | PA      | $1203334.28   | 0.12%             | 2031-09-24      | Fixed         | 5.12%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL10 LLC                                                     | PRET 2025 NPL10 LLC 10/55 5.2498                          | CUSIP: 69392WAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5047601 | PA      | $5050127.51   | 0.51%             | 2055-10-25      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 4 JUMBOS                                | CUSIP: 21H040624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2600000 | PA      | $2455578.14   | 0.25%             | 2056-02-15      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ARGENT SECURITIES INC 2006-M1                                           | ARGENT SECURITIES INC. ARSI 2006 M1 A2D                   | CUSIP: 04012MAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   13353574 | PA      | $3612252.70   | 0.36%             | 2036-07-25      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.711* 04/27/22-20Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $65382.77     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CVS PASS-THROUGH TRUST                                                  | CVS PASS THROUGH TRUST PASS THRU CE 144A 01/26 5.789      | CUSIP: 126650AQ3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |       3625 | PA      | $3625.40      | 0.00%             | 2026-01-10      | Fixed         | 5.79%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL11 LLC                                                     | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL11 A1 144A    | CUSIP: 69383AAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5027639 | PA      | $5040247.71   | 0.51%             | 2055-10-25      | Fixed         | 5.19%                 | No            |                  2 | On Loan: No      |
| CHASE AUTO OWNER TRUST 2024-4A                                          | CHASE AUTO OWNER TRUST CHAOT 2024 4A A2 144A              | CUSIP: 16144YAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     265058 | PA      | $265369.13    | 0.03%             | 2027-09-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV44 5Y 35-100% SP BPS                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $117843.34    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $90.92        | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PETROLEOS MEXICANOS (PEMEX)                                             | PETROLEOS MEXICANOS COMPANY GUAR 02/32 6.7                | CUSIP: 71643VAB1<br>LEI: 549300CAZKPF4HKMPX17 | Long             | DBT              | CORP              | MX        |    3081000 | PA      | $3074700.03   | 0.31%             | 2032-02-16      | Fixed         | 6.70%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.2914 05/08/25-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-10097.89    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLS AUTO RECEIVABLES ISSUER TRUST 2024-4A                               | GLS AUTO RECEIVABLES TRUST GCAR 2024 4A A2 144A           | CUSIP: 36270YAC6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     564747 | PA      | $564988.31    | 0.06%             | 2027-10-15      | Fixed         | 4.76%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5137 FN 09/53 FIXED 5                         | CUSIP: 31418EV72<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      43966 | PA      | $43998.80     | 0.00%             | 2053-09-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.08000 01/08/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $35420.35     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.42000 05/24/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11061.48    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/0.500 06/16/21-5Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $139834.42    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-805557.98   | -0.08%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV44 5Y 35-100% SP CBK                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $47137.35     | 0.00%             |  |  |  | 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        |     352383 | PA      | $322110.66    | 0.03%             | 2032-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.77000 04/16/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $15365.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-388.42      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.56500 08/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6348.95      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $13961.23     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-20729.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 7/18/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-25614.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.75000 03/18/26-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-27479.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.55000 08/03/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $18440.04     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.2* 9/15/23-3Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-304931.36   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS MXN TIIE1/9.13500 01/02/25-5Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $17122.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.30000 12/02/24-7Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $26441.87     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260226                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $577.28       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $20685.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| EUROHOME UK MORTGAGE PLC 2007-2                                         | EUROHOME UK MORTGAGES PLC EHMU 2007 2 M1 REGS             | CUSIP: B24529II0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    2656821 | PA      | $3562703.31   | 0.36%             | 2044-09-15      | Floating      | 4.34%                 | No            |                  2 | On Loan: No      |
| BRIDGEGATE FUNDING PLC 2023-1A                                          | BRIDGEGATE FUNDING PLC BRGTE 2023 1A B 144A               | CUSIP: ACI2C6Q55<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    8737000 | PA      | $11814922.10  | 1.18%             | 2062-10-16      | Floating      | 6.21%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD EUR BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-4734.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.70 8/17/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-213298.55   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BO0973 FN 06/49 FIXED 4                         | CUSIP: 3140JVCK6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     289654 | PA      | $278183.33    | 0.03%             | 2049-06-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-2                                  | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 2 A2 144A        | CUSIP: 39571XAB0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     552528 | PA      | $554037.11    | 0.06%             | 2059-10-27      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/17/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-129094.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED 144A 08/31 6.95             | CUSIP: 715638BD3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    1368000 | PA      | $452497.00    | 0.05%             | 2031-08-12      | Fixed         | 6.95%                 | No            |                  2 | On Loan: No      |
| COSTA RICA GOVT                                                         | COSTA RICA GOVERNMENT BONDS 144A 11/30 5.4995             | CUSIP: ACI3721X4<br>LEI: 549300S1EK2VN6XVJP58 | Long             | DBT              | NUSS              | CR        |    1000000 | PA      | $1205038.32   | 0.12%             | 2030-11-21      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $4427.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.75000 09/17/25-5Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $206206.50    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.46000 04/01/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-10221.41    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.6* 8/03/23-27Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1308076.83   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $18417.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 03/26 0.00000                               | CUSIP: 912797TB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     567000 | PA      | $562146.19    | 0.06%             | 2026-03-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90500 03/12/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-5619.44     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                | SOFTBANK VISION FUND II TRANCHE B2 TERM LOAN              | CUSIP: BA000KP70<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |     235832 | PA      | $236887.14    | 0.02%             | 2029-04-25      | Floating      | 7.32%                 | No            |                  3 | On Loan: No      |
| WMALT MTGE PASS-THRU CERT 2006-AR8                                      | WASHINGTON MUTUAL MORTGAGE PAS WMALT 2006 AR8 3A1A        | CUSIP: 93935LAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1693953 | PA      | $1548868.67   | 0.16%             | 2046-10-25      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| 37 CAPITAL CLO II 2022-1A                                               | 37 CAPITAL CLO LTD PUTNM 2022 1A A1R 144A                 | CUSIP: 88429PAU6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    3600000 | PA      | $3606709.79   | 0.36%             | 2034-07-15      | Floating      | 5.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.08000 02/23/23-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-38098.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/46 2.875                               | CUSIP: 912810RU4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1400000 | PA      | $1034250.00   | 0.10%             | 2046-11-15      | Fixed         | 2.88%                 | No            |                  2 | On Loan: No      |
| KINBANE 2025-RPL 2 DAC  25-RPL2A                                        | KINBANE DAC KINBN 2025 RPL2A A 144A                       | CUSIP: ACI30K8H9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    4166925 | PA      | $4904805.63   | 0.49%             | 2075-08-24      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.41000 09/05/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12339.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SCCU AUTO RECEIVABLES TRUST 2024-1A                                     | SPACE COAST CREDIT UNION SCCU 2024 1A A3 144A             | CUSIP: 78436RAE0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3524512.25   | 0.35%             | 2029-06-15      | Fixed         | 5.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.8* 8/07/23-27Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $475907.20    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-8459.55     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ENERGY TRANSFER LP                                                      | ENERGY TRANSFER LP SR UNSECURED 05/28 4.95                | CUSIP: 292480AL4<br>LEI: MTLVN9N7JE8MIBIJ1H73 | Long             | DBT              | CORP              | US        |       9000 | PA      | $9154.36      | 0.00%             | 2028-05-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-8 LLC                                                         | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 8 A1 144A        | CUSIP: 69383BAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4756223 | PA      | $4766771.62   | 0.48%             | 2030-10-25      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-D                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 D A1B 144A        | CUSIP: 83207QAB5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    5442440 | PA      | $5406421.18   | 0.54%             | 2053-07-15      | Floating      | 5.07%                 | No            |                  2 | On Loan: No      |
| JAPAN GOVT                                                              | JAPAN (30 YEAR ISSUE) BONDS 09/54 2.1                     | CUSIP: ACI2RLJN5<br>LEI: 353800WZS8AXZXFUC241 | Long             | DBT              | NUSS              | JP        |   93400000 | PA      | $457411.95    | 0.05%             | 2054-09-20      | Fixed         | 2.10%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $375.76       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                     | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/28 5.625     | CUSIP: 65480CAK1<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    3400000 | PA      | $3411706.20   | 0.34%             | 2028-09-29      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| TRYSAIL CLO 2022-1A LTD                                                 | TRYSAIL CLO LTD TRYSL 2022 1A A 144A                      | CUSIP: 89856JAA4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    4000000 | PA      | $4004480.72   | 0.40%             | 2033-10-20      | Floating      | 5.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.81700 04/05/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-277521.96   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F032625<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    4000000 | PA      | $3685781.24   | 0.37%             | 2056-02-15      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.54300 08/04/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $8533.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.2* 8/12/23-5Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $22980.88     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/47 0.875                               | CUSIP: 912810RW0<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     944202 | PA      | $681597.57    | 0.07%             | 2047-02-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.2* 06/16/21-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1016441.27   | 0.10%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-10697.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 7/20/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-12947.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $8739.14      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LUGO FUNDING DAC 24-1A                                                  | LUGO FUNDING DAC LUGO 2024 1A A 144A                      | CUSIP: ACI2S0075<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    2969440 | PA      | $3494833.59   | 0.35%             | 2066-05-26      | Floating      | 3.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260128                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $16307.85     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CORP 2006-GEL3                              | STRUCTURED ASSET SECURITIES CO SASC 2006 GEL3 M1 144A     | CUSIP: 86360XAD2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     728506 | PA      | $708580.38    | 0.07%             | 2036-07-25      | Floating      | 4.37%                 | 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      | $-10.76       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4125.83      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.22000 10/20/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $15623.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.85500 11/19/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2982.38      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-465.08      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $8260.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $5175.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/29 0.25                                | CUSIP: 9128287D6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3974056 | PA      | $3829955.37   | 0.38%             | 2029-07-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY36 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $40850.62     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-8194.28     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FLAGSHIP CREDIT AUTO TRUST 2024-1                                       | FLAGSHIP CREDIT AUTO TRUST FCAT 2024 1 A2 144A            | CUSIP: 33843VAC7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     547111 | PA      | $548136.83    | 0.05%             | 2028-03-15      | Fixed         | 5.64%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-7781.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.46000 08/01/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $15120.03     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE GOVERNMENT BOND BONDS 05/26 VAR                   | CUSIP: ACI2Q1SN0<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     200000 | PA      | $4684.96      | 0.00%             | 2026-05-20      | Floating      | 42.56%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY45 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1523513.58   | 0.15%             |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED 144A 08/34 5.4              | CUSIP: 715638CZ3<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |      71000 | PA      | $21079.89     | 0.00%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.46000 08/02/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $15449.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.55000 08/21/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9747.31      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-26                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 2A4            | CUSIP: 12668HAE0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     590225 | PA      | $581172.96    | 0.06%             | 2037-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                             | ILLINOIS ST ILS 04/35 FIXED 6.725                         | CUSIP: 452152FA4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |       7692 | PA      | $8152.73      | 0.00%             | 2035-04-01      | Fixed         | 6.72%                 | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                            | NIGERIA OMO BILL OMO110626                                | CUSIP: 955PDHII1<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  707100000 | PA      | $447980.58    | 0.04%             | 2026-06-11      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRETIUM MORTGAGE CREDIT PARTNERS LLC 2024-NPL7                          | PRETIUM MORTGAGE CREDIT PARTNE PRET 2024 NPL7 A1 144A     | CUSIP: 74136TAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3383818 | PA      | $3388435.40   | 0.34%             | 2054-10-25      | Fixed         | 5.93%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.3537 05/12/25-01/02/29 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-6986.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1862.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CLEAR CHANNEL OUTDOOR HOLDINGS INC                                      | CLEAR CHANNEL OUTDOOR HOLDIN COMMON STOCK                 | CUSIP: 18453H106<br>LEI: 254900XBEE6V1ENYS150 | Long             | EC               | CORP              | US        |     133771 | NS      | $295633.91    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| CMLTI 2005-HE4                                                          | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE4 M3           | CUSIP: 17307GP85<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     900000 | PA      | $851458.50    | 0.09%             | 2035-10-25      | Floating      | 4.54%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.67900 08/13/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1978.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.42000 07/31/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $21972.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $2228.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 4.02 10/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-42168.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/20/23-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7167.80     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.53500 11/06/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-26429.28    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.42000 03/07/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-8638.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $42625.63     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 4.4 10/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-22665.18    | -0.00%            |  |  |  | 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      | $445508.65    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| AMERICAN AIRLINES 2017-2 CLASS AA PASS THROUGH TRUST                    | AMER AIRLINE 17 2 AA PTT PASS THRU CE 04/31 3.35          | CUSIP: 02376AAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      11882 | PA      | $11546.82     | 0.00%             | 2031-04-15      | Fixed         | 3.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $350.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $6349.90      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP MYC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-232.38      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260205                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $1120.28      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 13.9271 05/08/25-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-13690.23    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA SR UNSECURED 144A 02/34 3.75                      | CUSIP: ACI23CJP6<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     760000 | PA      | $805444.47    | 0.08%             | 2034-02-07      | Fixed         | 3.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.75000 06/15/22-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $250088.70    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.23200 09/10/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9618.70      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO/THE SR UNSECURED 05/29 6.298                    | CUSIP: 097023DQ5<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |      50000 | PA      | $53089.71     | 0.01%             | 2029-05-01      | Fixed         | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $3792.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JP MORGAN MORTGAGE TRUST SERIES 2025-NQM2                               | JP MORGAN MORTGAGE TRUST JPMMT 2025 NQM2 A1 144A          | CUSIP: 46590SAC1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1828784 | PA      | $1846472.02   | 0.19%             | 2065-09-25      | Variable      | 5.57%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $3999.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA5139 FN 09/53 FIXED 6                         | CUSIP: 31418EV98<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1258554 | PA      | $1295478.05   | 0.13%             | 2053-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.94000 02/22/24-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $17284.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TIAA CLO IV LTD 2018-1A                                                 | TIAA CLO LTD TIA 2018 1A A1AR 144A                        | CUSIP: 88631YAL1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1083144 | PA      | $1083671.27   | 0.11%             | 2032-01-20      | Floating      | 5.02%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 12/20/23-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7759.61     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NEUBERGER BERMAN LOAN ADVISERS LASALLE STREET LENDING CLO I LTD 2023-1A | NEUBERGER BERMAN LOAN ADVISERS NEUBL 2023 1A A1R 144A     | CUSIP: 640977AN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | JE        |    5200000 | PA      | $5206317.06   | 0.52%             | 2036-10-25      | Floating      | 5.14%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260406                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $1650.44      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 25-19A LTD                                     | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2025 19A A 144A       | CUSIP: 03331VAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5200000 | PA      | $5201424.02   | 0.52%             | 2040-10-25      | Fixed         | 5.04%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET MTGE PROD 2005-RS6                                    | RESIDENTIAL ASSET MORTGAGE PRO RAMP 2005 RS6 M6           | CUSIP: 76112BTX8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2600000 | PA      | $2568350.98   | 0.26%             | 2035-06-25      | Floating      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.84200 03/04/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-18203.47    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260225                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1205.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $7767.22      | 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        |    8800000 | PA      | $2987643.33   | 0.30%             | 2033-08-12      | Fixed         | 7.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.26 03/25/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-4997.52     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MAREX GROUP PLC                                                         | MAREX GROUP PLC SR UNSECURED 05/28 5.829                  | CUSIP: 566539AB8<br>LEI: 549300DWX0SVICJAL507 | Long             | DBT              | CORP              | GB        |    2600000 | PA      | $2644491.72   | 0.27%             | 2028-05-08      | Fixed         | 5.83%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | TURKIYE GOVERNMENT BOND BONDS 05/28 VAR                   | CUSIP: ACI2PJ5W7<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |   52000000 | PA      | $1210494.39   | 0.12%             | 2028-05-17      | Floating      | 42.56%                | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SI2119 FR 02/55 FIXED 6.5               | CUSIP: 3133USK83<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2498769 | PA      | $2597389.10   | 0.26%             | 2055-02-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.79250 11/19/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4607.43      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM36 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $26251.89     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.57300 02/28/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-30801.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-14874.42    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP BPS                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-839.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $8869.40      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP CBK                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-309.85      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/0.9* 9/08/23-3Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $16452.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS MXN TIIE1/9.15000 01/06/25-5Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $24640.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA BONDS 01/30 8                    | CUSIP: ACI0725J7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    6700000 | PA      | $413773.55    | 0.04%             | 2030-01-31      | Fixed         | 8.00%                 | No            |                  2 | On Loan: No      |
| OSCAR US FUNDING TRUST XIII LLC 2021-2A                                 | OSCAR US FUNDING TRUST OSCAR 2021 2A A4 144A              | CUSIP: 68785BAD5<br>LEI: N/A                  | Long             | ABS-O            | CORP              | JP        |    1068718 | PA      | $1037757.85   | 0.10%             | 2028-09-11      | Fixed         | 1.27%                 | No            |                  2 | On Loan: No      |
| SEQUOIA MORTGAGE TRUST 2025-HYB1                                        | SEQUOIA MORTGAGE TRUST SEMT 2025 HYB1 A1A 144A            | CUSIP: 816938AB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4566551 | PA      | $4583445.66   | 0.46%             | 2055-10-25      | Variable      | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $5655.53      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-46.65       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM41 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1410.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2025-CES4                                     | TOWD POINT MORTGAGE TRUST TPMT 2025 CES4 A1A 144A         | CUSIP: 89170UAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5008714 | PA      | $5030554.42   | 0.50%             | 2065-10-25      | Variable      | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.25000 11/22/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-16417.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT TRUST 2025-4                                             | PAGAYA AI DEBT SELECTION TRUST PAID 2025 4 A2 144A        | CUSIP: 69547DAB2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4599837 | PA      | $4640800.36   | 0.47%             | 2033-01-17      | Fixed         | 5.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $4435.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2006-NC5                                   | MORGAN STANLEY CAPITAL INC MSAC 2006 NC5 A2FP             | CUSIP: 61749BAB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1857399 | PA      | $976185.78    | 0.10%             | 2036-10-25      | Floating      | 3.92%                 | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL PLAQUEMINES LNG LLC                                      | VENTURE GLOBAL PLAQUE SR SECURED 144A 01/34 6.5           | CUSIP: 922966AC0<br>LEI: 549300TKP4I6OJ02BF90 | Long             | DBT              | CORP              | US        |    3050000 | PA      | $3125487.59   | 0.31%             | 2034-01-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/3.00 9/19/23-3Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $52863.19     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 12 LTD                                         | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2020 12A A1 144A      | CUSIP: 03332DAA2<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    1000000 | PA      | $980740.70    | 0.10%             | 2038-10-25      | Fixed         | 3.18%                 | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2006-EMX2                                  | RESIDENTIAL ASSET SECURITIES C RASC 2006 EMX2 M1          | CUSIP: 75406AAD1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     248702 | PA      | $246955.72    | 0.02%             | 2036-02-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 4.066 09/15/21-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-70575.54    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.21 04/03/24-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-20323.72    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.41000 07/31/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $21863.96     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260409                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2764.71      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-531.40      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                   | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 4.875         | CUSIP: 89054XAD7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      23157 | PA      | $20754.46     | 0.00%             | 2039-09-30      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL Q53731 FG 01/48 FIXED 3                 | CUSIP: 3132XWED9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     494594 | PA      | $450887.83    | 0.05%             | 2048-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.48500 10/30/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-16698.08    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UBS GROUP AG                                                            | UBS GROUP AG SR UNSECURED 144A 01/34 VAR                  | CUSIP: 902613AV0<br>LEI: 549300SZJ9VS8SGXAN81 | Long             | DBT              | CORP              | CH        |    3224000 | PA      | $3436834.55   | 0.34%             | 2034-01-12      | Floating      | 5.96%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES5                                           | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES5 A1A 144A       | CUSIP: 74938KAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2318038 | PA      | $2342507.42   | 0.23%             | 2044-08-25      | Variable      | 5.85%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.97000 02/27/24-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6258.73      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QH4807 FR 10/53 FIXED 6.5               | CUSIP: 3133CHKU8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      86888 | PA      | $90897.32     | 0.01%             | 2053-10-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.51042 09/03/24-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1927.03     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERRION SQUARE RESIDENTIAL 2024-1 DAC24-1A                              | MERRION SQUARE RESIDENTIAL MERRI 2024 1A A 144A           | CUSIP: ACI2PXBX7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | IE        |    2380795 | PA      | $2802102.90   | 0.28%             | 2081-03-24      | Floating      | 3.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED REGS 08/37 6.9              | CUSIP: P87324BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     600000 | PA      | $186854.90    | 0.02%             | 2037-08-12      | Fixed         | 6.90%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE TRUST 2024-5                                        | TOWD POINT MORTGAGE TRUST TPMT 2024 5 A1A 144A            | CUSIP: 891944AA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4085999 | PA      | $4103273.90   | 0.41%             | 2064-10-25      | Variable      | 4.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $694.52       | 0.00%             |  |  |  | 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      | $-8374.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.75 12/15/21-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $778739.69    | 0.08%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/48 1                                   | CUSIP: 912810SB5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     924273 | PA      | $675931.83    | 0.07%             | 2048-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| PROSUS NV                                                               | PROSUS NV SR UNSECURED 144A 01/34 2.778                   | CUSIP: ACI22XT05<br>LEI: 635400Z5LQ5F9OLVT688 | Long             | DBT              | CORP              | NL        |    2456000 | PA      | $2649125.15   | 0.27%             | 2034-01-19      | Fixed         | 2.78%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CA2038 FN 07/48 FIXED 4                         | CUSIP: 3140Q9HQ9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     114271 | PA      | $110420.09    | 0.01%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BK0261 FN 07/48 FIXED 4                         | CUSIP: 3140HDJF2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      30420 | PA      | $29403.74     | 0.00%             | 2048-07-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/42 0.75                                | CUSIP: 912810QV3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     144098 | PA      | $112311.10    | 0.01%             | 2042-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-154.15      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-11                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 11 A 144A        | CUSIP: 69544AAA3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1507414 | PA      | $1514594.93   | 0.15%             | 2032-07-15      | Fixed         | 5.09%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $7686.44      | 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        |     133173 | PA      | $179534.11    | 0.02%             | 2045-06-13      | Floating      | 4.94%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90000 08/30/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $16367.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COMMONSPIRIT HEALTH                                                     | COMMONSPIRIT HEALTH SR UNSECURED 09/35 4.975              | CUSIP: 20268JBD4<br>LEI: 4SXHN5XW08IBO0UG2V58 | Long             | DBT              | CORP              | US        |     300000 | PA      | $296593.01    | 0.03%             | 2035-09-01      | Fixed         | 4.97%                 | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2024 - GRANITE 6 PLC 24-GR6A                | TOWD POINT MORTGAGE FUNDING TPMF 2024 GR6A A1 144A        | CUSIP: ACI2NQX93<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    1680309 | PA      | $2267103.38   | 0.23%             | 2053-07-20      | Floating      | 4.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.7* 7/15/23-7Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $206600.92    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.88000 01/13/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6189.36      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.47000 11/01/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-17694.65    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX IG45 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $446822.66    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| PIMCO FUNDS                                                             | PIMCO PRV SHORT TERM FLT III MUTUAL FUND                  | CUSIP: 000000000<br>LEI: LWVQWTQCFH3YG7CVH718 | Long             | STIV             | RF                | US        |      47978 | PA      | $467356.44    | 0.05%             |  |  |  | No            |                  1 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA BONDS 02/35 8.875                | CUSIP: BYY9RYII7<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   62000000 | PA      | $3907198.07   | 0.39%             | 2035-02-28      | Fixed         | 8.88%                 | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEX BONOS DESARR FIX RT SR UNSECURED 11/34 7.75           | CUSIP: ACI087B66<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   38620000 | PA      | $1992069.25   | 0.20%             | 2034-11-23      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-3309.86     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-HE3                              | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 HE3 M3           | CUSIP: 17307GWT1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     190551 | PA      | $190465.66    | 0.02%             | 2035-09-25      | Floating      | 4.58%                 | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF5 LLC                                                      | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF5 A1 144A     | CUSIP: 69384AAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4977605 | PA      | $4984523.76   | 0.50%             | 2055-10-25      | Fixed         | 4.84%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.06250 01/08/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $9996.74      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA4869 FN 01/53 FIXED 5.5                       | CUSIP: 31418EMT4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     437704 | PA      | $445843.42    | 0.04%             | 2053-01-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-15.29       | -0.00%            |  |  |  | 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        |    1004202 | PA      | $929678.57    | 0.09%             | 2035-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| LCM 31 LTD                                                              | LCM LTD PARTNERSHIP LCM 31A AR 144A                       | CUSIP: 50201QAL8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3300000 | PA      | $3305344.19   | 0.33%             | 2034-07-20      | Floating      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.50000 03/18/26-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-259376.34   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM42 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $301.84       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.61000 03/24/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-2866.02     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $4185.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WSTN TRUST 2023-MAUI                                                    | WSTN TRUST WSTN 2023 MAUI A 144A                          | CUSIP: 92943AAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2500000 | PA      | $2546945.00   | 0.26%             | 2037-07-05      | Variable      | 6.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 4.0 09/15/21-10Y LCH                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-33340.36    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.5* 7/11/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-21178.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $5833.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-F                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 F A1A 144A        | CUSIP: 83207VAA6<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3278468 | PA      | $3322264.24   | 0.33%             | 2054-03-16      | Fixed         | 5.06%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-7761.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| EAGLE FUNDING LUXCO SA RL                                               | EAGLE FUNDING LUXCO SARL SR UNSECURED 144A 08/30 5.5      | CUSIP: 26951TAA8<br>LEI: 894500VDP08MVIZ6OA60 | Long             | DBT              | NUSS              | LU        |    5000000 | PA      | $5099200.00   | 0.51%             | 2030-08-17      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/0.75 06/16/21-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $664324.61    | 0.07%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.28000 09/16/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $27754.30     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $16862.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-344.17      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.81000 01/02/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-947.76      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260218                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-7779.19     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA SR UNSECURED 07/35 VAR              | CUSIP: 040114HT0<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |    1079658 | PA      | $805424.87    | 0.08%             | 2035-07-09      | Variable      | 4.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.25000 06/15/22-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-326016.19   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| FORD MOTOR CREDIT COMPANY LLC                                           | FORD MOTOR CREDIT CO LLC SR UNSECURED 08/27 4.125         | CUSIP: 345397A86<br>LEI: UDSQCVRUX5BONN0VY111 | Long             | DBT              | CORP              | US        |     260000 | PA      | $258002.43    | 0.03%             | 2027-08-17      | Fixed         | 4.12%                 | 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        |    4706730 | PA      | $4417194.89   | 0.44%             | 2032-07-15      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY43 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $201430.62    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CHF SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $212.11       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.8413 11/26/25-01/02/31 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-30191.68    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA CO                                                              | CARVANA CO SR SECURED 144A 06/31 9                        | CUSIP: 146869AM4<br>LEI: 5493003WEAK2PJ5WS063 | Long             | DBT              | CORP              | US        |    1281207 | PA      | $1446622.19   | 0.15%             | 2031-06-01      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| TRANSDIGM INC                                                           | TRANSDIGM, INC. 2023 TERM LOAN J                          | CUSIP: 89364MCA0<br>LEI: 88Q84GB3X55CF5OC7582 | Long             | LON              | CORP              | US        |    2980455 | PA      | $2995014.65   | 0.30%             | 2031-02-14      | Floating      | 6.22%                 | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA BONDS 07/30 VAR                     | CUSIP: ACI1QL1T4<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |     855217 | PA      | $556461.09    | 0.06%             | 2030-07-09      | Variable      | 0.75%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | REPUBLIC OF TURKIYE SR UNSECURED 03/30 5.25               | CUSIP: 900123CY4<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     600000 | PA      | $597531.00    | 0.06%             | 2030-03-13      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.13 SP SAL                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $58971.84     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-3633.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.41500 07/31/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $5865.46      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/46 1                                   | CUSIP: 912810RR1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     274836 | PA      | $207453.25    | 0.02%             | 2046-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| MASTR ASSET BACKED SECURITIES TRUST 2007-HE2                            | MASTR ASSET BACKED SECURITIES MABS 2007 HE2 A1            | CUSIP: 57646LAN3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1317134 | PA      | $1169804.70   | 0.12%             | 2037-08-25      | Floating      | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.00000 09/21/22-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-99719.94    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| VERUS SECURITIZATION TRUST 2023-8                                       | VERUS SECURITIZATION TRUST VERUS 2023 8 A1 144A           | CUSIP: 92540DAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1342747 | PA      | $1356395.28   | 0.14%             | 2068-12-25      | Fixed         | 6.26%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SEC CORP TRUST 2006-HE2                                       | HSI ASSET SECURITIZATION CORPO HASC 2006 HE2 2A2          | CUSIP: 44328BAD0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     924600 | PA      | $226134.01    | 0.02%             | 2036-12-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.73500 01/23/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-213.50      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| MERCURY AGGREGATOR LP                                                   | MERCURY AGGREGATOR L P TRANCHE 2 TERM LOAN                | CUSIP: BA000FDW9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      58981 | PA      | $3101.32      | 0.00%             | 2026-04-03      | Fixed         | 0.00%                 | No            |                  3 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD8404 FR 02/54 FIXED 7                 | CUSIP: 3132DWKR3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     943443 | PA      | $992590.64    | 0.10%             | 2054-02-01      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-101844.29   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-17585.77    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.03000 12/15/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10225.32    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BBCCRE TRUST 2015-GTP                                                   | BBCCRE TRUST BBCCR 2015 GTP A 144A                        | CUSIP: 05490TAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4100000 | PA      | $3825605.04   | 0.38%             | 2033-08-10      | Fixed         | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/4.50000 09/17/25-30Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-2059.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERT 2006-BC2                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 BC2 M2            | CUSIP: 22237JAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     945727 | PA      | $910444.49    | 0.09%             | 2045-01-25      | Floating      | 4.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $584.02       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE1                                   | MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 A2MZ             | CUSIP: 61744CKH8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     753940 | PA      | $723347.45    | 0.07%             | 2034-12-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | 3 MONTH SOFR FUT  MAR26 XCME 20260616                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |        -10 | NC      | $33411.32     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $22567.01     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2006-WF2                                  | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2006 WF2 M2           | CUSIP: 83612MAG2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1152163 | PA      | $1133445.89   | 0.11%             | 2036-12-25      | Floating      | 4.25%                 | No            |                  2 | On Loan: No      |
| PFP 2024-11 LTD                                                         | PFP III PFP 2024 11 A 144A                                | CUSIP: 69291WAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | KY        |    1859506 | PA      | $1865371.51   | 0.19%             | 2039-09-17      | Floating      | 5.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.73000 02/24/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-85616.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/29 0.875                               | CUSIP: 9128285W6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2433305 | PA      | $2396298.88   | 0.24%             | 2029-01-15      | Fixed         | 0.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.48100 10/29/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9444.39     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 04/26 0.00000                               | CUSIP: 912797TG2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     527000 | PA      | $522120.48    | 0.05%             | 2026-04-07      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TRY BOUGHT USD 20260311                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $-10973.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BEAR STEARNS ALT-A TRUST 2006-8                                         | BEAR STEARNS ALT A TRUST BALTA 2006 8 1A1                 | CUSIP: 07387QAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2763246 | PA      | $2558298.63   | 0.26%             | 2046-06-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-15011.43    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CROSS 2024-H8 MORTGAGE TRUST                                            | CROSS MORTGAGE TRUST CROSS 2024 H8 A1 144A                | CUSIP: 22757GAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4519454 | PA      | $4555873.44   | 0.46%             | 2069-12-25      | Variable      | 5.55%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F062622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   42750000 | PA      | $44439223.93  | 4.46%             | 2056-02-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| PROVIDUS CLO V DAC 5A                                                   | PROVIDUS CLO PRVD 5A AR 144A                              | CUSIP: ACI3128Y1<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4500000 | PA      | $5292925.77   | 0.53%             | 2039-11-15      | Floating      | 3.31%                 | 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      | $-26.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AVOLON HOLDINGS FUNDING LIMITED                                         | AVOLON HOLDINGS FNDG LTD COMPANY GUAR 144A 11/27 2.528    | CUSIP: 05401AAR2<br>LEI: 635400ZRKEX9L1BKCH30 | Long             | DBT              | CORP              | KY        |     865000 | PA      | $839307.46    | 0.08%             | 2027-11-18      | Fixed         | 2.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260413                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $1880.21      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.70000 09/18/24-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $342949.79    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 06/20/24-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-57938.78    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA BONDS 01/37 8.5                  | CUSIP: ACI06HB74<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   21100000 | PA      | $1266675.30   | 0.13%             | 2037-01-31      | Fixed         | 8.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.24800 09/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $18554.46     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $11406.34     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.4000 06/15/22-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $259160.16    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY                                                          | MORGAN STANLEY SR UNSECURED REGS 04/32 VAR                | CUSIP: U6S771NR6<br>LEI: IGJSJL3JD5P30I6NJZ34 | Long             | DBT              | CORP              | US        |     300000 | PA      | $220052.81    | 0.02%             | 2032-04-02      | Variable      | 0.00%                 | Yes           |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20260521                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-74.05       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCO SANTANDER SA                                                      | BANCO SANTANDER SA 11/28 6.607                            | CUSIP: 05964HAY1<br>LEI: 5493006QMFDDMYWIAM13 | Long             | DBT              | CORP              | ES        |    2500000 | PA      | $2669572.30   | 0.27%             | 2028-11-07      | Fixed         | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.50000 09/18/24-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-18037.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.00 8/12/23-7Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $100266.24    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/28 0.75                                | CUSIP: 912828Y38<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     922267 | PA      | $911412.92    | 0.09%             | 2028-07-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 09/17/25-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $449937.57    | 0.05%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260213                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-2395.46     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD IDR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ID        |          1 | NC      | $-212.03      | -0.00%            |  |  |  | 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        |     327927 | PA      | $314760.96    | 0.03%             | 2033-01-15      | Fixed         | 1.12%                 | No            |                  2 | On Loan: No      |
| EPR PROPERTIES                                                          | EPR PROPERTIES COMPANY GUAR 04/28 4.95                    | CUSIP: 26884UAE9<br>LEI: 549300YSSXFHMPOWZ492 | Long             | DBT              | CORP              | US        |      10000 | PA      | $10081.87     | 0.00%             | 2028-04-15      | Fixed         | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BUND FUTURE  MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -75 | NC      | $154653.97    | 0.02%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-11589.21    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $6755.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES9                                           | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES9 A1A 144A       | CUSIP: 74942JAA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4921561 | PA      | $4915648.32   | 0.49%             | 2055-09-25      | Fixed         | 4.79%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.08501 08/01/23-01/02/26 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-56481.76    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.20325 04/02/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-141439.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AL2908 FN 08/27 FIXED VAR                       | CUSIP: 3138EKGS8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       9830 | PA      | $9762.44      | 0.00%             | 2027-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.17500 10/10/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $14356.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/30 1.625                               | CUSIP: 91282CNB3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1943415 | PA      | $1953701.63   | 0.20%             | 2030-04-15      | Fixed         | 1.62%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC SR SECURED 06/31 3.25              | CUSIP: 694308JT5<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    3395000 | PA      | $3164433.94   | 0.32%             | 2031-06-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA BONDS 01/40 9                    | CUSIP: ACI0GYHC9<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |    4600000 | PA      | $278861.11    | 0.03%             | 2040-01-31      | Fixed         | 9.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.27000 08/21/23-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $13398.02     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 06/21/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11245.01    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5662.77      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.52738 09/03/24-25Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $14303.69     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ISRAEL GOVT EM SP JPM                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $21277.68     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/49 1                                   | CUSIP: 912810SG4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    2199715 | PA      | $1584225.35   | 0.16%             | 2049-02-15      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.50 9/15/23-5Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-185892.78   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 3 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F030629<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   10500000 | PA      | $9281425.86   | 0.93%             | 2056-02-12      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $1805.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KWD SOLD USD 20260713                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-103.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX XOV44 5Y 35-100% SP BOA                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $282824.03    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/45 0.75                                | CUSIP: 912810RL4<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     829632 | PA      | $605614.77    | 0.06%             | 2045-02-15      | Fixed         | 0.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-16590.19    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.47000 02/22/23-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4276.02     | -0.00%            |  |  |  | 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      | $11525.21     | 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        |    1823212 | PA      | $1761084.18   | 0.18%             | 2059-10-25      | Variable      | 2.90%                 | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 11/40 12.75                    | CUSIP: ACI2WQVJ3<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 6956500000 | PA      | $1806128.10   | 0.18%             | 2040-11-28      | Fixed         | 12.75%                | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA4697 FN 08/42 FIXED 4                         | CUSIP: 31418EGF1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     192802 | PA      | $189776.20    | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2005-OPT1                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2005 OPT1 M1          | CUSIP: 17307GNR5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1538090 | PA      | $1455615.63   | 0.15%             | 2035-02-25      | Floating      | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-320.33      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260624                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-1237.68     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRET 2025-RPL4 TRUST                                                    | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 RPL4 A1 144A     | CUSIP: 740943AA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4991470 | PA      | $4903914.57   | 0.49%             | 2065-03-25      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED SEC CORP HM EQ 2005-HE5                                    | ASSET BACKED SECURITIES CORP H ABSHE 2005 HE5 M5          | CUSIP: 04541GSM5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   11000000 | PA      | $9841931.00   | 0.99%             | 2035-06-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| IXIS REAL ESTATE CAPITAL TRUST 2006-HE3                                 | IXIS REAL ESTATE CAPITAL TRUST IXIS 2006 HE3 A3           | CUSIP: 46602UAC2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3503812 | PA      | $1153215.91   | 0.12%             | 2037-01-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.11 SP SAL                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $1173.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM4 TRUST                                                    | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM4 A1 144A     | CUSIP: 69381UAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2712837 | PA      | $2734228.69   | 0.27%             | 2069-12-26      | Fixed         | 5.67%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 10YR ULTRA FUT MAR26 XCBT 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -167 | NC      | $90328.15     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.95000 12/19/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-7976.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.10 SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $34844.86     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.68400 01/03/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1056.34      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260227                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $2768.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD THB BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $-5502.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.66500 01/24/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2650.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO SR UNSECURED 02/28 3.25                         | CUSIP: 097023DB8<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1700000 | PA      | $1672407.67   | 0.17%             | 2028-02-01      | Fixed         | 3.25%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-OPT1                                    | HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 2A3         | CUSIP: 40431JAD5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2674798 | PA      | $2409559.37   | 0.24%             | 2036-12-25      | Floating      | 4.00%                 | No            |                  2 | On Loan: No      |
| RBSSP RESECURITIZATION TRUST 2010-2                                     | RBSSP RESECURITIZATION TRUST RBSSP 2010 2 3A2 144A        | CUSIP: 74929CAG1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     335958 | PA      | $319143.91    | 0.03%             | 2036-12-26      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-7                                     | PAGAYA AI DEBT SELECTION TRUST PAID 2024 7 A 144A         | CUSIP: 69545AAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     924271 | PA      | $930634.03    | 0.09%             | 2031-12-15      | Fixed         | 6.12%                 | 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      | $-132.25      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 2019-9A LTD                                    | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 9A AV 144A       | CUSIP: 03330HAA5<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3418842 | PA      | $3386750.35   | 0.34%             | 2037-10-25      | Fixed         | 3.79%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL DA2733 FN 01/54 FIXED 6                         | CUSIP: 3140A3BB8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     576742 | PA      | $592749.37    | 0.06%             | 2054-01-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4167.81      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.45000 11/01/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $22067.33     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-11734.98    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $1616.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.55800 08/21/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6651.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.61300 08/22/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4507.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/3.70000 03/28/24-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $4344.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                         | NEW UNITY COMMON STOCKK                                   | CUSIP: 958WDX907<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |       2018 | NS      | $13600.13     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $1739.61      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $2622.62      | 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      | $-396597.73   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.08500 04/22/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10891.97     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.715 03/24/22-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-8216.40     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 5 JUMBOS                                | CUSIP: 21H050615<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    5200000 | PA      | $5188928.16   | 0.52%             | 2055-01-15      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ZAR BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $-18480.13    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT SGD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | SG        |          1 | NC      | $-2411.24     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.7* 12/16/19-7Y LCH                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7911.03      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKT TRUST 2025-2A                                                      | RCKT TRUST RCKTL 2025 2A A 144A                           | CUSIP: 74939HAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4473465 | PA      | $4478767.40   | 0.45%             | 2034-11-27      | Fixed         | 4.48%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | MEXICO LA SP MYC                                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $2699.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA4864 FN 01/43 FIXED 4                         | CUSIP: 31418EMN7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       1925 | PA      | $1894.24      | 0.00%             | 2043-01-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| CITIMORTGAGE ALTERNATIVE LN TR 2007-A3                                  | CITIMORTGAGE ALTERNATIVE LOAN CMALT 2007 A3 1A1           | CUSIP: 12567AAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1095664 | PA      | $986039.84    | 0.10%             | 2037-03-25      | Floating      | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-6345.75     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOFTBANK GROUP CORP SNR JP SP GST                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1193.35     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CAD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CA        |          1 | NC      | $-199759.85   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260303                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $221.32       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.46382 09/03/24-25Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $30225.83     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WESTMET GROUP HOLDINGS LLC                                              | EQTYWM927 WESTMORELAND MINING                             | CUSIP: 952XGJII0<br>LEI: N/A                  | Long             | EC               | CORP              | US        |        749 | NS      | $2105.21      | 0.00%             |  |  |  | Yes           |                  3 | On Loan: No      |
| N/A                                                                     | IRS AUD 3.00000 03/21/17-10Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-11244.05    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                      | SOUTHERN CAL EDISON 1ST MORTGAGE 02/32 2.75               | CUSIP: 842400HM8<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |     100000 | PA      | $89167.49     | 0.01%             | 2032-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.7* 8/12/23-28Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $212007.66    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX ITRAXX MAIN44 5Y ICE                                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | N/A       |          1 | NC      | $140817.66    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | AUST 10Y BOND FUT MAR26 XSFE 20260316                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |         48 | NC      | $6096.61      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-141.48      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RUSSIAN GOVT                                                            | RUSSIAN FEDERATION SR UNSECURED 144A 04/42 5.625          | CUSIP: 78307ADE0<br>LEI: 5493004EHVGF71PDBU58 | Long             | DBT              | NUSS              | RU        |    1200000 | PA      | $840000.00    | 0.08%             | 2042-04-04      | Fixed         | 5.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 06/20/24-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-83829.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G08773 FG 08/47 FIXED 3                 | CUSIP: 3128MJ2F6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18761 | PA      | $17017.99     | 0.00%             | 2047-08-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.75000 06/15/22-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-474154.03   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.60500 08/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2875.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.5* 7/20/23-4Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-371167.61   | -0.04%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $6151.04      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.45000 03/07/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-17302.84    | -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        |     151805 | PA      | $157927.18    | 0.02%             | 2053-12-01      | Fixed         | 6.50%                 | 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      | $-45.11       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                              | LEALAND FINANCE COMPANY B.V. 2020 MAKE WHOLE TL           | CUSIP: N5200EAC5<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       5769 | PA      | $4845.78      | 0.00%             | 2027-06-30      | Floating      | 6.83%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | OIS MXN TIIE1/9.10833 03/19/25-5Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $63671.57     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ISRAEL GOVT EM SP GST                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $4827.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-4107.95     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $34174.15     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL RB5175 FR 08/42 FIXED 4                 | CUSIP: 3133KYXC8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     171258 | PA      | $168535.24    | 0.02%             | 2042-08-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 144A REGS 08/39 7         | CUSIP: ACI2PNWZ1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    3600000 | PA      | $1171287.97   | 0.12%             | 2039-08-12      | Fixed         | 7.60%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                           | ALTICE FRANCE SA SR SECURED 144A 10/30 4.75               | CUSIP: ACI30QTM2<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |      77010 | PA      | $85325.50     | 0.01%             | 2030-10-15      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 07/16/23-8Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $95581.14     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/33 1.375                               | CUSIP: 91282CHP9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   11793100 | PA      | $11499353.34  | 1.15%             | 2033-07-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.25000 03/18/20-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $122032.89    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.45000 10/04/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $33537.26     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL Q52848 FG 12/47 FIXED 3                 | CUSIP: 3132XVEW9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13997 | PA      | $12657.53     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-586200.22   | -0.06%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 11/27 0.625                               | CUSIP: 91282CAY7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    4140000 | PA      | $3923620.33   | 0.39%             | 2027-11-30      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $4386.10      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INGENICO TERMINALS (POSEIDON BIDCO)                                     | POSEIDON BIDCO SASU 2023 EUR TERM LOAN B                  | CUSIP: 953RGXII1<br>LEI: 254900LGX7YG7Y9YM766 | Long             | LON              | CORP              | GB        |    1000000 | PA      | $424752.53    | 0.04%             | 2030-11-30      | Floating      | 7.02%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 5 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F050627<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  129660000 | PA      | $129188968.56 | 12.96%            | 2056-02-12      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| CREDIT SUISSE GROUP AG                                                  | CS AT1 CLAIMS US225401AJ72 CREDIT SUISSE GROUP AG         | CUSIP: 952NPG006<br>LEI: 549300506SI9CRFV9Z86 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $442500.00    | 0.04%             | 2060-12-31      | None          | 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      | $-500022.33   | -0.05%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 6 JUMBOS                                | CUSIP: 21H060614<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1400000 | PA      | $1426851.57   | 0.14%             | 2055-01-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM38 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $3280.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $1385.24      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.55500 03/05/24-30Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-21902.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.45000 10/11/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10641.73    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LEALAND FINANCE COMPANY BV                                              | LEALAND FINANCE COMPANY B.V. 2020 TAKE BACK TL            | CUSIP: N5200EAB7<br>LEI: N/A                  | Long             | LON              | CORP              | US        |      16383 | PA      | $12805.73     | 0.00%             | 2027-12-31      | Fixed         | 7.83%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-551.65      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| KUWAIT GOVT                                                             | KUWAIT INTL BOND SR UNSECURED 144A 10/28 4.016            | CUSIP: 501499AD9<br>LEI: 549300FSC1YD0D9XX589 | Long             | DBT              | NUSS              | KW        |    1300000 | PA      | $1303366.14   | 0.13%             | 2028-10-09      | Fixed         | 4.02%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/27 3.3             | CUSIP: 694308HS9<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |      90000 | PA      | $89076.94     | 0.01%             | 2027-03-15      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.5000 03/15/22-20Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $413386.82    | 0.04%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TREASURY BILL 04/26 0.00000                               | CUSIP: 912797TJ6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     261000 | PA      | $258219.28    | 0.03%             | 2026-04-21      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| OPTION ONE MORTGAGE LOAN TRUST 2006-1                                   | OPTION ONE MORTGAGE LOAN TRUST OOMLT 2006 1 M1            | CUSIP: 68389FKR4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4278113 | PA      | $4079444.31   | 0.41%             | 2036-01-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN CHASE COMMERCIAL MORTGAGE SECURITIES TRUST 2022-NLP         | JP MORGAN CHASE COMMERCIAL MOR JPMCC 2022 NLP A 144A      | CUSIP: 466317AA2<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3757100 | PA      | $3713418.64   | 0.37%             | 2037-04-15      | Floating      | 4.60%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-83.46       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.36000 08/07/23-5Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $31821.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.32826 09/03/24-7Y* CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7828.72      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $477.16       | 0.00%             |  |  |  | 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        |    9710000 | PA      | $3117507.72   | 0.31%             | 2032-08-12      | Fixed         | 6.15%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA4729 FN 09/42 FIXED 4                         | CUSIP: 31418EHF0<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      10924 | PA      | $10752.98     | 0.00%             | 2042-09-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| J.P. MORGAN MORTGAGE TRUST 2024-VIS1                                    | JP MORGAN MORTGAGE TRUST JPMMT 2024 VIS1 A1 144A          | CUSIP: 465970AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4556564 | PA      | $4601222.62   | 0.46%             | 2064-07-25      | Variable      | 5.99%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2005-HE1                                   | MORGAN STANLEY CAPITAL INC MSAC 2005 HE1 A2SS             | CUSIP: 61744CKY1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1002272 | PA      | $966603.26    | 0.10%             | 2034-12-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-4670.42     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/44 1.375                               | CUSIP: 912810RF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     139709 | PA      | $117104.52    | 0.01%             | 2044-02-15      | Fixed         | 1.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $299.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INTESA SANPAOLO SPA                                                     | INTESA SANPAOLO SPA 144A 11/33 7.2                        | CUSIP: 46115HCD7<br>LEI: 2W8N8UU78PMDQKZENC08 | Long             | DBT              | CORP              | IT        |    1300000 | PA      | $1485375.84   | 0.15%             | 2033-11-28      | Fixed         | 7.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-15898.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-14.02       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260102                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $4424.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $1032.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 09/27 0.375                               | CUSIP: 91282CAL5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     340000 | PA      | $322316.02    | 0.03%             | 2027-09-30      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| RESEARCH-DRIVEN PAGAYA MOTOR ASSET TRUST 2023-3A LLC                    | RESEARCH DRIVEN PAGAYA MOTOR A RPM 2023 3A A 144A         | CUSIP: 76089RAA2<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1572301 | PA      | $1574873.14   | 0.16%             | 2032-01-26      | Fixed         | 7.13%                 | No            |                  2 | On Loan: No      |
| TURKEY GOVT                                                             | REPUBLIC OF TURKIYE SR UNSECURED 04/29 7.625              | CUSIP: 900123CT5<br>LEI: 5493000PCHOG3B6S3Q85 | Long             | DBT              | NUSS              | TR        |     700000 | PA      | $754303.20    | 0.08%             | 2029-04-26      | Fixed         | 7.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.15000 10/12/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $13659.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-11371.34    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $4912.70      | 0.00%             |  |  |  | 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      | $3130.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $119240.73    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.68500 01/24/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2014.76     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $7251.27      | 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        |    1345000 | PA      | $396775.00    | 0.04%             | 2060-12-31      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.43091 09/03/24-7Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $7293.49      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.00000 12/21/22-5Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $16866.80     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MEXICO GOVT                                                             | MEX BONOS DESARR FIX RT BONDS 05/31 7.75                  | CUSIP: 975UCXII2<br>LEI: 254900EGTWEU67VP6075 | Long             | DBT              | NUSS              | MX        |   15600000 | PA      | $835612.49    | 0.08%             | 2031-05-29      | Fixed         | 7.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.18249 04/04/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-122030.19   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 4.055 09/15/21-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-41018.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.89000 01/08/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2336.25      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F042624<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   11100000 | PA      | $10827373.46  | 1.09%             | 2056-02-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                     | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 09/30 6.125     | CUSIP: 65480CAL9<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1100962.07   | 0.11%             | 2030-09-30      | Fixed         | 6.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.7* 02/02/22-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-44613.37    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.65000 07/10/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-688.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-RCF1 LLC                                                      | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 RCF1 A1 144A     | CUSIP: 74390RAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     844962 | PA      | $841913.82    | 0.08%             | 2055-02-25      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.20250 01/10/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $10975.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MFA 2024-RPL1 TRUST                                                     | MFRA TRUST MFRA 2024 RPL1 A1 144A                         | CUSIP: 55287AAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3132518 | PA      | $3016005.63   | 0.30%             | 2066-02-25      | Variable      | 4.25%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                       | U S RENAL CARE INC 2023 SUPERPRIORITY TERM LOAN           | CUSIP: 90290PAS3<br>LEI: 54930058SS5MF69JGN89 | Long             | LON              | CORP              | US        |     117898 | PA      | $111340.04    | 0.01%             | 2028-06-28      | Floating      | 8.83%                 | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2025-CES11                                          | WOODWARD CAPITAL MANAGEMENT RCKT 2025 CES11 A1A 144A      | CUSIP: 749423AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5352800 | PA      | $5366038.21   | 0.54%             | 2055-11-25      | Variable      | 4.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3281.91     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUT+5.89/-0.0200 3/20/21-8Y* LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $103624.36    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | TITULOS DE TESORERIA BONDS 08/29 11                       | CUSIP: ACI2WZRP4<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        | 6898300000 | PA      | $1726465.01   | 0.17%             | 2029-08-22      | Fixed         | 11.00%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.45000 10/20/23-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $18756.38     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | AIRBUS FINANCE BV SNR SE ICE                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | NL        |          1 | NC      | $9834.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6.5 SINGLE FAMILY MORTGAGE                 | CUSIP: 01F062630<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   85900000 | PA      | $89371429.46  | 8.96%             | 2055-03-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QH2941 FR 10/53 FIXED 6                 | CUSIP: 3133CFHS1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      68609 | PA      | $70736.58     | 0.01%             | 2053-10-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| SLM STUDENT LOAN TRUST 2005-B                                           | SLM STUDENT LOAN TRUST SLMA 2005 B A4                     | CUSIP: 78443CCB8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1219835 | PA      | $1190995.34   | 0.12%             | 2039-06-15      | Floating      | 4.31%                 | No            |                  2 | On Loan: No      |
| ASSET BACKED FUNDING CERT 2006-OPT3                                     | ASSET BACKED FUNDING CERTIFICA ABFC 2006 OPT3 A2          | CUSIP: 00075VAB7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3345377 | PA      | $2001442.14   | 0.20%             | 2036-11-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PEN SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $1183.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.60000 08/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $9975.32      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260112                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $6702.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/45 4.875                               | CUSIP: 912810UN6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     583000 | PA      | $588830.00    | 0.06%             | 2045-08-15      | Fixed         | 4.88%                 | No            |                  2 | On Loan: No      |
| NATIONWIDE BUILDING SOCIETY                                             | NATIONWIDE BLDG SOCIETY 144A 10/27 VAR                    | CUSIP: 63861VAJ6<br>LEI: 549300XFX12G42QIKN82 | Long             | DBT              | CORP              | GB        |    2500000 | PA      | $2547653.40   | 0.26%             | 2027-10-18      | Floating      | 6.56%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL DB8407 FN 09/54 FIXED 6                         | CUSIP: 3140AJKV9<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     261217 | PA      | $268529.63    | 0.03%             | 2054-09-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR GBP SONIO/4.00000 09/17/25-10Y LCH                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-7550.10     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.80000 03/10/23-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3029.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCO X MORTGAGE LLC 2025-5                                               | RCO MORTGAGE LLC RCO 2025 5 A1 144A                       | CUSIP: 75523YAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5277049 | PA      | $5227518.70   | 0.52%             | 2030-10-25      | Fixed         | 5.42%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CB5211 FN 12/52 FIXED 6                         | CUSIP: 3140QQYH2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1611521 | PA      | $1662983.51   | 0.17%             | 2052-12-01      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $6783.42      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | FORD MOTOR CREDIT COMPANY LLC SNR S* ICE                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $24834.60     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                         | REPUBLIC OF VENEZUELA SR UNSECURED REGS 10/26 11.75       | CUSIP: P17625AE7<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      10000 | PA      | $3290.00      | 0.00%             | 2026-10-21      | Fixed         | 11.75%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.37000 03/01/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9221.30     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-216.00      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 3 JUMBOS                                | CUSIP: 21H030617<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2000000 | PA      | $1797421.88   | 0.18%             | 2055-01-15      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| GREENSKY HOME IMPROVEMENT TRUST 2024-1                                  | GREENSKY HOME IMPROVEMENT ISSU GSKY 2024 1 A2 144A        | CUSIP: 39571MAB4<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     206115 | PA      | $207006.86    | 0.02%             | 2059-06-25      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 4.00000 09/18/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-144425.33   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.072 03/27/24-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-41333.91    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2430.62      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA ROMANIA                                           | CUSIP: ACI2P7GX9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |     350000 | PA      | $420780.36    | 0.04%             | 2032-05-30      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $820.94       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.85000 08/05/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-4654.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUTK/0.17625 04/27/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $-14612.04    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | REPUBLIC OF PERU SR UNSECURED REGS 08/31 6.95             | CUSIP: 715638BE1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |    6250000 | PA      | $2067329.15   | 0.21%             | 2031-08-12      | Fixed         | 6.95%                 | 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      | $16420.09     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-143.06      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.00000 12/21/22-7Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $257339.93    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 4.5 JUMBOS                              | CUSIP: 21H042620<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    7000000 | PA      | $6814335.92   | 0.68%             | 2056-02-19      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.60000 01/16/24-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $220150.15    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.42500 03/01/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9555.79     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO XI DAC 11A                                             | INVESCO EURO CLO XI DAC INVSC 11A A1R 144A                | CUSIP: ACI318SX8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    4500000 | PA      | $5292993.46   | 0.53%             | 2036-10-22      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOUTH AFRICA EM SP MYC                                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $3678.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.95000 06/12/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $14985.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.22 03/25/22-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-10234.67    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NELNET STUDENT LOAN TRUST 2023-AA                                       | NELNET STUDENT LOAN TRUST NSLT 2023 AA AFL 144A           | CUSIP: 64032PAA0<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1159666 | PA      | $1185215.53   | 0.12%             | 2041-02-20      | Floating      | 6.12%                 | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                           | ALTICE FRANCE SA SR SECURED 144A 11/29 9.5                | CUSIP: 02090DAA6<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |    3847110 | PA      | $3974449.73   | 0.40%             | 2029-11-01      | Fixed         | 9.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.30000 03/06/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-14043.10    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 12/27 0.625                               | CUSIP: 91282CBB6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1750000 | PA      | $1654501.96   | 0.17%             | 2027-12-31      | Fixed         | 0.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.00000 06/15/22-7Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $132866.80    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.40750 09/05/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4974.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| JANE STREET GROUP LLC                                                   | JANE STREET GROUP LLC 2024 TERM LOAN B1                   | CUSIP: 47077DAM2<br>LEI: 5493002N1IVX6KHGYO08 | Long             | LON              | CORP              | US        |    1300000 | PA      | $1295528.00   | 0.13%             | 2031-12-15      | Floating      | 5.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX HY37 5Y ICE                                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $35570.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-1259.93     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 06/20/24-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $673.44       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.00 12/15/21-30Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1574542.28  | -0.16%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $20120.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-109416.26   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.9* 7/17/23-26Y* CME                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $118361.12    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL QI9919 FR 07/54 FIXED 5                 | CUSIP: 3133WHAU7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     880927 | PA      | $879517.36    | 0.09%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $21742.58     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.90000 01/08/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5193.96      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NGN BOUGHT USD 20261118                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |          1 | NC      | $-45.12       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-152123.70   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.00000 03/18/26-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $610002.87    | 0.06%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.29000 03/31/26-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $19142.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/27 0.375                               | CUSIP: 9128282L3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |      66554 | PA      | $65791.89     | 0.01%             | 2027-07-15      | Fixed         | 0.38%                 | No            |                  2 | On Loan: No      |
| DISH DBS CORPORATION                                                    | DISH DBS CORP SR SECURED 144A 12/28 5.75                  | CUSIP: 25470XBF1<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2630000 | PA      | $2583652.67   | 0.26%             | 2028-12-01      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TRU 2005-CTX1                                | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2005 CTX1 M5          | CUSIP: 83611PBY6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1905061 | PA      | $1894556.65   | 0.19%             | 2035-11-25      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $271.71       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G08791 FG 12/47 FIXED 3                 | CUSIP: 3128MJ2Z2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     342059 | PA      | $309321.11    | 0.03%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.50 7/12/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $36628.08     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-18449.35    | -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      | $-130.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.40000 04/09/25-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5589.33     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NISSAN MOTOR ACCEPTANCE CORPORATION                                     | NISSAN MOTOR ACCEPTANCE SR UNSECURED 144A 03/26 2         | CUSIP: 654740BS7<br>LEI: 7D6DIU2QXTUJRFNNJA49 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1493969.10   | 0.15%             | 2026-03-09      | Fixed         | 2.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $12023.14     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL CALCASIEU PASS LLC                                       | VENTURE GLOBAL CALCASIEU SR SECURED 144A 08/29 3.875      | CUSIP: 92328MAA1<br>LEI: 549300GKHS6RS20NLH85 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1407286.80   | 0.14%             | 2029-08-15      | Fixed         | 3.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US 2YR NOTE (CBT) MAR26 XCBT 20260331                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         75 | NC      | $12507.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $15042.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.95000 09/13/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $16048.42     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT EUR SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | N/A       |          1 | NC      | $-3373.18     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-170.91      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $18616.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 3.30000 10/03/23-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $36600.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 03/18/26-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-29137.49    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $4580.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-1268.78     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS AUD 2.75000 06/17/16-10Y CME                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | AU        |          1 | NC      | $-61069.29    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.00000 12/21/22-10Y CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $1112675.72   | 0.11%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.30000 09/25/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3072.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 01/02/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8.70         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.00000 01/03/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $9945.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $811.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                         | REPUBLIC OF VENEZUELA SR UNSECURED REGS 08/31 11.95       | CUSIP: P17625AD9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |     300000 | PA      | $98700.00     | 0.01%             | 2031-08-05      | Fixed         | 11.95%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.23100 09/18/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $19214.24     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                           | ALTICE FRANCE SA 2025 EUR EXT TERM LOAN B14               | CUSIP: BA000QF86<br>LEI: 5493001ZMCICV4N02J21 | Long             | LON              | CORP              | FR        |      76232 | PA      | $89787.76     | 0.01%             | 2031-05-31      | Floating      | 8.89%                 | No            |                  2 | On Loan: No      |
| NATWEST GROUP PLC                                                       | NATWEST GROUP PLC SR UNSECURED 09/28 VAR                  | CUSIP: 639057AF5<br>LEI: 2138005O9XJIJN4JPN90 | Long             | DBT              | CORP              | GB        |    2200000 | PA      | $2257555.28   | 0.23%             | 2028-09-30      | Floating      | 5.52%                 | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                         | UNITI GROUP INC COMMON STOCK USD.0001                     | CUSIP: 912932100<br>LEI: 549300V3NU625PJUVA84 | Long             | EC               | CORP              | US        |        696 | NS      | $4878.96      | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-8903.71     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-893.67      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/17/25-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-139679.68   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 08/43 4.375                               | CUSIP: 912810TU2<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1600000 | PA      | $1528812.50   | 0.15%             | 2043-08-15      | Fixed         | 4.38%                 | No            |                  2 | On Loan: No      |
| HSI ASSET SECUR CORP TRUST 2007-OPT1                                    | HSI ASSET SECURITIZATION CORPO HASC 2007 OPT1 1A          | CUSIP: 40431JAA1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     826977 | PA      | $725149.15    | 0.07%             | 2036-12-25      | Floating      | 3.99%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.34000 02/23/23-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-8736.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.59000 08/19/24-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $6378.04      | 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        |    1509227 | PA      | $1399018.17   | 0.14%             | 2036-03-25      | Floating      | 4.37%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $13823.51     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $123.33       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.5* 7/26/23-8Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-47848.02    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-10325.84    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $1139.94      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| LENDMARK FUNDING TRUST 2024-1A                                          | LENDMARK FUNDING TRUST LFT 2024 1A A 144A                 | CUSIP: 52603DAA1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1400000 | PA      | $1419513.48   | 0.14%             | 2032-06-21      | Fixed         | 5.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 9.89906 08/03/23-01/02/26 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-16233.27    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-130.63      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA9106 G2 08/53 FIXED 5.5                    | CUSIP: 36179YDK7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1109437 | PA      | $1127686.65   | 0.11%             | 2053-08-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-3648.54     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-1489.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TRUST 2007-4                                     | SAXON ASSET SECURITIES TRUST SAST 2007 4 A1 144A          | CUSIP: 80557CAA0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     604615 | PA      | $584306.18    | 0.06%             | 2037-12-25      | Floating      | 5.60%                 | No            |                  2 | On Loan: No      |
| FREMONT HOME LOAN TRUST 2005-D                                          | FREMONT HOME LOAN TRUST FHLT 2005 D M1                    | CUSIP: 35729PMF4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2053037 | PA      | $1917157.36   | 0.19%             | 2035-11-25      | Floating      | 4.46%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 6 JUMBOS                                | CUSIP: 21H060622<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   21100000 | PA      | $21489855.42  | 2.16%             | 2056-02-19      | Fixed         | 6.00%                 | 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      | $-184.94      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-4422.43     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 04/27 4.5                                 | CUSIP: 91282CKJ9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   13300000 | PA      | $13465730.50  | 1.35%             | 2027-04-15      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.03000 01/07/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $10146.94     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RCKT MORTGAGE TRUST 2024-CES7                                           | WOODWARD CAPITAL MANAGEMENT RCKT 2024 CES7 A1A 144A       | CUSIP: 749414AA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5309871 | PA      | $5330621.61   | 0.53%             | 2044-10-25      | Variable      | 5.16%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2267.84      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CHF BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CH        |          1 | NC      | $-923.99      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SEC TR 2004-5                                        | AEGIS ASSET BACKED SECURITIES AABST 2004 5 M2             | CUSIP: 00764MDH7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     766444 | PA      | $705074.85    | 0.07%             | 2034-12-25      | Floating      | 5.68%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 06/18/25-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $33017.64     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.92750 03/25/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-43312.88    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-2722.42     | -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      | $-139.60      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2005-RMS1                                     | STRUCTURED ASSET SECURITIES CO SASC 2005 RMS1 M1          | CUSIP: 86359B6S5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     564117 | PA      | $580487.86    | 0.06%             | 2035-02-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.84000 01/08/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2066.80      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G61681 FG 12/47 FIXED 3                 | CUSIP: 31335B2N5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      18957 | PA      | $17165.13     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $7382.22      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260113                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $12786.48     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| DEUTSCHE BANK AG/NEW YORK BRANCH                                        | DEUTSCHE BANK NY 01/29 VAR                                | CUSIP: 251526CS6<br>LEI: 7LTWFZYICNSX8D621K86 | Long             | DBT              | CORP              | DE        |     400000 | PA      | $418859.25    | 0.04%             | 2029-01-18      | Floating      | 6.72%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-6280.58     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CARVANA AUTO RECEIVABLES TRUST 2024-P1                                  | CARVANA AUTO RECEIVABLES TRUST CRVNA 2024 P1 A3 144A      | CUSIP: 14688NAC3<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4227989 | PA      | $4248636.17   | 0.43%             | 2029-04-10      | Fixed         | 5.05%                 | 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      | $5026.57      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL CB5583 FN 11/52 FIXED 5.5                       | CUSIP: 3140QRFZ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     201881 | PA      | $205527.60    | 0.02%             | 2052-11-01      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.07100 01/15/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $14089.91     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUNDVIEW HOME EQUITY LOAN TR 2007-WMC1                                 | SOUNDVIEW HOME EQUITY LOAN TRU SVHE 2007 WMC1 3A1         | CUSIP: 83612NAC9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     999430 | PA      | $265435.43    | 0.03%             | 2037-02-25      | Floating      | 4.07%                 | No            |                  2 | On Loan: No      |
| ARBOUR CLO VII DAC 7A                                                   | ARBOUR CLO ARBR 7A AR 144A                                | CUSIP: ACI2S2CF0<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3600000 | PA      | $4239816.01   | 0.43%             | 2038-12-15      | Floating      | 3.28%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $543.90       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260225                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3.47         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 06/21/23-3Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $5070.50      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.52000 03/27/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-5665.08     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA9017 G2 07/53 FIXED 5.5                    | CUSIP: 36179YAS3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    1330168 | PA      | $1352572.88   | 0.14%             | 2053-07-20      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 01/26 2.625                               | CUSIP: 9128286A3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    3405000 | PA      | $3402012.66   | 0.34%             | 2026-01-31      | Fixed         | 2.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-4938.07     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ARGENTINA GOVT                                                          | REPUBLIC OF ARGENTINA SR UNSECURED 07/29 1                | CUSIP: 040114HX1<br>LEI: 549300KPBYGYF7HCHO27 | Long             | DBT              | NUSS              | AR        |      99697 | PA      | $89128.94     | 0.01%             | 2029-07-09      | Fixed         | 1.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-14938.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GLP CAPITAL LP / GLP FINANCING II INC                                   | GLP CAPITAL LP / FIN II COMPANY GUAR 01/29 5.3            | CUSIP: 361841AL3<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |      66000 | PA      | $67193.65     | 0.01%             | 2029-01-15      | Fixed         | 5.30%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CMBX.NA.AAA.10 SP SAL                                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $4881.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.59400 01/09/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $4959.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PRPM 2025-4 LLC                                                         | PRESTON RIDGE PARTNERS MORTGAG PRPM 2025 4 A1 144A        | CUSIP: 69382KAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4162585 | PA      | $4173602.50   | 0.42%             | 2030-06-25      | Fixed         | 6.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/18/24-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-296524.92   | -0.03%            |  |  |  | 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        |     140472 | PA      | $140549.15    | 0.01%             | 2031-07-15      | Floating      | 5.26%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.79500 08/06/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2518.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.75000 03/05/24-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $3744.92      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G61809 FG 12/48 FIXED 3                 | CUSIP: 31335CAJ3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      26942 | PA      | $24348.87     | 0.00%             | 2048-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| SOCIETE GENERALE                                                        | SOCIETE GENERALE 144A 01/34 VAR                           | CUSIP: 83368RBS0<br>LEI: O2RNE8IBXP4R0TD8PU41 | Long             | DBT              | CORP              | FR        |    2200000 | PA      | $2396732.54   | 0.24%             | 2034-01-10      | Floating      | 6.69%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.55500 08/28/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $6737.88      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD GBP BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | GB        |          1 | NC      | $-17396.57    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| WORLD OMNI SELECT AUTO TRUST 2024-A                                     | WORLD OMNI SELECT AUTO TRUST WOSAT 2024 A A3              | CUSIP: 98164LAD1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3500000 | PA      | $3518370.45   | 0.35%             | 2030-02-15      | Fixed         | 4.98%                 | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 6 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F060626<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |  165200000 | PA      | $169544393.26 | 17.00%            | 2056-02-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ALTERNATIVE LOAN TR 2006-OC8                                | COUNTRYWIDE ALTERNATIVE LOAN T CWALT 2006 OC8 1A2         | CUSIP: 232434AU4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3268165 | PA      | $3103202.36   | 0.31%             | 2036-11-25      | Floating      | 4.17%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 08/34 5.4                 | CUSIP: ACI1CNG93<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     300000 | PA      | $89069.95     | 0.01%             | 2034-08-12      | Fixed         | 5.40%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $1878.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.05250 01/07/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $10311.66     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260218                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $4079.33      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NGN BOUGHT USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |          1 | NC      | $-377.92      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.99400 07/02/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-14272.53    | -0.00%            |  |  |  | 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      | $-44.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-8051.51     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COLOMBIAN GOVT                                                          | REPUBLIC OF COLOMBIA SR UNSECURED 09/32 5                 | CUSIP: ACI309N04<br>LEI: 549300MHDRBVRF6B9117 | Long             | DBT              | NUSS              | CO        |    2600000 | PA      | $2934001.94   | 0.29%             | 2032-09-19      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-RCF2 LLC                                                      | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 RCF2 A1 144A     | CUSIP: 693987AA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2401697 | PA      | $2368290.48   | 0.24%             | 2054-03-25      | Fixed         | 3.75%                 | 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      | $2719.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-5294.25     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NIGERIA GOVT                                                            | NIGERIA OMO BILL OMO120626                                | CUSIP: 955PDJII7<br>LEI: 549300GSBZD84TNEQ285 | Long             | DBT              | NUSS              | NG        |  706400000 | PA      | $447294.91    | 0.04%             | 2026-06-12      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| PRET 2025-NPL12 LLC                                                     | PRETIUM MORTGAGE CREDIT PARTNE PRET 2025 NPL12 A1 144A    | CUSIP: 69383CAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5192080 | PA      | $5208946.43   | 0.52%             | 2055-11-25      | Fixed         | 5.18%                 | No            |                  2 | On Loan: No      |
| PETROLEOS DE VENEZUELA SA (PDVSA)                                       | PETROLEOS DE VENEZUELA S COMPANY GUAR REGS 11/26 6        | CUSIP: P7807HAR6<br>LEI: 549300YWR8TN1OFD4P06 | Long             | DBT              | CORP              | VE        |      63000 | PA      | $15120.00     | 0.00%             | 2026-11-15      | Fixed         | 6.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-14264.87    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| NOVASTAR HOME EQUITY LOAN 2006-1                                        | NOVASTAR HOME EQUITY LOAN NHEL 2006 1 A2D                 | CUSIP: 669884AE8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4393998 | PA      | $4316662.87   | 0.43%             | 2036-05-25      | Floating      | 4.39%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/50 0.25                                | CUSIP: 912810SM1<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     759882 | PA      | $438004.14    | 0.04%             | 2050-02-15      | Fixed         | 0.25%                 | No            |                  2 | On Loan: No      |
| US RENAL CARE INC                                                       | US RENAL CARE INC SR SECURED 144A 06/28 10.625            | CUSIP: 90355YAA5<br>LEI: 54930058SS5MF69JGN89 | Long             | DBT              | CORP              | US        |      13300 | PA      | $11404.75     | 0.00%             | 2028-06-28      | Fixed         | 10.62%                | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-454.61      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| INTELSAT SA                                                             | SES S A COMMON STOCK                                      | CUSIP: 000000000<br>LEI: 549300YV2L21F4K80V46 | Long             | EC               | CORP              | LU        |      28556 | NS      | $443803.07    | 0.04%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | REVERSE REPO NOMURA                                       | CUSIP: 000000000<br>LEI: N/A                  | Short            | RA               |  | US        |  -59360462 | PA      | $-59502663.79 | -5.97%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.5* 7/20/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-18861.00    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-24484.03    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 30 YR 4 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F040628<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   41500000 | PA      | $39343408.10  | 3.95%             | 2056-02-12      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.25000 03/19/25-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $250533.42    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 14.0087 05/12/25-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-5634.31     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.25622 04/03/24-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-138595.60   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.09012 07/31/23-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-126117.42   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FIRST FRANKLIN MTG LOAN ABS 2006-FF17                                   | FIRST FRANKLIN MTG LOAN ASSET FFML 2006 FF17 A1           | CUSIP: 32028KAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     319192 | PA      | $305620.91    | 0.03%             | 2036-12-25      | Floating      | 3.97%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.80000 09/05/23-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12155.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SVF II FINCO (CAYMAN) LP                                                | SOFTBANK VISION FUND II TRANCHE B1 TERM LOAN              | CUSIP: BA000KP88<br>LEI: N/A                  | Long             | LON              | CORP              | GB        |    1842829 | PA      | $1851078.14   | 0.19%             | 2029-04-25      | Floating      | 7.32%                 | No            |                  3 | On Loan: No      |
| TOPAZ SOLAR FARMS LLC                                                   | TOPAZ SOLAR FARMS LLC SR SECURED 144A 09/39 5.75          | CUSIP: 89054XAC9<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |     167676 | PA      | $168785.18    | 0.02%             | 2039-09-30      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-10255.50    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SECURITIES CO-2007-TC1                                 | STRUCTURED ASSET SECURITIES CO SASC 2007 TC1 M3 144A      | CUSIP: 86364GAE3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4114000 | PA      | $4209715.50   | 0.42%             | 2031-04-25      | Floating      | 4.85%                 | No            |                  2 | On Loan: No      |
| COOPERATIEVE RABOBANK UA (AKA: RABOBANK NEDERLAND)                      | COOPERATIEVE RABOBANK UA JR SUBORDINA REGS 12/49 VAR      | CUSIP: BJBQCWII7<br>LEI: DG3RU1DBUFHT4ZF9WN62 | Long             | EP               | CORP              | NL        |    1369650 | NS      | $1812488.25   | 0.18%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260302                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $13593.79     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.03683 08/07/23-01/04/27 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-16334.69    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM40 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $9662.66      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                  | VENTURE GLOBAL LNG INC SR SECURED 144A 01/30 7            | CUSIP: 92332YAE1<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    2160000 | PA      | $2080391.82   | 0.21%             | 2030-01-15      | Fixed         | 7.00%                 | 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        |    2419039 | PA      | $2443618.04   | 0.25%             | 2055-02-16      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| ROMANIA GOVT                                                            | ROMANIA SR UNSECURED 144A 07/39 6.75                      | CUSIP: ACI2W0SC9<br>LEI: 315700IASY927EDWBK92 | Long             | DBT              | NUSS              | RO        |    1000000 | PA      | $1225968.63   | 0.12%             | 2039-07-11      | Fixed         | 6.75%                 | No            |                  2 | On Loan: No      |
| NEW CENTURY HOME EQUITY LOAN TR 2004-3                                  | NEW CENTURY HOME EQUITY LOAN T NCHET 2004 3 M1            | CUSIP: 64352VHV6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6714903 | PA      | $6718781.10   | 0.67%             | 2034-11-25      | Floating      | 4.78%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY RESIDENTIAL MORTGAGE LOAN TRUST 2025-NQM3 2025-NQM3      | MORGAN STANLEY RESIDENTIAL MOR MSRM 2025 NQM3 A1 144A     | CUSIP: 61778LAA3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    4823793 | PA      | $4861288.66   | 0.49%             | 2070-05-25      | Variable      | 5.53%                 | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 3.5 JUMBOS                              | CUSIP: 21H032621<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     800000 | PA      | $728062.00    | 0.07%             | 2056-02-19      | Fixed         | 3.50%                 | No            |                  2 | On Loan: No      |
| EDISON INTERNATIONAL                                                    | EDISON INTERNATIONAL SR UNSECURED 03/30 6.25              | CUSIP: 281020BC0<br>LEI: 549300I7ROF15MAEVP56 | Long             | DBT              | CORP              | US        |     200000 | PA      | $209259.80    | 0.02%             | 2030-03-15      | Fixed         | 6.25%                 | No            |                  2 | On Loan: No      |
| PALMER SQUARE EUROPEAN LOAN FUNDING 2024-2 DESIGNATED ACTIVITY CO 24-2A | PALMER SQUARE EUROPEAN LOAN FU PSTET 2024 2A A 144A       | CUSIP: ACI2Q3MV4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    2292145 | PA      | $2691021.01   | 0.27%             | 2034-05-15      | Floating      | 3.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260226                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $33449.82     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-16724.61    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/1.75000 06/15/22-7Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $123844.19    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 9.93932 08/07/23-01/02/26 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-25458.76    | -0.00%            |  |  |  | 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      | $3315.26      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.95500 10/04/22-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9813.05     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL Q52560 FG 12/47 FIXED 3                 | CUSIP: 3132XUZ24<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      52290 | PA      | $47345.21     | 0.00%             | 2047-12-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| PERU GOVT                                                               | BONOS DE TESORERIA SR UNSECURED 08/40 5.35                | CUSIP: ACI1H2BH1<br>LEI: 254900STKLK2DBJJZ530 | Long             | DBT              | NUSS              | PE        |     100000 | PA      | $26423.79     | 0.00%             | 2040-08-12      | Fixed         | 5.35%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL FM3093 FN 11/48 FIXED VAR                       | CUSIP: 3140X6NK3<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     522952 | PA      | $505577.84    | 0.05%             | 2048-11-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.70 7/12/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-119119.02   | -0.01%            |  |  |  | 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      | $-284.37      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.25500 10/23/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $8302.19      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| PAGAYA AI DEBT GRANTOR TRUST 2024-10                                    | PAGAYA AI DEBT SELECTION TRUST PAID 2024 10 A 144A        | CUSIP: 69544MAA7<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    1264968 | PA      | $1271452.98   | 0.13%             | 2032-06-15      | Fixed         | 5.18%                 | 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      | $-5727.72     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GAZPROM PJSC VIA GAZ FINANCE PLC                                        | GAZPROM PJSC (GAZ FN) SR UNSECURED 144A 01/29 2.95        | CUSIP: ACI1V9J90<br>LEI: 213800UNP9N6BPNYMQ45 | Long             | DBT              | CORP              | GB        |    1500000 | PA      | $1087500.00   | 0.11%             | 2029-01-27      | Fixed         | 2.95%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERTI 2005-BC4                                 | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 BC4 M8            | CUSIP: 1266737G1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    1594000 | PA      | $1569175.36   | 0.16%             | 2035-08-25      | Floating      | 4.03%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT AUD SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $6882.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-8331.85     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                 | BPCE SA 144A 10/29 VAR                                    | CUSIP: 05571AAR6<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    1250000 | PA      | $1326682.61   | 0.13%             | 2029-10-19      | Floating      | 6.71%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.43000 02/27/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-9428.88     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UMBS PASS THRU POOLS                                                    | FNMA TBA 15 YR 3 SINGLE FAMILY MORTGAGE                   | CUSIP: 01F030413<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     300000 | PA      | $288644.53    | 0.03%             | 2041-01-20      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| MORGAN STANLEY CAPITAL I INC 2021-230P                                  | MORGAN STANLEY CAPITAL I TRUST MSC 2021 230P D 144A       | CUSIP: 61772WAL1<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2645000 | PA      | $2364360.21   | 0.24%             | 2038-12-15      | Floating      | 6.24%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.43500 11/05/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-20180.81    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR JPY MUT+5.89/0.00000 03/15/21-8Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | JP        |          1 | NC      | $1259811.09   | 0.13%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-23.30       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BANCA MONTE DEI PASCHI DI SIENA SPA                                     | BANCA MONTE DEI PASCHI S REGS 01/26 1.875                 | CUSIP: ACI1T7K79<br>LEI: J4CP7MHCXR8DAQMKIL78 | Long             | DBT              | CORP              | IT        |    1515000 | PA      | $1780441.44   | 0.18%             | 2026-01-09      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260219                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-2523.48     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENTURE GLOBAL LNG INC                                                  | VENTURE GLOBAL LNG INC SR SECURED 144A 02/32 9.875        | CUSIP: 92332YAD3<br>LEI: 54930011XLBUWMQUC829 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1447176.40   | 0.15%             | 2032-02-01      | Fixed         | 9.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | CDX EM39 ICE                                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $752.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL AP7539 FN 09/27 FIXED 3                         | CUSIP: 3138MBLV6<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      13465 | PA      | $13351.45     | 0.00%             | 2027-09-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.16500 09/27/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $28155.77     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $3621.69      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| ALTICE FRANCE                                                           | ALTICE FRANCE SA SR SECURED 144A 10/31 6.5                | CUSIP: 02090DAC2<br>LEI: 5493001ZMCICV4N02J21 | Long             | DBT              | CORP              | FR        |     154020 | PA      | $146379.95    | 0.01%             | 2031-10-15      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-79991.93    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 03/17/20-10Y LCH                  | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $68575.38     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NGN BOUGHT USD 20260818                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NG        |          1 | NC      | $-301.59      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SEC CORP 2007-KS4                                     | RESIDENTIAL ASSET SECURITIES C RASC 2007 KS4 A4           | CUSIP: 74924NAD9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      68381 | PA      | $68194.91     | 0.01%             | 2037-05-25      | Floating      | 4.53%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.37500 03/31/26-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $11031.37     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $1621.58      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20261130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-4280.66     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-420.62      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.71500 08/07/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $589.40       | 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        |      29245 | PA      | $29005.89     | 0.00%             | 2033-03-25      | Floating      | 5.78%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.6* 7/26/23-6Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-29396.83    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $3539.00      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.17 04/01/24-01/04/27 CME                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-102282.03   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.39250 10/25/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $10229.20     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SMB PRIVATE EDUCATION LOAN TRUST 2024-A                                 | SMB PRIVATE EDUCATION LOAN TRU SMB 2024 A A1B 144A        | CUSIP: 831943AB1<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    4865623 | PA      | $4918099.55   | 0.49%             | 2056-03-15      | Floating      | 5.43%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-43850.78    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| SAUDI ARABIAN OIL COMPANY (SAUDI ARAMCO)                                | SAUDI ARABIAN OIL CO SR UNSECURED 144A 06/30 4.75         | CUSIP: 80414L2X2<br>LEI: 5586006WD91QHB7J4X50 | Long             | DBT              | CORP              | SA        |    2200000 | PA      | $2230918.80   | 0.22%             | 2030-06-02      | Fixed         | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/2.30000 01/17/24-2Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $116882.13    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS ZAR 8.00100 01/06/25-6Y CME                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | ZA        |          1 | NC      | $9938.08      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL Q61005 FG 01/49 FIXED 3                 | CUSIP: 3132VMDK8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      88603 | PA      | $80031.35     | 0.01%             | 2049-01-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| HARBORVIEW MORTGAGE LOAN TR 2006-1                                      | HARBORVIEW MORTGAGE LOAN TRUST HVMLT 2006 1 2A1A          | CUSIP: 41161PA86<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      33526 | PA      | $31461.60     | 0.00%             | 2036-03-19      | Floating      | 4.33%                 | No            |                  2 | On Loan: No      |
| GUGGENHEIM CLO 2022-2A LTD                                              | GUGGENHEIM 1888 FUND LTD GUGG 2022 2A A1R 144A            | CUSIP: 40172PAL6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2600000 | PA      | $2596750.00   | 0.26%             | 2035-01-15      | Floating      | 5.05%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $17696.21     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| IHEARTMEDIA INC                                                         | IHEARTMEDIA INC   CLASS A COMMON STOCK                    | CUSIP: 45174J509<br>LEI: N/A                  | Long             | EC               | CORP              | US        |      31404 | NS      | $130640.64    | 0.01%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260203                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $5933.87      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2005-12                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2005 12 M4             | CUSIP: 126670EN4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6150000 | PA      | $6083320.47   | 0.61%             | 2036-02-25      | Floating      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $9642.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $17634.93     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/17/25-7Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-129071.04   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $7863.20      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260227                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-1874.38     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260326                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $626.77       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| TOWD POINT MORTGAGE FUNDING 2023-V3                                     | TOWD POINT MORTGAGE FUNDING TPMF 2023 V3 A1 REGS          | CUSIP: ACI2P2371<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | GB        |    3914739 | PA      | $5296208.58   | 0.53%             | 2054-02-20      | Floating      | 5.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $16041.49     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MA9360 G2 12/53 FIXED 4.5                    | CUSIP: 36179YMH4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     277056 | PA      | $271039.45    | 0.03%             | 2053-12-20      | Fixed         | 4.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $13733.06     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD MXN BOUGHT USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $-623.58      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FLORA FOOD MANAGEMENT BV                                                | FLORA FOOD MANAGEMENT BV SR SECURED 144A 07/29 6.875      | CUSIP: ACI2PNX49<br>LEI: 2549002VGA888UKFKS25 | Long             | DBT              | CORP              | NL        |     500000 | PA      | $584806.90    | 0.06%             | 2029-07-02      | Fixed         | 6.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | OIS MXN TIIE1/8.99000 12/24/24-5Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | MX        |          1 | NC      | $12472.00     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.098 03/28/24-01/04/27 CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-123977.32   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.65000 08/14/24-5Y LCH                           | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $-4177.11     | -0.00%            |  |  |  | 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        |  106400000 | PA      | $545558.12    | 0.05%             | 2054-12-20      | Fixed         | 2.30%                 | No            |                  2 | On Loan: No      |
| SOFI CONSUMER LOAN PROGRAM 2025-4 TRUST                                 | SOFI CONSUMER LOAN PROGRAM TRU SCLP 2025 4 A 144A         | CUSIP: 83405UAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |    3231315 | PA      | $3235646.55   | 0.32%             | 2035-08-25      | Fixed         | 4.24%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 10/27 0.5                                 | CUSIP: 91282CAU5<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     300000 | PA      | $284296.88    | 0.03%             | 2027-10-31      | Fixed         | 0.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.183133 04/04/24-01/04/27 CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-60697.67    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 12.8 11/28/25-01/02/31 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-89698.40    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL SD8397 FR 01/54 FIXED 6.5               | CUSIP: 3132DWKJ1<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |   16200911 | PA      | $16845967.08  | 1.69%             | 2054-01-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.83000 12/09/42-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $1897165.01   | 0.19%             |  |  |  | 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      | $-13843.18    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| BRAZIL GOVT                                                             | LETRA TESOURO NACIONAL BILLS 07/26 0.00000                | CUSIP: ACI2CRX85<br>LEI: 254900ZFY40OYEADAP90 | Long             | DBT              | NUSS              | BR        |   86600000 | PA      | $14803072.52  | 1.48%             | 2026-07-01      | None          | 0.00%                 | No            |                  2 | On Loan: No      |
| CIM TRUST 2024-R1                                                       | CIM TRUST CIM 2024 R1 A1 144A                             | CUSIP: 17179VAA8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2872554 | PA      | $2860283.34   | 0.29%             | 2064-06-25      | Variable      | 4.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.51453 09/03/24-4Y* LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-3449.45     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VENEZUELAN GOVT                                                         | REPUBLIC OF VENEZUELA SR UNSECURED REGS 03/38 7           | CUSIP: P97475AJ9<br>LEI: 529900XM8PJTJK5OJI77 | Long             | DBT              | NUSS              | VE        |      43000 | PA      | $12749.50     | 0.00%             | 2038-03-31      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-20                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 20 1A             | CUSIP: 12667HAA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     707493 | PA      | $694819.67    | 0.07%             | 2047-04-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260702                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-3339.11     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| VOYA CLO 2024-1A LTD                                                    | VOYA CLO LTD VOYA 2024 1A A1 144A                         | CUSIP: 92920DAA3<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3100000 | PA      | $3115511.47   | 0.31%             | 2037-04-15      | Floating      | 5.42%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD NZD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | NZ        |          1 | NC      | $1176.17      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BPCE SA                                                                 | BPCE SA 144A 10/27 VAR                                    | CUSIP: 05571AAQ8<br>LEI: 9695005MSX1OYEMGDF46 | Long             | DBT              | CORP              | FR        |    1250000 | PA      | $1273961.85   | 0.13%             | 2027-10-19      | Floating      | 6.61%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.51000 04/09/25-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $6155.48      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| NOMURA HOME EQUITY LOAN INC 2006-HE3                                    | NOMURA HOME EQUITY LOAN INC NHELI 2006 HE3 1A1            | CUSIP: 65536QAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     342377 | PA      | $324136.16    | 0.03%             | 2036-07-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD CNH BOUGHT USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $-22028.64    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $3150.91      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.97500 03/31/26-28Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $35127.10     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260120                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $9848.59      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| INDYMAC RESIDENTIAL ASSET BACKED 2006-A                                 | INDYMAC RESIDENTIAL ASSET BACK INABS 2006 A A4            | CUSIP: 456606KU5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3555027 | PA      | $3287199.74   | 0.33%             | 2036-03-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US LONG BOND(CBT) MAR26 XCBT 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |       -262 | NC      | $331369.09    | 0.03%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-1.68        | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II TBA 30 YR 5.5 JUMBOS                              | CUSIP: 21H052611<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    3900000 | PA      | $3938425.30   | 0.40%             | 2055-01-15      | Fixed         | 5.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | PEMEX LCDS SP DUB                                         | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $4996.78      | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/17/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $3502.30      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT JPY SOLD USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $-131.14      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD AUD BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | AU        |          1 | NC      | $-8513.96     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $568.12       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FORTRESS CREDIT BSL X LTD 2021-1A                                       | FORTRESS CREDIT BSL LIMITED FCBSL 2021 1A AR 144A         | CUSIP: 34962HAJ6<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    5100000 | PA      | $5105710.27   | 0.51%             | 2033-04-20      | Floating      | 5.01%                 | No            |                  2 | On Loan: No      |
| REACH ABS TRUST 2024-2A                                                 | REACH FINANCIAL LLC REACH 2024 2A A 144A                  | CUSIP: 75525HAA8<br>LEI: N/A                  | Long             | ABS-O            | CORP              | US        |     726878 | PA      | $729922.58    | 0.07%             | 2031-07-15      | Fixed         | 5.88%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.25000 03/20/24-7Y CME                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-11612.38    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.10457 07/28/23-01/02/26 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-55285.09    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TWD SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $-1625.92     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $28319.39     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.87000 03/05/25-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-1895.63     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| CHASE MORGAGE FINANCE CORP 2005-A1                                      | CHASE MORTGAGE FINANCE CORPORA CHASE 2005 A1 1A1          | CUSIP: 16162WPB9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      66093 | PA      | $62685.16     | 0.01%             | 2035-12-25      | Floating      | 4.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260513                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-28135.15    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.50000 03/18/26-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2618.20     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.30000 06/14/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-34771.61    | -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        |      10000 | PA      | $7407.03      | 0.00%             | 2048-08-15      | Fixed         | 3.00%                 | 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        |     726815 | PA      | $696187.67    | 0.07%             | 2047-06-25      | Floating      | 4.13%                 | No            |                  2 | On Loan: No      |
| WESTMORELAND MINING HOLDINGS LLC                                        | WESTMORELAND COAL CO PIK TERM LOAN                        | CUSIP: 96106JAE9<br>LEI: N/A                  | Long             | LON              | CORP              | US        |       7187 | PA      | $3054.51      | 0.00%             | 2029-03-15      | Fixed         | 8.00%                 | No            |                  3 | On Loan: No      |
| N/A                                                                     | INF SWAP GB NI 4.14 10/15/21-10Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |          1 | NC      | $-86658.34    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| PRKCM 2025-AFC1 TRUST                                                   | PRKCM TRUST PRKCM 2025 AFC1 A1A 144A                      | CUSIP: 69392YAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5120113 | PA      | $5132894.53   | 0.51%             | 2060-10-25      | Fixed         | 5.10%                 | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL BY7878 FN 07/54 FIXED 5                         | CUSIP: 3140NQXG8<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |     376706 | PA      | $376746.44    | 0.04%             | 2054-07-01      | Fixed         | 5.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260123                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $21762.31     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| RESIDENTIAL ASSET SECURITIES 2005-AHL2                                  | RESIDENTIAL ASSET SECURITIES C RASC 2005 AHL2 M3          | CUSIP: 76110W5K8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2000000 | PA      | $1838277.60   | 0.18%             | 2035-10-25      | Floating      | 4.55%                 | No            |                  2 | On Loan: No      |
| SOUTHERN CALIFORNIA EDISON COMPANY                                      | SOUTHERN CAL EDISON 1ST MORTGAGE 11/32 5.95               | CUSIP: 842400HT3<br>LEI: 9R1Z5I36FERIBVKW4P77 | Long             | DBT              | CORP              | US        |    1500000 | PA      | $1588056.68   | 0.16%             | 2032-11-01      | Fixed         | 5.95%                 | No            |                  2 | On Loan: No      |
| ATLAS SENIOR LOAN FUND XV LTD                                           | ATLAS SENIOR LOAN FUND LTD ATCLO 2019 15A A1R 144A        | CUSIP: 04942MAN4<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    2390387 | PA      | $2392190.57   | 0.24%             | 2032-10-23      | Floating      | 5.08%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 07/34 1.875                               | CUSIP: 91282CLE9<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |   19404429 | PA      | $19489172.41  | 1.95%             | 2034-07-15      | Fixed         | 1.88%                 | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO SR UNSECURED 02/26 2.75                         | CUSIP: 097023DA0<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1000000 | PA      | $998862.58    | 0.10%             | 2026-02-01      | Fixed         | 2.75%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ILS SOLD USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $2813.27      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-338.73      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-371.71      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT PLN SOLD USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $4959.54      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260410                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5927.64      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.73800 01/23/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-82.90       | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD ILS BOUGHT USD 20260115                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IL        |          1 | NC      | $-14625.97    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT MXN SOLD USD 20260415                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | MX        |          1 | NC      | $5202.13      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260105                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $258.53       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 02/53 1.5                                 | CUSIP: 912810TP3<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    1314444 | PA      | $1026031.58   | 0.10%             | 2053-02-15      | Fixed         | 1.50%                 | No            |                  2 | On Loan: No      |
| ISRAEL GOVT                                                             | STATE OF ISRAEL SR UNSECURED 02/30 5.375                  | CUSIP: 46514Y8A8<br>LEI: 213800T8ZHTFZIBYPE21 | Long             | DBT              | NUSS              | IL        |    1200000 | PA      | $1242682.78   | 0.12%             | 2030-02-19      | Fixed         | 5.38%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 9.99764 08/04/23-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-66367.83    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| ENVALIOR FINANCE GMBH                                                   | ENVALIOR FINANCE GMBH USD TERM LOAN B1                    | CUSIP: D255LZAC9<br>LEI: 254900GAG6U7Z5TROP43 | Long             | LON              | CORP              | DE        |    1264694 | PA      | $1181584.21   | 0.12%             | 2030-04-01      | Floating      | 9.34%                 | No            |                  2 | On Loan: No      |
| PRPM 2024-NQM2 TRUST                                                    | PRESTON RIDGE PARTNERS MORTGAG PRPM 2024 NQM2 A1 144A     | CUSIP: 74448PAA7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2295314 | PA      | $2325939.21   | 0.23%             | 2069-06-25      | Fixed         | 6.33%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.13000 05/03/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $12344.45     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GNMA PASS THRU POOLS                                                    | GNMA II POOL MB0368 G2 05/55 FIXED 6.5                    | CUSIP: 3618N5MS5<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      94514 | PA      | $97815.17     | 0.01%             | 2055-05-20      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.60000 01/17/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $2371.29      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| SOUTH AFRICA GOVT                                                       | REPUBLIC OF SOUTH AFRICA BONDS 02/31 7                    | CUSIP: S69124NF8<br>LEI: 378900AAFB4F17004C49 | Long             | DBT              | NUSS              | ZA        |   39400000 | PA      | $2327693.00   | 0.23%             | 2031-02-28      | Fixed         | 7.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | US ULTRA BOND CBT MAR26 XCBT 20260320                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |         47 | NC      | $-94802.99    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT ZAR SOLD USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | ZA        |          1 | NC      | $2199.67      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.03000 10/04/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $20587.52     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | COLOMBIA LA SP MYC                                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $-1119.49     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET-BACKED CERT 2006-26                                   | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 26 M1             | CUSIP: 12668HAF7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   14334212 | PA      | $13945933.58  | 1.40%             | 2037-06-25      | Floating      | 4.22%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD KRW BOUGHT USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $-964.05      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $673.00       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 0.50000 06/17/20-30Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $222774.97    | 0.02%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.4* 09/07/23-8Y CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $108917.01    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/2.00 8/18/23-9Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-88318.75    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.70000 06/06/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-29423.44    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| ANCHORAGE CREDIT FUNDING 7 LTD 2019-7A                                  | ANCHORAGE CREDIT FUNDING LTD. ANCHF 2019 7A A 144A        | CUSIP: 03331FAA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | KY        |    3295473 | PA      | $3293344.25   | 0.33%             | 2037-04-25      | Fixed         | 4.62%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | GENERAL ELECTRIC COMPANY SNR S* ICE                       | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DCR              |  | US        |          1 | NC      | $9502.07      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| FHLMC PASS THRU POOLS                                                   | FED HM LN PC POOL G60864 FG 02/47 FIXED 3                 | CUSIP: 31335A5Z7<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      17735 | PA      | $16259.46     | 0.00%             | 2047-02-01      | Fixed         | 3.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 12/20/23-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-167610.71   | -0.02%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL MA4779 FN 10/42 FIXED 4                         | CUSIP: 31418EJZ4<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |       7478 | PA      | $7359.14      | 0.00%             | 2042-10-01      | Fixed         | 4.00%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $-275.95      | -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      | $23714.71     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.05205 08/02/23-01/02/26 CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-57124.06    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-27093.58    | -0.00%            |  |  |  | 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      | $3140.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $628.30       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.75000 09/17/25-5Y LCH                      | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-254288.94   | -0.03%            |  |  |  | No            |                  2 | On Loan: No      |
| COUNTRYWIDE ASSET BACKED CERTS 2006-25                                  | COUNTRYWIDE ASSET BACKED CERTI CWL 2006 25 2A4            | CUSIP: 12667TAE5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     364659 | PA      | $355678.95    | 0.04%             | 2047-06-25      | Floating      | 4.29%                 | No            |                  2 | On Loan: No      |
| SAXON ASSET SECURITIES TR 2004-3                                        | SAXON ASSET SECURITIES TRUST SAST 2004 3 M2               | CUSIP: 805564QW4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     628582 | PA      | $585799.31    | 0.06%             | 2034-12-26      | Floating      | 4.82%                 | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 03/29 4.2             | CUSIP: 694308KB2<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    1100000 | PA      | $1093528.25   | 0.11%             | 2029-03-01      | Fixed         | 4.20%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | IRS EUR 2.76000 03/04/24-10Y LCH                          | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | N/A       |          1 | NC      | $4052.98      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| CITIGROUP MORTGAGE LOAN TRUST INC 2007-AMC3                             | CITIGROUP MORTGAGE LOAN TRUST CMLTI 2007 AMC3 A1 144A     | CUSIP: 17312EAA4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |      14479 | PA      | $13339.46     | 0.00%             | 2037-03-25      | Floating      | 4.11%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | EURO-BOBL FUTURE  MAR26 XEUR 20260306                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | DE        |        -23 | NC      | $24148.03     | 0.00%             |  |  |  | No            |                  1 | On Loan: No      |
| DISH DBS CORPORATION                                                    | DISH DBS CORP SR SECURED 144A 12/26 5.25                  | CUSIP: 25470XBE4<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    2300000 | PA      | $2232155.50   | 0.22%             | 2026-12-01      | Fixed         | 5.25%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $774.69       | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD TWD BOUGHT USD 20260122                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TW        |          1 | NC      | $18515.57     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| MORGAN STANLEY ABS CAPITAL I 2007-HE1                                   | MORGAN STANLEY CAPITAL INC MSAC 2007 HE1 A2FP             | CUSIP: 617526AB4<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    3683606 | PA      | $2183478.39   | 0.22%             | 2036-11-25      | Floating      | 3.93%                 | No            |                  2 | On Loan: No      |
| GOVERNMENT NATIONAL MORTGAGE ASSOCIATION 2016 H20                       | GOVERNMENT NATIONAL MORTGAGE A GNR 2016 H20 PT            | CUSIP: 38376RYV2<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |      72212 | PA      | $74179.96     | 0.01%             | 2066-09-20      | Variable      | 7.13%                 | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | US TREASURY N/B 02/49 3                                   | CUSIP: 912810SF6<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     500000 | PA      | $368457.03    | 0.04%             | 2049-02-15      | Fixed         | 3.00%                 | 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      | $41636.84     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| BOEING CO/THE                                                           | BOEING CO SR UNSECURED 05/30 5.15                         | CUSIP: 097023CY9<br>LEI: RVHJWBXLJ1RFUBSY1F30 | Long             | DBT              | CORP              | US        |    1400000 | PA      | $1438998.34   | 0.14%             | 2030-05-01      | Fixed         | 5.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.40500 03/01/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-10272.46    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260129                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $16532.12     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| WELLS FARGO COMMERCIAL MORTGAGE TRUST 2025-AURA                         | WELLS FARGO COMMERCIAL MORTGAG WFCM 2025 AURA A 144A      | CUSIP: 95004VAA5<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    5100000 | PA      | $5114814.48   | 0.51%             | 2042-10-15      | Floating      | 5.34%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/4.15500 10/02/23-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $20691.40     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 01/31 0.125                               | CUSIP: 91282CBF7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |     125080 | PA      | $116629.76    | 0.01%             | 2031-01-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | LONG GILT FUTURE  MAR26 IFLL 20260327                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | GB        |        303 | NC      | $259788.44    | 0.03%             |  |  |  | No            |                  1 | On Loan: No      |
| N/A                                                                     | BOUGHT INR SOLD USD 20260202                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $-128.29      | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 11.7 03/24/22-01/04/27 CME                        | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-1847.82     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT TRY SOLD USD 20260312                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TR        |          1 | NC      | $1017.47      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| GS MORTGAGE-BACKED SECURITIES TRUST 2024-RPL4                           | GS MORTGAGE BACKED SECURITIES GSMBS 2024 RPL4 A1 144A     | CUSIP: 362948AA9<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    6499342 | PA      | $6413381.36   | 0.64%             | 2061-09-25      | Variable      | 3.90%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $2334.97      | 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      | $106421.41    | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT CNH SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CN        |          1 | NC      | $4702.09      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT KRW SOLD USD 20260108                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | KR        |          1 | NC      | $15306.75     | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STARWOOD PROPERTY MORTGAGE TRUST 2025-FL4 LLC                           | STARWOOD COMMERCIAL MORTGAGE T STWD 2025 FL4 A 144A       | CUSIP: 863922AA8<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | US        |    5400000 | PA      | $5409734.04   | 0.54%             | 2042-11-19      | Floating      | 5.18%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD JPY BOUGHT USD 20260114                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | JP        |          1 | NC      | $5636.56      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| STRUCTURED ASSET SEC CORP 2007-GEL1                                     | STRUCTURED ASSET SECURITIES CO SASC 2007 GEL1 A3 144A     | CUSIP: 86362QAC7<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2952673 | PA      | $2440234.85   | 0.24%             | 2037-01-25      | Floating      | 4.45%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD INR BOUGHT USD 20260130                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | IN        |          1 | NC      | $5781.35      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| UNITED AIRLINES 2020-1 CLASS A PASS THROUGH TRUST                       | UNITED AIR 2020 1 A PTT PASS THRU CE 04/29 5.875          | CUSIP: 90931GAA7<br>LEI: N/A                  | Long             | DBT              | CORP              | US        |    1179322 | PA      | $1210073.60   | 0.12%             | 2029-04-15      | Fixed         | 5.88%                 | 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      | $7819.63      | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PLN BOUGHT USD 20260116                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PL        |          1 | NC      | $-21260.82    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| UNITI GROUP INC                                                         | NEW WINDSTREAM PREFERRED STOCK                            | CUSIP: 990AAJEB9<br>LEI: 549300V3NU625PJUVA84 | Long             | EP               | CORP              | US        |         13 | NS      | $12791.98     | 0.00%             |  |  |  | No            |                  3 | On Loan: No      |
| UNITED STATES GOVT                                                      | TSY INFL IX N/B 04/26 0.125                               | CUSIP: 91282CCA7<br>LEI: 254900HROIFWPRGM1V77 | Long             | DBT              | UST               | US        |    9560166 | PA      | $9477182.61   | 0.95%             | 2026-04-15      | Fixed         | 0.12%                 | No            |                  2 | On Loan: No      |
| ILLINOIS ST                                                             | ILLINOIS ST ILS 07/35 FIXED 7.35                          | CUSIP: 452152GS4<br>LEI: 54930048FV8RWPR02D67 | Long             | DBT              | MUN               | US        |       7143 | PA      | $7782.15      | 0.00%             | 2035-07-01      | Fixed         | 7.35%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD BRL BOUGHT USD 20260402                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | BR        |          1 | NC      | $-7082.23     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| FNMA PASS THRU POOLS                                                    | FNMA POOL DA5748 FN 12/53 FIXED 6.5                       | CUSIP: 3140A6L61<br>LEI: N/A                  | Long             | ABS-MBS          | USGSE             | US        |    2360310 | PA      | $2459777.18   | 0.25%             | 2053-12-01      | Fixed         | 6.50%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | ZCS BRL 10.3275 04/05/24-01/04/27 CME                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | BR        |          1 | NC      | $-111333.06   | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD COP BOUGHT USD 20260126                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | CO        |          1 | NC      | $585.97       | 0.00%             |  |  |  | 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      | $57426.01     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| CREDIT SUISSE MORTGAGE CAP CERT 2007-2                                  | CREDIT SUISSE MORTGAGE TRUST CSMC 2007 2 1A4              | CUSIP: 126384AD8<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    8681335 | PA      | $4517132.07   | 0.45%             | 2037-03-25      | Fixed         | 5.75%                 | No            |                  2 | On Loan: No      |
| INVESCO EURO CLO III DAC 3A                                             | INVESCO EURO CLO INVSC 3A AR                              | CUSIP: ACI2Q9953<br>LEI: N/A                  | Long             | ABS-CBDO         | CORP              | IE        |    3600000 | PA      | $4232248.52   | 0.42%             | 2038-10-30      | Floating      | 3.18%                 | No            |                  2 | On Loan: No      |
| AEGIS ASSET BACKED SECURITIES TR 2006-1                                 | AEGIS ASSET BACKED SECURITIES AABST 2006 1 A2             | CUSIP: 00764SAB0<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |    2892078 | PA      | $2211804.55   | 0.22%             | 2037-01-25      | Floating      | 4.19%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.65000 03/05/24-10Y LCH                     | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-2984.15     | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | SOLD PEN BOUGHT USD 20260318                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | PE        |          1 | NC      | $-32072.25    | -0.00%            |  |  |  | No            |                  2 | On Loan: No      |
| LONG BEACH MORTGAGE LOAN TRUST 2006-10                                  | LONG BEACH MORTGAGE LOAN TRUST LBMLT 2006 10 1A           | CUSIP: 54251YAA6<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |     369946 | PA      | $264026.25    | 0.03%             | 2036-11-25      | Floating      | 4.15%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFRF USD SF+26.161/1.5* 7/15/23-8Y* CME                   | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $-74557.52    | -0.01%            |  |  |  | No            |                  2 | On Loan: No      |
| N/A                                                                     | RFR USD SOFR/3.30000 12/02/24-29Y* CME                    | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DIR              |  | US        |          1 | NC      | $57453.76     | 0.01%             |  |  |  | No            |                  2 | On Loan: No      |
| PACIFIC GAS AND ELECTRIC COMPANY                                        | PACIFIC GAS + ELECTRIC 1ST MORTGAGE 12/27 3.3             | CUSIP: 694308HW0<br>LEI: 1HNPXZSMMB7HMBMVBS46 | Long             | DBT              | CORP              | US        |    5600000 | PA      | $5517387.06   | 0.55%             | 2027-12-01      | Fixed         | 3.30%                 | No            |                  2 | On Loan: No      |
| MASTR ADJ RATE MTGE TRUST 2007-HF2                                      | MASTR ADJUSTABLE RATE MORTGAGE MARM 2007 HF2 A2           | CUSIP: 57645TAB3<br>LEI: N/A                  | Long             | ABS-MBS          | CORP              | US        |   10573753 | PA      | $4086480.54   | 0.41%             | 2037-09-25      | Floating      | 4.95%                 | No            |                  2 | On Loan: No      |
| N/A                                                                     | BOUGHT THB SOLD USD 20260121                              | CUSIP: 000000000<br>LEI: N/A                  | N/A              | DFE              |  | TH        |          1 | NC      | $7.14         | 0.00%             |  |  |  | No            |                  2 | On Loan: No      |

### Signature

**Date Signed:** 2026-02-27

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

**Signature:** /s/ Bijal Parikh

**Name of Signer:** Bijal Parikh

**Title:** Treasurer